# EDGAR Filing Document

**Accession Number:** 0001748680
**File Stem:** 0001049169-26-001766
**Filing Date:** 2026-6
**Character Count:** 396896
**Document Hash:** 070685b240cdebf5d54827fc40b6ef27
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001049169-26-001766.hdr.sgml**: 20260626

**ACCESSION NUMBER**: 0001049169-26-001766

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260626

**DATE AS OF CHANGE**: 20260626

**PERIOD START**: 20261031

**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:** 261127063

**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:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1244352111.93

**Total Liabilities:** $390672348.81

**Net Assets:** $853679763.12

**Cash Not Reported:** $12883360.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 475.80145846 | **1-Year:** 11129.79014505 | **5-Year:** 10650.21670350 | **10-Year:** 669.01366641 | **30-Year:** 0.00000000

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

- **3-Month:** 2960.40691954 | **1-Year:** 93335.85857830 | **5-Year:** 121721.19070296 | **10-Year:** 40499.45990976 | **30-Year:** 10368.48553333

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.05%                | 0.05%                | 1.27%                |
| Class ID N/A | -0.05%               | 0.05%                | 1.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $468337.56               | $-3604142.60                               |
| Month 2  | $-16249.94               | $-12253588.15                              |
| Month 3  | $-7784203.78             | $11215356.68                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Point Securitization Trust                              | Point Securitization Trust, Series 2026-1, Class A1                                                            | CUSIP: 73072JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8700000 | PA      | $8568630.00    | 1.00%             | 2029-02-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| 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        |    570048 | PA      | $680421.63     | 0.08%             | 2042-10-27      | Floating      | 7.60%                 | 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      | $758325.00     | 0.09%             | 2026-10-20      | 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      | $2469628.26    | 0.29%             | 2037-02-25      | Floating      | 6.40%                 | 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      | $881948.80     | 0.10%             | 2067-02-25      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2026-2, Class E                                          | CUSIP: 10807VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3064000 | PA      | $3087899.20    | 0.36%             | 2033-05-16      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1983091<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -344725 | NS      | $-469015.52    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | SWF Funding LLC, Loan Facility, Tranche 2                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    221684 | PA      | $221683.74     | 0.03%             | 2028-09-23      | Fixed         | 10.65%                | No            |                  3 | 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        |   2317767 | PA      | $2327964.71    | 0.27%             | 2032-12-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Chimera Investment Corp                                 | Chimera Investment Corp.                                                                                       | CUSIP: 16934Q406<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     38192 | NS      | $931884.80     | 0.11%             |  |  |  | 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        |   6280475 | PA      | $6336371.40    | 0.74%             | 2032-07-25      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class F                                                  | CUSIP: 36258BAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1810510 | PA      | $1654625.18    | 0.19%             | 2036-12-15      | Floating      | 7.17%                 | Yes           |                  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      | $2057500.00    | 0.24%             | 2038-09-15      | Floating      | 8.77%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71PAB13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1764706 | NS      | $-1764706.00   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Autoflorence                                            | Autoflorence 4 Srl, Series 2025-4, Class D                                                                     | CUSIP: BCC3QT713<br>LEI: 815600336F1380BD7435 | Long             | ABS-O            | CORP              | IT        |   1949000 | PA      | $2286330.40    | 0.27%             | 2044-12-24      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class D                              | CUSIP: 46591JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $908500.00     | 0.11%             | 2029-09-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1049000 | NS      | $-1049000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB2, Class M2                                                            | CUSIP: 034648AC9<br>LEI: 2549004R1S5HPVOVG278 | Long             | ABS-MBS          | CORP              | US        |   2242000 | PA      | $2289530.40    | 0.27%             | 2055-12-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1707096<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1179726 | NS      | $-1605075.94   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54GAJ94<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1798000 | NS      | $-1798000.00   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Wf-rbs Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C25, Class E                                                      | CUSIP: 92939LAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773000 | PA      | $750969.50     | 0.09%             | 2047-11-15      | Fixed         | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Croton Park Clo Ltd                                     | Croton Park CLO, Ltd., Series 2024-1A, Class E                                                                 | CUSIP: 22779DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1342000 | PA      | $1291406.60    | 0.15%             | 2036-10-15      | Floating      | 9.22%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6625670<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -260164 | NS      | $-353966.07    | -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        |    426000 | PA      | $384763.20     | 0.05%             | 2026-05-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria DE 2025 FCT, Series 2025-DE, Class G                                                                 | CUSIP: BCC3QK9F9<br>LEI: 984500RC7C89A0755E80 | Long             | ABS-O            | CORP              | FR        |   3900000 | PA      | $4584621.20    | 0.54%             | 2046-04-25      | Floating      | 7.11%                 | No            |                  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      | $830804.23     | 0.10%             | 2044-12-10      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Mfra Trust                                              | MFA , Series 2026-NQMR1, Class A1                                                                              | CUSIP: 59319RAE2<br>LEI: 254900JLX6F11Q52FZ32 | Long             | ABS-MBS          | CORP              | US        |   6565293 | PA      | $6596149.92    | 0.77%             | 2067-11-25      | Variable      | 5.50%                 | Yes           |                  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      | $108640.00     | 0.01%             | 2027-04-15      | Fixed         | 16.56%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP445AC78<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -7094136 | NS      | $-7094136.00   | -0.83%            |  |  |  | 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      | $718500.00     | 0.08%             | 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        |    107798 | PA      | $123962.10     | 0.01%             | 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        |  -1500000 | NS      | $-1500000.00   | -0.18%            |  |  |  | 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        |    155050 | PA      | $213674.41     | 0.03%             | 2033-04-21      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Corporation                 | Triangle Re, Ltd., Series 2021-3, Class B1                                                                     | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    591600 | PA      | $601657.20     | 0.07%             | 2034-02-25      | Floating      | 8.60%                 | Yes           |                  2 | On Loan: No      |
| Home Re Ltd                                             | Home Re, Ltd., Series 2026-1, Class M1C                                                                        | CUSIP: 436956AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   1673000 | PA      | $1683874.50    | 0.20%             | 2031-01-25      | Floating      | 6.25%                 | 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        |   3810895 | PA      | $3241928.33    | 0.38%             | 2037-07-25      | Fixed         | 6.50%                 | 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        |    570048 | PA      | $690325.49     | 0.08%             | 2042-10-27      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP24LAA17<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -5076900 | NS      | $-5076900.00   | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| Brighthouse Financial In                                | Brighthouse Financial, Inc.                                                                                    | CUSIP: 10922N301<br>LEI: 5493003T8SZSHOGGAW52 | Long             | EP               | CORP              | US        |    102100 | NS      | $1654020.00    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Autonoria                                               | FCT Autonoria DE 2023, Series 2023-DE, Class G                                                                 | CUSIP: BCC38ZTS6<br>LEI: 549300XVWRQGZCNHXF23 | Long             | ABS-O            | CORP              | FR        |    147284 | PA      | $183461.06     | 0.02%             | 2043-01-26      | Floating      | 12.47%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP49NAC11<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1886637 | NS      | $-1886637.00   | -0.22%            |  |  |  | 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      | $1966884.50    | 0.23%             | 2034-11-20      | Fixed         | 8.68%                 | 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        |     72762 | PA      | $73205.47      | 0.01%             | 2032-06-15      | Fixed         | 12.11%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP63AAG22<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1631004 | NS      | $-1631004.00   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2026-1, Series 2026-1A, Class E                                       | CUSIP: 76100NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1342980.00    | 0.16%             | 2035-01-25      | Fixed         | 11.07%                | Yes           |                  2 | On Loan: No      |
| Center Street Lending Resi-investor Abs Trust           | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2026-RTL1, Class M                              | CUSIP: 151704AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1927000 | PA      | $1930275.90    | 0.23%             | 2028-07-25      | Fixed         | 8.54%                 | 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      | $2813704.82    | 0.33%             | 2028-01-20      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2026-NQM1, Class B2                                                | CUSIP: 64832LAK9<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |    951000 | PA      | $922470.00     | 0.11%             | 2030-01-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP173AL70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1732000 | NS      | $-1732000.00   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-5, Class A                                                 | CUSIP: 92262KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5496165 | PA      | $5464837.22    | 0.64%             | 2033-06-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9173AJ2<br>LEI: N/A                  | Short            | RA               | CORP              | US        | -12067000 | NS      | $-12067000.00  | -1.41%            |  |  |  | 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        |    144662 | NS      | $3419809.68    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84FAE88<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1027000 | NS      | $-1027000.00   | -0.12%            |  |  |  | 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        |   3425000 | PA      | $3430822.50    | 0.40%             | 2026-12-20      | Fixed         | 12.00%                | 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        |    867786 | PA      | $1052107.43    | 0.12%             | 2043-09-22      | Floating      | 7.81%                 | 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      | $3551450.00    | 0.42%             | 2033-01-18      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2026-1, Class A                                                 | CUSIP: 92262WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2363164 | PA      | $2335278.53    | 0.27%             | 2033-08-25      | Variable      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C                              | CUSIP: 46591JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $126954.00     | 0.01%             | 2029-09-15      | Floating      | 5.87%                 | 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        |    330875 | PA      | $392298.16     | 0.05%             | 2038-09-28      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0250834<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -221000 | NS      | $-259432.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4657349<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -995146 | NS      | $-1353945.66   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Realty Sr Inc                                     | Arbor Realty SR, Inc.                                                                                          | CUSIP: 03881NAL1<br>LEI: 549300TW7RTL2CI3CN08 | Long             | ABS-O            | CORP              | US        |    976000 | PA      | $968166.82     | 0.11%             | 2028-12-15      | Fixed         | 8.50%                 | Yes           |                  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        |    729434 | PA      | $575304.68     | 0.07%             | 2035-02-25      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans Llc                                  | Mosaic Solar Loan Trust 2022-1, Series 2022-1A, Class B                                                        | CUSIP: 61946QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190268 | PA      | $131913.08     | 0.02%             | 2036-03-20      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Issuance Trust, Series 2026-A, Class D                                                                 | CUSIP: 68390VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4423000 | PA      | $4416365.50    | 0.52%             | 2034-01-09      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class E                                                                        | CUSIP: BCC3G6JS2<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    516064 | PA      | $615500.50     | 0.07%             | 2042-02-24      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2024-P3, Class XS                                                       | CUSIP: 146919AK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74640 | PA      | $1674598.16    | 0.20%             | 2032-09-10      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Tcw Gem Ltd                                             | TCW CLO 2025-2, Ltd., Series 2025-2A, Class E                                                                  | CUSIP: 87232JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    982000 | PA      | $959315.80     | 0.11%             | 2039-01-15      | Floating      | 9.92%                 | Yes           |                  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        |    456057 | PA      | $332146.63     | 0.04%             | 2036-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP072DAA9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1120000 | NS      | $-1120000.00   | -0.13%            |  |  |  | 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      | $5225528.80    | 0.61%             | 2026-12-25      | 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        |   1199954 | PA      | $1177154.51    | 0.14%             | 2033-03-15      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | LU        |   -761648 | NS      | $-894098.92    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP846FAC3<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -560813 | NS      | $-560813.00    | -0.07%            |  |  |  | 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    | 0.23%             | 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        |   -699000 | NS      | $-699000.00    | -0.08%            |  |  |  | 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      | $559614.80     | 0.07%             | 2040-10-10      | Floating      | 3.51%                 | 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      | $174407.59     | 0.02%             |  |  |  | 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      | $798300.00     | 0.09%             | 2055-05-25      | Variable      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP967AC13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4873780 | NS      | $-4873780.00   | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP85EAE14<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -687136 | NS      | $-687136.00    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP962AE57<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -622008 | NS      | $-622008.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP70JAC53<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2081830 | NS      | $-2081830.00   | -0.24%            |  |  |  | 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        |    236669 | PA      | $292939.51     | 0.03%             | 2036-02-17      | Floating      | 10.00%                | 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      | $492902.86     | 0.06%             | 2045-09-13      | Floating      | 5.88%                 | 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      | $3091986.60    | 0.36%             | 2049-12-31      | Fixed         | 15.15%                | No            |                  2 | 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      | $677394.05     | 0.08%             | 2047-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                                  | Northwoods Capital XV, Ltd., Series 2025-15A, Class ER3                                                        | CUSIP: 66860HAK8<br>LEI: 549300YIKFTAGHX8G333 | Long             | ABS-CBDO         | CORP              | KY        |    934000 | PA      | $894118.20     | 0.10%             | 2038-03-20      | Floating      | 10.93%                | 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      | $827542.52     | 0.10%             | 2028-01-24      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Upx Hil 2025-1 Issuer Trust                             | UPX HIL Issuer Trust, Series 2025-1, Class C                                                                   | CUSIP: 916925AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    741000 | PA      | $751299.90     | 0.09%             | 2032-06-25      | Fixed         | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST5, Class CERT                                                        | CUSIP: 91679XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5172000 | PA      | $140900.59     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark, Series 2025-V13 Mortgage Trust, Class HCD                                                           | CUSIP: 08164ABN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1763000 | PA      | $1819063.40    | 0.21%             | 2030-01-15      | Variable      | 9.19%                 | Yes           |                  2 | 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        |    594000 | PA      | $620076.60     | 0.07%             | 2028-11-15      | 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        |    966591 | PA      | $986695.94     | 0.12%             | 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      | $-23884.29     | -0.00%            |  |  |  | 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        |   1649966 | PA      | $1355446.74    | 0.16%             | 2037-07-27      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2025-3, Class X1                                                                           | CUSIP: BCC3Q9998<br>LEI: 2138004HHDTEKA2ZLF42 | Long             | ABS-MBS          | CORP              | GB        |   3573578 | PA      | $4867865.05    | 0.57%             | 2029-09-27      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0099495<br>LEI: N/A                  | Short            | RA               | CORP              | AU        |   -719230 | NS      | $-517845.56    | -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      | $2206549.80    | 0.26%             | 2028-10-25      | Fixed         | 7.00%                 | Yes           |                  2 | 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      | $200485.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Enstar Group Ltd                                        | Enstar Group, Ltd.                                                                                             | CUSIP: 29359U109<br>LEI: 213800AMAL5QFXVUCN04 | Long             | EP               | CORP              | BM        |     33335 | NS      | $766705.00     | 0.09%             |  |  |  | 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      | $577622.00     | 0.07%             | 2034-11-15      | Floating      | 7.10%                 | 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        |   4274000 | PA      | $4454362.80    | 0.52%             | 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        |  -1742000 | NS      | $-1742000.00   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP38CAL19<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -646586 | NS      | $-646586.00    | -0.08%            |  |  |  | No            |                  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      | $6200462.50    | 0.73%             | 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      | $2089566.26    | 0.24%             | 2078-06-24      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                 | Saluda Grade Alternative Mortgage Trust, Series 2026-RTL7, Class A1                                            | CUSIP: 79584UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6463000 | PA      | $6459768.50    | 0.76%             | 2031-03-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Bellemeade Re Lt                                        | Bellemeade Re, Ltd., Series 2025-1, Class B1                                                                   | CUSIP: 07876NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $771525.00     | 0.09%             | 2035-10-25      | Floating      | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Archwest Mortgage Trust                                 | Archwest Mortgage Trust, Series 2026-RTL1, Class M1                                                            | CUSIP: 03959CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4739000 | PA      | $4751795.30    | 0.56%             | 2041-04-25      | Variable      | 6.99%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7421431<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -475393 | NS      | $-646795.84    | -0.08%            |  |  |  | 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      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0108684<br>LEI: N/A                  | Short            | RA               | CORP              | AU        |   -814399 | NS      | $-586367.23    | -0.07%            |  |  |  | No            |                  2 | 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      | $1767339.98    | 0.21%             | 2028-03-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-HE2, Class A                                                                          | CUSIP: 31684VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5346013 | PA      | $5329975.18    | 0.62%             | 2056-01-25      | Variable      | 5.05%                 | 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        |       649 | PA      | $151381.67     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Bellemeade Re Lt                                        | Bellemeade Re, Ltd., Series 2025-1, Class M1C                                                                  | CUSIP: 07876NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1749000 | PA      | $1769988.00    | 0.21%             | 2035-10-25      | Floating      | 6.89%                 | Yes           |                  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      | $1224428.40    | 0.14%             | 2069-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust, Series 2026-RM15, Class A2                                                | CUSIP: 10639CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1956000 | PA      | $1819862.40    | 0.21%             | 2031-04-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP2955AA7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -5885139 | NS      | $-5885139.00   | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP533NAE4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -979999 | NS      | $-979999.00    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Invesco Clo Ltd                                         | Invesco US CLO 2024-1, Ltd., Series 2024-1RA, Class ER                                                         | CUSIP: 46148KAA9<br>LEI: 254900HNACXWYNIC3S88 | Long             | ABS-CBDO         | CORP              | KY        |   1795000 | PA      | $1696275.00    | 0.20%             | 2037-04-15      | Floating      | 11.07%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP951AA23<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2260000 | NS      | $-2260000.00   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP28GAN25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1140000 | NS      | $-1140000.00   | -0.13%            |  |  |  | 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      | $1385154.20    | 0.16%             | 2035-09-20      | Fixed         | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Avant Loans Funding Trust                               | Avant Loans Funding Trust, Series 2026-REV1, Class E                                                           | CUSIP: 05359NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1427000 | PA      | $1444837.50    | 0.17%             | 2030-05-15      | Fixed         | 8.44%                 | Yes           |                  2 | On Loan: No      |
| Colony American Finance Ltd                             | CAFL Issuer LLC, Series 2026-R1, Class A1                                                                      | CUSIP: 124761AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2266366 | PA      | $2278377.95    | 0.27%             | 2029-03-25      | Variable      | 6.77%                 | 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      | $549663.62     | 0.06%             | 2027-03-25      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Metro Finance Trust                                     | Metro Finance , Series 2025-2, Class E                                                                         | CUSIP: BCC3Q7SG5<br>LEI: 984500DDADXDFAB40618 | Long             | ABS-O            | CORP              | AU        |   2490000 | PA      | $1794951.22    | 0.21%             | 2032-04-16      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17                                               | CUSIP: 12668AA47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108360 | PA      | $93612.39      | 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        |  -2173867 | NS      | $-2173867.00   | -0.25%            |  |  |  | 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      | $1193650.50    | 0.14%             | 2028-03-10      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Pnw Trust                                               | PNW Trust, Series 2026-ARTE, Class E                                                                           | CUSIP: 73020TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498000 | PA      | $1503093.20    | 0.18%             | 2029-04-15      | Floating      | 8.66%                 | 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        |   1852939 | PA      | $1068219.56    | 0.13%             | 2036-09-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Now Trust                                               | NOW Trust, Series 2025-1, Class E                                                                              | CUSIP: BCC3L1ZX8<br>LEI: 984500B0D6BFDDCCDB63 | Long             | ABS-O            | CORP              | AU        |   1103503 | PA      | $795872.77     | 0.09%             | 2034-02-14      | Floating      | 7.59%                 | 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      | $2093854.80    | 0.25%             | 2029-10-25      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| A&d Mortgage Trust                                      | A&D Mortgage Trust, Series 2026-NQM1, Class A1                                                                 | CUSIP: 00040DAC7<br>LEI: 984500FEB1BEC4C6Y473 | Long             | ABS-MBS          | CORP              | US        |   1172588 | PA      | $1170477.44    | 0.14%             | 2030-01-25      | Variable      | 4.91%                 | 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        |    821599 | PA      | $83063.67      | 0.01%             | 2052-10-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP78QAE35<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1680000 | NS      | $-1680000.00   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Issuance Trust, Series 2026-A, Class E                                                                 | CUSIP: 68390VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1404000 | PA      | $1391223.60    | 0.16%             | 2034-01-09      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP684KAA1<br>LEI: N/A                  | Short            | RA               | CORP              | US        | -15054807 | NS      | $-15054807.00  | -1.76%            |  |  |  | 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      | $754406.40     | 0.09%             | 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      | $1039600.00    | 0.12%             | 2034-04-17      | Floating      | 10.27%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP58MAJ36<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -7276000 | NS      | $-7276000.00   | -0.85%            |  |  |  | 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      |
| Citibank                                                | Receive SOFRRATE / Pay 3.63094% IRS 06/20/2032                                                                 | CUSIP: SWP363093<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $15853.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0185196<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -743191 | NS      | $-1011148.34   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6210312<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -411000 | NS      | $-559185.96    | -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      | $1460890.20    | 0.17%             | 2070-10-25      | Variable      | 6.86%                 | Yes           |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-2, Class F                                                                            | CUSIP: BCC3CJHB7<br>LEI: 213800CJ485JV1GHRE37 | Long             | ABS-MBS          | CORP              | GB        |    821000 | PA      | $1170069.40    | 0.14%             | 2055-11-25      | Floating      | 11.58%                | 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    | 0.23%             | 2029-09-19      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| N/A                                                     | Mercury Broadband, LLC, Delayed Draw Term Loan                                                                 | CUSIP: MERCURY25<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1029000 | PA      | $1029000.00    | 0.12%             | 2030-08-06      | Floating      | 9.65%                 | 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        |    580415 | PA      | $572637.39     | 0.07%             | 2031-12-26      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust, Series 2026-INV2, Class B1                                                                    | CUSIP: 62957XAJ9<br>LEI: 2549001JUTCEW5MVCO42 | Long             | ABS-MBS          | CORP              | US        |    767000 | PA      | $755418.30     | 0.09%             | 2061-04-25      | Variable      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71VAH15<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -761175 | NS      | $-761175.00    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6942903<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -2284475 | NS      | $-2681746.20   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP166BAG7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -757000 | NS      | $-757000.00    | -0.09%            |  |  |  | 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      | $109735.35     | 0.01%             | 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      | $1335356.00    | 0.16%             | 2049-05-10      | Variable      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Consumo Santander                                       | FTA Santander Consumo 6, Series 2024-6, Class E                                                                | CUSIP: BCC3FP580<br>LEI: 9845003Q6DEF3R087B56 | Long             | ABS-O            | CORP              | ES        |   6472762 | PA      | $7764783.05    | 0.91%             | 2029-09-21      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2025-4, Class D                                                           | CUSIP: 91684AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2734000 | PA      | $2775556.80    | 0.33%             | 2035-11-20      | Fixed         | 7.67%                 | Yes           |                  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        |    543797 | PA      | $304798.08     | 0.04%             | 2037-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2026-2, Class D                                                           | CUSIP: 91683AAE0<br>LEI: 549300MM4LHW6AKJUZ51 | Long             | ABS-O            | CORP              | US        |   3119000 | PA      | $3138649.70    | 0.37%             | 2036-05-20      | Fixed         | 7.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5561318<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -323191 | NS      | $-379394.06    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Smrt                                                    | SMRT, Series 2022-MINI, Class F                                                                                | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994900.00     | 0.12%             | 2039-01-15      | Floating      | 7.00%                 | Yes           |                  2 | 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      | $739918.57     | 0.09%             | 2034-06-25      | Variable      | 6.92%                 | 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      | $708868.90     | 0.08%             | 2030-04-15      | Floating      | 9.73%                 | 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        |   1633639 | PA      | $804894.14     | 0.09%             | 2037-04-25      | Floating      | 2.37%                 | 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      | $1008700.00    | 0.12%             | 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      | $57668.57      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | SWEDISH KRONA FUT Jun26                                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |       -12 | NC      | $-2607000.00   | -0.31%            |  |  |  | No            |                  1 | 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      | $1300010.80    | 0.15%             | 2028-03-28      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6256709<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -678791 | NS      | $-923528.94    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Rithm Capital Corp                                      | Rithm Capital Corp.                                                                                            | CUSIP: 64828T706<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |     33344 | NS      | $838601.60     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9504541<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1494509 | NS      | $-1754404.77   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program, Series 2019-A, Class R1                                                        | CUSIP: 78471H108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32016 | PA      | $168314.05     | 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      | $511291.00     | 0.06%             | 2033-06-27      | 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        |   1169000 | PA      | $1151698.80    | 0.13%             | 2036-06-15      | Floating      | 7.77%                 | 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      | $355593.17     | 0.04%             | 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      | $3618.24       | 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        |   1008881 | PA      | $1246739.89    | 0.15%             | 2043-09-22      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2026-2, Series 2026-2A, Class D                                       | CUSIP: 76091HAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3912400.00    | 0.46%             | 2028-04-25      | Fixed         | 6.86%                 | Yes           |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Corporation                 | Triangle Re, Ltd., Series 2023-1, Class M1B                                                                    | CUSIP: 89589AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015000 | PA      | $1046262.00    | 0.12%             | 2033-11-25      | Floating      | 8.89%                 | 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      | $753525.00     | 0.09%             | 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      | $1250131.63    | 0.15%             | 2026-09-14      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Polus Us Clo Ltd                                        | Polus US Clo III, Ltd., Series 2026-3A, Class D1                                                               | CUSIP: 73163AAG2<br>LEI: 254900OPD0AER66IHX11 | Long             | ABS-CBDO         | CORP              | KY        |   2049000 | PA      | $2058015.60    | 0.24%             | 2039-01-20      | Floating      | 6.86%                 | Yes           |                  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        |   5458585 | PA      | $863513.24     | 0.10%             | 2033-10-31      | Floating      | 10.49%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48XAE13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -766320 | NS      | $-766320.00    | -0.09%            |  |  |  | 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        |    684344 | PA      | $609955.58     | 0.07%             | 2036-12-15      | Floating      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Jw Commercial Mortgage Trust                            | JW Trust, Series 2024-BERY, Class E                                                                            | CUSIP: 46676AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1503750.00    | 0.18%             | 2029-11-15      | Floating      | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                            | Veros Auto Receivables Trust, Series 2026-1, Class E                                                           | CUSIP: 92511CAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1131000 | PA      | $1131904.80    | 0.13%             | 2031-07-15      | Fixed         | 7.74%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0103255<br>LEI: N/A                  | Short            | RA               | CORP              | AU        |  -1798429 | NS      | $-1294868.78   | -0.15%            |  |  |  | No            |                  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      | $538777.71     | 0.06%             | 2049-06-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                    | Deephaven Residential Mortgage Trust, Series 2026-CES1, Class B2                                               | CUSIP: 24380YAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $754725.00     | 0.09%             | 2030-04-25      | Variable      | 8.21%                 | Yes           |                  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      | $810400.00     | 0.09%             | 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      | $5133137.92    | 0.60%             | 2043-10-27      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP61GAC78<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1981800 | NS      | $-1981800.00   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| A&d Mortgage Trust                                      | A&D Mortgage Trust, Series 2026-NQM3, Class B1                                                                 | CUSIP: 00248BAJ6<br>LEI: 984500ABEA43F1DF4450 | Long             | ABS-MBS          | CORP              | US        |   2670000 | PA      | $2645169.00    | 0.31%             | 2030-04-25      | Variable      | 6.57%                 | Yes           |                  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      | $4848000.00    | 0.57%             | 2026-11-25      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4151436<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -684135 | NS      | $-930799.72    | -0.11%            |  |  |  | No            |                  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        |   1669966 | PA      | $1409618.28    | 0.17%             | 2035-10-25      | Floating      | 4.52%                 | 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      | $2636238.80    | 0.31%             | 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: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $765525.00     | 0.09%             | 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      | $2817345.55    | 0.33%             | 2028-10-28      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91WAA36<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -5457232 | NS      | $-5457232.00   | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2026-2, Series 2026-2A, Class E                                            | CUSIP: 30166WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5258000 | PA      | $5331086.20    | 0.62%             | 2033-11-15      | Fixed         | 7.54%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP948AA39<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4300979 | NS      | $-4300979.00   | -0.50%            |  |  |  | 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        |    657405 | PA      | $330543.43     | 0.04%             | 2037-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |   -392786 | NS      | $-461091.66    | -0.05%            |  |  |  | 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        |   2168000 | PA      | $2034451.20    | 0.24%             | 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        |    459112 | PA      | $294428.32     | 0.03%             | 2036-03-25      | Floating      | 4.47%                 | 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        |   2458712 | PA      | $723598.97     | 0.08%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Unison Trust                                            | Unison Trust, Series 2026-1, Class A                                                                           | CUSIP: 908925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3424456 | PA      | $3325488.98    | 0.39%             | 2029-02-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2021-DNA2, Class B2                                                      | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |   2575000 | PA      | $2821685.00    | 0.33%             | 2050-02-25      | Floating      | 8.56%                 | 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        |   1398000 | PA      | $1045144.80    | 0.12%             | 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        |   -459000 | NS      | $-459000.00    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | Reach Consumer 2022-1, LLC, Class B Facility                                                                   | CUSIP: REACHNEW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3902500 | PA      | $3902500.35    | 0.46%             | 2049-12-31      | Fixed         | 10.87%                | No            |                  3 | 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      | $3154275.50    | 0.37%             | 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        |    359871 | PA      | $402090.83     | 0.05%             | 2044-06-12      | Floating      | 2.99%                 | 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      | $81875.91      | 0.01%             | 2030-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2025-P2, Class XS                                                       | CUSIP: 14688YAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70519 | PA      | $1839811.83    | 0.22%             | 2030-11-10      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-2, Class G                                                                            | CUSIP: BCC3CJHC5<br>LEI: 213800CJ485JV1GHRE37 | Long             | ABS-MBS          | CORP              | GB        |    407000 | PA      | $578108.48     | 0.07%             | 2055-11-25      | Floating      | 13.63%                | No            |                  2 | On Loan: No      |
| Onslow Bay Financial Llc                                | OBX , Series 2026-CES1, Class A1A                                                                              | CUSIP: 67124LAA1<br>LEI: 549300JK5TDDSAIKZ665 | Long             | ABS-MBS          | CORP              | US        |   5641000 | PA      | $5659615.30    | 0.66%             | 2056-04-25      | Variable      | 5.19%                 | Yes           |                  2 | 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      | $9111345.63    | 1.07%             | 2034-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2026-P1, Class R                                                        | CUSIP: 14689FAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6000 | PA      | $3214674.59    | 0.38%             | 2034-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | 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      | $797625.00     | 0.09%             | 2032-07-20      | Fixed         | 9.04%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust 2025-rtl1                        | Vontive Mortgage Trust, Series 2025-RTL1, Class M                                                              | CUSIP: 928884AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2854000 | PA      | $2913363.20    | 0.34%             | 2027-03-25      | Variable      | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Fortuna Consumer Loan Abs                               | Fortuna Consumer Loan Abs DAC, Series 2026-1, Class F                                                          | CUSIP: BCC3T3469<br>LEI: 635400NBXJLIIDPDLP80 | Long             | ABS-O            | CORP              | IE        |   2500000 | PA      | $2949424.85    | 0.35%             | 2037-10-18      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust, Series 2025-X2, Class CERT                                                  | CUSIP: 00835D102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31818 | PA      | $1763114.93    | 0.21%             | 2030-10-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Metro Finance Trust                                     | Metro Finance Trust, Series 2026-1, Class E                                                                    | CUSIP: BCC3TP2T2<br>LEI: 984500B5EDC85D3BFD07 | Long             | ABS-O            | CORP              | AU        |   1050000 | PA      | $756982.74     | 0.09%             | 2029-07-16      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Mountain Point Clo Ltd                                  | Mountain Point CLO 1, Ltd., Series 2026-1A, Class E                                                            | CUSIP: 624251AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2457000 | PA      | $2446434.90    | 0.29%             | 2039-04-20      | Floating      | 9.72%                 | Yes           |                  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      | $579139.68     | 0.07%             | 2044-04-17      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0559838<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -216930 | NS      | $-254654.22    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5Yr Note Future                                                                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |     -1331 | NC      | $-143529633.48 | -16.81%           |  |  |  | No            |                  1 | On Loan: No      |
| Harvest Us Clo Ltd                                      | Harvest US CLO 2023-1, Ltd., Series 2026-1A, Class ER                                                          | CUSIP: 417924AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2117000 | PA      | $2039729.50    | 0.24%             | 2037-01-15      | Floating      | 9.77%                 | 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        |     10000 | PA      | $170434.32     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84VAC37<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4919920 | NS      | $-4919920.00   | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| Noria                                                   | FCT Noria 2021, Series 2021-1, Class F                                                                         | CUSIP: BCC31BYT8<br>LEI: 5493003C5ECZD3NDSV63 | Long             | ABS-O            | CORP              | FR        |    131125 | PA      | $154542.98     | 0.02%             | 2049-10-25      | Floating      | 5.67%                 | 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      | $1095848.00    | 0.13%             | 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      | $1586371.19    | 0.19%             | 2035-12-25      | Floating      | 4.59%                 | 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        |    819290 | PA      | $815111.13     | 0.10%             | 2046-05-25      | Floating      | 4.15%                 | 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        |    452077 | PA      | $459355.72     | 0.05%             | 2031-12-15      | Fixed         | 10.89%                | Yes           |                  2 | On Loan: No      |
| Wf-rbs Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C25, Class F                                                      | CUSIP: 92939LAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1584000 | PA      | $1523016.00    | 0.18%             | 2047-11-15      | Fixed         | 3.32%                 | 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      | $761400.00     | 0.09%             | 2055-02-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Invesco Senior Loan Etf                                 | Invesco Senior Loan ETF                                                                                        | CUSIP: 46138G508<br>LEI: 549300SIHU6DQELRNG59 | Long             | EC               | RF                | US        |    725000 | NS      | $14920500.00   | 1.75%             |  |  |  | No            |                  1 | 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      | $21797.55      | 0.00%             | 2031-09-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP62KAA34<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4811000 | NS      | $-4811000.00   | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2025-NQM7, Class B1                                                | CUSIP: 64831YAJ5<br>LEI: 2138008C4H1F2CU67V53 | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1451088.00    | 0.17%             | 2065-10-26      | Variable      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE1, Class A                                                                          | CUSIP: 30191LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1574277 | PA      | $1606391.96    | 0.19%             | 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        |    444288 | PA      | $448419.53     | 0.05%             | 2031-08-20      | Fixed         | 9.21%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Mortgage Trust                                | JP Morgan Mortgage Trust, Series 2026-NQX1, Class A1                                                           | CUSIP: 46594QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2577178 | PA      | $2580528.71    | 0.30%             | 2030-03-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Merit                                                   | MHP Commercial Mortgage Trust, Series 2025-MHIL2, Class F                                                      | CUSIP: 59317DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2116000 | PA      | $2133139.60    | 0.25%             | 2027-09-15      | Floating      | 7.91%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP86FAA75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1316000 | NS      | $-1316000.00   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | Markit CDX NA High Yield Index, Series 45                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $17473.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | Cherry SPV VI LLC, Class B Facility                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1001023 | PA      | $1001022.55    | 0.12%             | 2028-01-27      | Fixed         | 14.16%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP93HAN52<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1059714 | NS      | $-1059714.00   | -0.12%            |  |  |  | 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      | $562636.16     | 0.07%             | 2062-05-20      | Floating      | 7.66%                 | 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      | 10.52%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5697427<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -2101080 | NS      | $-2466458.73   | -0.29%            |  |  |  | No            |                  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      | $1988389.76    | 0.23%             | 2039-01-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Brignole Cq                                             | Brignole CQ, Series 2024-2024, Class X                                                                         | CUSIP: BCC3HF8K0<br>LEI: 815600DF81C93A72F362 | Long             | ABS-O            | CORP              | IT        |    310199 | PA      | $364798.55     | 0.04%             | 2040-09-24      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                    | Deephaven Residential Mortgage Trust, Series 2026-CES1, Class A1A                                              | CUSIP: 24380YAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2616000 | PA      | $2620447.20    | 0.31%             | 2030-04-25      | Variable      | 5.31%                 | Yes           |                  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        |    184034 | PA      | $218046.35     | 0.03%             | 2062-05-20      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2014-CR18 Mortgage Trust, Class E                                                                 | CUSIP: 12632QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726476 | PA      | $691678.20     | 0.08%             | 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        |    352136 | PA      | $310619.17     | 0.04%             | 2036-01-25      | Variable      | 3.29%                 | 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      | $66.12         | 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      | $696522.09     | 0.08%             | 2066-11-26      | Floating      | 5.04%                 | 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        |    655000 | PA      | $615307.00     | 0.07%             | 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      | $-366.10       | -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      | $324130.43     | 0.04%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71PAA30<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4721000 | NS      | $-4721000.00   | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | MEXICAN PESO FUT  Jun26                                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -108 | NC      | $-3079620.00   | -0.36%            |  |  |  | No            |                  1 | 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      | $499750.00     | 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        |    507689 | PA      | $591685.16     | 0.07%             | 2045-06-20      | Floating      | 7.12%                 | 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      | $533411.29     | 0.06%             | 2026-09-28      | Floating      | 8.04%                 | 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      | $112.50        | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Brighthouse Financial In                                | Brighthouse Financial, Inc.                                                                                    | CUSIP: 10922N707<br>LEI: 5493003T8SZSHOGGAW52 | Long             | EP               | CORP              | US        |    190198 | NS      | $2516319.54    | 0.29%             |  |  |  | No            |                  1 | 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      | $176558.40     | 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        |    755816 | PA      | $1036243.84    | 0.12%             | 2068-02-26      | Floating      | 7.41%                 | 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        |   1388660 | PA      | $1402268.52    | 0.16%             | 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        |    117152 | PA      | $138556.55     | 0.02%             | 2035-04-25      | Floating      | 5.97%                 | 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      | $1077870.00    | 0.13%             | 2037-10-15      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Brant Point Clo Ltd                                     | Brant Point CLO 2025-9, Ltd., Series 2026-9A, Class A1                                                         | CUSIP: 10490AAA1<br>LEI: 254900SZ0H5JXJT6M054 | Long             | ABS-CBDO         | CORP              | KY        |   7120000 | PA      | $7122848.00    | 0.83%             | 2039-01-20      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP17DAL91<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1591000 | NS      | $-1591000.00   | -0.19%            |  |  |  | No            |                  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        |    829884 | PA      | $716356.08     | 0.08%             | 2028-06-25      | Variable      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP52BAD01<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3381656 | NS      | $-3381656.00   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                      | EFMT, Series 2025-RTL1, Class M1                                                                               | CUSIP: 26846FAC3<br>LEI: 254900NFBGFOBK1G2B84 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $751425.00     | 0.09%             | 2028-05-25      | Variable      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP589AAB5<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -543000 | NS      | $-543000.00    | -0.06%            |  |  |  | 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      | $517950.00     | 0.06%             | 2030-01-18      | Fixed         | 10.85%                | Yes           |                  2 | On Loan: No      |
| Eurex                                                   | EURO-BOBL FUTURE  Jun26                                                                                        | CUSIP: N/A<br>LEI: 529900UT4DG0LG5R9O07       | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $-542107.22    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Noria                                                   | Noria DE 2024, Series 2024-DE1, Class G                                                                        | CUSIP: BCC3GDS57<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |    630127 | PA      | $765004.89     | 0.09%             | 2043-02-25      | Floating      | 9.22%                 | 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        |    164947 | PA      | $0.00          | 0.00%             | 2030-10-30      | Floating      | 12.37%                | No            |                  2 | On Loan: No      |
| Cps Auto Trust                                          | CPS Auto Receivables Trust, Series 2026-B, Class E                                                             | CUSIP: 12676XAE5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | ABS-O            | CORP              | US        |   2786000 | PA      | $2791014.80    | 0.33%             | 2033-11-15      | Fixed         | 7.14%                 | 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      | $570986.69     | 0.07%             | 2050-12-01      | Floating      | 2.76%                 | 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        |    598869 | PA      | $690077.15     | 0.08%             | 2078-06-24      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP400FVQ0<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |    -95502 | NS      | $-112109.84    | -0.01%            |  |  |  | No            |                  2 | 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        |     86720 | PA      | $100486.91     | 0.01%             | 2041-09-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54JAB08<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1352000 | NS      | $-1352000.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Arini Us Clo Limited                                    | Arini US CLO IV, Ltd., Series 2026-4A, Class E                                                                 | CUSIP: 04039HAA7<br>LEI: 2549000YTF465KO4L531 | Long             | ABS-CBDO         | CORP              | KY        |   3358000 | PA      | $3365051.80    | 0.39%             | 2039-01-15      | Floating      | 9.27%                 | 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      | $1984687.50    | 0.23%             | 2044-01-25      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP115CAE7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -215000 | NS      | $-215000.00    | -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        |    823402 | PA      | $992593.84     | 0.12%             | 2042-10-27      | Floating      | 5.95%                 | 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      | $1809428.40    | 0.21%             | 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        |   -520784 | NS      | $-611348.57    | -0.07%            |  |  |  | No            |                  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      | $759491.54     | 0.09%             | 2027-01-20      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP400FVL1<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |   -127564 | NS      | $-149747.44    | -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      | $4899265.83    | 0.57%             | 2034-06-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Oak Hill Credit Partners                                | OHA Credit Funding 4, Ltd., Series 2019-4A, Class SUB                                                          | CUSIP: 67098EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $500200.00     | 0.06%             |  |  |  | Yes           |                  3 | 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        |    979024 | PA      | $248770.00     | 0.03%             | 2037-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP092KAE4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -393980 | NS      | $-393980.00    | -0.05%            |  |  |  | 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      | $546659.37     | 0.06%             | 2026-10-18      | Floating      | 8.66%                 | No            |                  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        |   2780000 | PA      | $2877578.00    | 0.34%             | 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        |  16197681 | PA      | $16439026.17   | 1.93%             | 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        |  -1493328 | NS      | $-1493328.00   | -0.17%            |  |  |  | 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        |     99444 | PA      | $137923.00     | 0.02%             | 2026-10-18      | Floating      | 8.56%                 | 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      | $119.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP64KS591<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1915465 | NS      | $-1915465.00   | -0.22%            |  |  |  | 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        |  14999467 | PA      | $15245458.17   | 1.79%             | 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      | $1082100.74    | 0.13%             | 2030-02-20      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer FT, Series 2025-1, Class E                                                                       | CUSIP: BCC3M7TF0<br>LEI: 959800QSA097WJABWP90 | Long             | ABS-O            | CORP              | ES        |   3209835 | PA      | $3839241.87    | 0.45%             | 2031-11-21      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP87WAG50<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -949000 | NS      | $-949000.00    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| A&d Mortgage Trust                                      | A&D Mortgage Trust, Series 2025-NQM5, Class B1                                                                 | CUSIP: 00250AAG9<br>LEI: 984500B1KGB67O4A0631 | Long             | ABS-MBS          | CORP              | US        |   2082000 | PA      | $2091785.40    | 0.25%             | 2029-11-25      | Variable      | 6.85%                 | Yes           |                  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      | $2250941.00    | 0.26%             | 2029-10-25      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP94QAE70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2379000 | NS      | $-2379000.00   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP104QQ78<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -389000 | NS      | $-389000.00    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust, Series 2026-RM15, Class A1                                                | CUSIP: 10639CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1956000 | PA      | $1880302.80    | 0.22%             | 2031-04-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP39LAW63<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -600000 | NS      | $-600000.00    | -0.07%            |  |  |  | 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      | $66360.00      | 0.01%             | 2028-10-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| Noria                                                   | Noria DE 2024, Series 2024-DE1, Class F                                                                        | CUSIP: BCC3GDS40<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |    980198 | PA      | $1152036.10    | 0.13%             | 2043-02-25      | Floating      | 6.47%                 | 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      | $1447675.03    | 0.17%             | 2028-03-28      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP72JAB44<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1648000 | NS      | $-1648000.00   | -0.19%            |  |  |  | No            |                  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        |   2558031 | PA      | $2566728.33    | 0.30%             | 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        |    510582 | PA      | $626583.55     | 0.07%             | 2029-10-22      | Floating      | 10.10%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAD64<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -955388 | NS      | $-955388.00    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP76XAE58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2088664 | NS      | $-2088664.00   | -0.24%            |  |  |  | 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        |    921388 | PA      | $684130.69     | 0.08%             | 2037-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9503816<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -652409 | NS      | $-765863.21    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Acquisition Corp                     | J.P. Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3                                             | CUSIP: 46626LHD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    903863 | PA      | $686122.55     | 0.08%             | 2036-02-25      | Floating      | 4.32%                 | 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      | $891578.60     | 0.10%             | 2031-07-19      | Floating      | 11.54%                | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loans Llc                                  | Mosaic Solar Loan Trust 2024-2, Series 2024-2A, Class B                                                        | CUSIP: 61947BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1126342 | PA      | $895554.15     | 0.10%             | 2040-09-20      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                 | Saluda Grade Alternative Mortgage Trust, Series 2025-FIG6, Class B1                                            | CUSIP: 79582CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1780000 | PA      | $1798868.00    | 0.21%             | 2039-07-25      | Variable      | 7.74%                 | 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      | $1987447.57    | 0.23%             | 2044-12-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP46KAP30<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2271679 | NS      | $-2271679.00   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP19RAE27<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -5975419 | NS      | $-5975419.00   | -0.70%            |  |  |  | No            |                  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      | $654843.34     | 0.08%             | 2065-01-26      | Floating      | 5.22%                 | 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        |   1608000 | PA      | $1589347.20    | 0.19%             | 2038-12-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Unlock Hea Trust                                        | Unlock HEA Trust, Series 2025-2, Class B                                                                       | CUSIP: 914917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1896000 | PA      | $1889743.20    | 0.22%             | 2032-02-25      | Fixed         | 7.25%                 | 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        |    534950 | PA      | $656864.62     | 0.08%             | 2028-05-22      | Floating      | 7.82%                 | 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        |    450567 | PA      | $557958.33     | 0.07%             | 2041-09-30      | Floating      | 8.87%                 | 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      | $544437.60     | 0.06%             | 2050-06-28      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP93LAN64<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1609885 | NS      | $-1609885.00   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP24XAD75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1434162 | NS      | $-1434162.00   | -0.17%            |  |  |  | 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        |    777523 | PA      | $561496.04     | 0.07%             | 2036-04-11      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP76NAC92<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -601000 | NS      | $-601000.00    | -0.07%            |  |  |  | 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      | $2719219.20    | 0.32%             | 2043-03-25      | Floating      | 11.80%                | 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      | $945940.24     | 0.11%             | 2027-06-24      | Floating      | 6.19%                 | 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        |    398437 | PA      | $400508.57     | 0.05%             | 2026-11-15      | 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        |   3178279 | PA      | $1109854.88    | 0.13%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84LAE11<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -594563 | NS      | $-594563.00    | -0.07%            |  |  |  | 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        |   2838953 | PA      | $842033.51     | 0.10%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| East One                                                | East One PLC, Series 2025-1, Class X                                                                           | CUSIP: BCC3Q9BM6<br>LEI: 213800NEAFVXSQQHPC92 | Long             | ABS-MBS          | CORP              | GB        |   1243189 | PA      | $1693450.29    | 0.20%             | 2028-11-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP52MAN56<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1357000 | NS      | $-1357000.00   | -0.16%            |  |  |  | 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      | $4178916.00    | 0.49%             | 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      | $629381.20     | 0.07%             | 2038-09-15      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Man Us Clo Ltd                                          | Man Capital CLO 2021-2R, Ltd., Series 2026-2RA, Class ER                                                       | CUSIP: 56165WAA0<br>LEI: 549300MBY3B6FX1O8T44 | Long             | ABS-CBDO         | CORP              | KY        |    781000 | PA      | $756867.10     | 0.09%             | 2039-04-17      | Floating      | 10.85%                | Yes           |                  2 | On Loan: No      |
| Archwest Mortgage Trust                                 | Archwest Mortgage Trust, Series 2026-RTL1, Class A2                                                            | CUSIP: 03959CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5384000 | PA      | $5397998.40    | 0.63%             | 2041-04-25      | Variable      | 6.02%                 | Yes           |                  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      | $561270.86     | 0.07%             | 2061-01-25      | Floating      | 13.46%                | 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      | $501350.00     | 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        |   2024907 | PA      | $2431236.18    | 0.28%             | 2027-03-21      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0711293<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -224946 | NS      | $-306050.23    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP042GAD6<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1578000 | NS      | $-1578000.00   | -0.18%            |  |  |  | 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      | $3230061.71    | 0.38%             | 2063-01-24      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP917AB50<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1483430 | NS      | $-1483430.00   | -0.17%            |  |  |  | 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      | $544379.16     | 0.06%             | 2050-12-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class B1                                                                       | CUSIP: 75049AAD4<br>LEI: 2549006BAWB1S6RD1R66 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $156090.00     | 0.02%             | 2034-09-25      | Floating      | 8.79%                 | 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      | $609665.19     | 0.07%             | 2029-02-25      | Floating      | 9.69%                 | 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      | $198528.00     | 0.02%             | 2027-11-15      | Fixed         | 13.51%                | 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      | $972700.00     | 0.11%             | 2037-10-15      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP493HAQ8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -842663 | NS      | $-842663.00    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Unlock Hea Trust                                        | Unlock HEA Trust, Series 2025-2, Class A                                                                       | CUSIP: 914917AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2829886 | PA      | $2834979.81    | 0.33%             | 2031-06-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                   | PRPM LLC, Series 2025-2, Class A1                                                                              | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141173 | PA      | $1131815.59    | 0.13%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9545445<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1812500 | NS      | $-2127694.54   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Smrt                                                    | SMRT, Series 2022-MINI, Class E                                                                                | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5740000 | PA      | $5740574.00    | 0.67%             | 2039-01-15      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | UPSTART Securitization Trust, Series 2026-1, Class C                                                           | CUSIP: 91681BAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1746000 | PA      | $1718413.20    | 0.20%             | 2036-03-20      | Fixed         | 5.54%                 | 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      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP966AC06<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1487266 | NS      | $-1487266.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | Burns Charest LLP, Delayed Draw Term Loan Participation Interest                                               | CUSIP: BCHAREST2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2183775 | PA      | $2183774.95    | 0.26%             | 2030-02-27      | Fixed         | 19.20%                | No            |                  3 | On Loan: No      |
| N/A                                                     | Matthew R. Stubbs, LLC, Tranche B Facility Interest                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   6486617 | PA      | $6486617.01    | 0.76%             | 2027-03-23      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark, Series 2025-V13 Mortgage Trust, Class HCE                                                           | CUSIP: 08164ABQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    858000 | PA      | $810552.60     | 0.09%             | 2030-01-15      | Variable      | 6.76%                 | Yes           |                  2 | On Loan: No      |
| Splitero Trust 2025-1                                   | Splitero Trust, Series 2025-1, Class A1                                                                        | CUSIP: 848948AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5062000 | PA      | $5066049.60    | 0.59%             | 2028-11-25      | Fixed         | 5.75%                 | Yes           |                  2 | 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        |   1355404 | PA      | $1436864.05    | 0.17%             | 2036-01-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797UN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14899557.00   | 1.75%             | 2026-07-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Consumo Santander                                       | Santander Consumo 10 FT, Series 2026-10, Class F                                                               | CUSIP: BCC3T56V7<br>LEI: 959800GJKQBW5TDZB992 | Long             | ABS-O            | CORP              | ES        |   1800000 | PA      | $2116190.32    | 0.25%             | 2041-05-22      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                    | Deephaven Residential Mortgage Trust, Series 2026-CES1, Class B1                                               | CUSIP: 24380YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    868000 | PA      | $873468.40     | 0.10%             | 2030-04-25      | Variable      | 7.17%                 | 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        |    553547 | PA      | $519005.45     | 0.06%             | 2036-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2026-NQM4, Class B2                                                | CUSIP: 64790AAK3<br>LEI: 213800UD7J2W19Q88M79 | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1021204.00    | 0.12%             | 2066-02-25      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP3261253<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -471510 | NS      | $-553505.79    | -0.06%            |  |  |  | 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      | $1016900.00    | 0.12%             | 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: 2549006BAWB1S6RD1R66 | Long             | ABS-MBS          | CORP              | US        |   1018847 | PA      | $1023941.33    | 0.12%             | 2034-09-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0556131<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -429207 | NS      | $-503846.28    | -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        |   2060000 | NS      | $2059999.50    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP07VAG05<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2451200 | NS      | $-2451200.00   | -0.29%            |  |  |  | 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      | $3106372.00    | 0.36%             | 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      | $619813.80     | 0.07%             | 2050-09-25      | Floating      | 13.16%                | 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      | $2350618.23    | 0.28%             | 2043-10-27      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1075069<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -334596 | NS      | $-455234.51    | -0.05%            |  |  |  | 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        |    313727 | PA      | $228706.67     | 0.03%             | 2029-02-18      | Floating      | 11.12%                | 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        |    203498 | PA      | $148789.84     | 0.02%             | 2029-02-18      | Floating      | 12.87%                | 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: 254900WBZ6L378GV6Q98 | Long             | ABS-CBDO         | CORP              | JE        |   2751000 | PA      | $2593917.90    | 0.30%             | 2036-10-20      | Floating      | 10.43%                | 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      | $2371458.60    | 0.28%             | 2050-07-25      | Floating      | 13.76%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP948AB12<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3741528 | NS      | $-3741528.00   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-1, Class G                                                                            | CUSIP: BCC39KFB0<br>LEI: 6354004KMSEMXJM3QR12 | Long             | ABS-MBS          | CORP              | GB        |   1014000 | PA      | $1416984.56    | 0.17%             | 2055-05-25      | Floating      | 14.23%                | No            |                  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      | $573979.21     | 0.07%             | 2044-06-15      | Floating      | 6.96%                 | 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        |    464765 | PA      | $536749.47     | 0.06%             | 2032-09-18      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Archwest Mortgage Trust                                 | Archwest Mortgage Trust, Series 2025-RTL1, Class M1                                                            | CUSIP: 039966AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986000 | PA      | $1998114.60    | 0.23%             | 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      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP3618055<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -433932 | NS      | $-590386.08    | -0.07%            |  |  |  | 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        |    115480 | PA      | $137812.71     | 0.02%             | 2032-02-28      | Floating      | 6.16%                 | 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        |    777374 | PA      | $919403.40     | 0.11%             | 2043-04-30      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                      | EFMT, Series 2026-INV2, Class B2                                                                               | CUSIP: 26846TAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159000 | PA      | $1137326.70    | 0.13%             | 2030-02-25      | Variable      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Cfg Investments 2017-1 Limited                          | CFG Investments, Ltd., Series 2025-1, Class B                                                                  | CUSIP: 12528GAN2<br>LEI: 549300C3OD89QRWQ1Y92 | Long             | ABS-O            | CORP              | KY        |   2343000 | PA      | $2383533.90    | 0.28%             | 2029-07-25      | Fixed         | 9.16%                 | Yes           |                  2 | 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      |
| Ellington Financial Mortgage Trust                      | EFMT, Series 2026-NQM4, Class B1                                                                               | CUSIP: 26846KAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2877000 | PA      | $2874410.70    | 0.34%             | 2071-04-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | BP CURRENCY FUT   Jun26                                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -323 | NC      | $-27457018.75  | -3.22%            |  |  |  | No            |                  1 | 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      | $557491.19     | 0.07%             | 2027-06-24      | Floating      | 5.19%                 | 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      | $1422244.80    | 0.17%             | 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      | $91252.50      | 0.01%             | 2035-11-05      | Floating      | 4.82%                 | 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        |    511020 | PA      | $169965.29     | 0.02%             | 2029-10-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2026-1, Class M1                                                | CUSIP: 92262WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1025737 | PA      | $1013428.11    | 0.12%             | 2033-12-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Archwest Mortgage Trust                                 | Archwest Mortgage Trust, Series 2025-RTL1, Class A2                                                            | CUSIP: 039966AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1430143.00    | 0.17%             | 2028-03-25      | Fixed         | 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        |    777696 | PA      | $796827.48     | 0.09%             | 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      | $568808.04     | 0.07%             | 2027-02-27      | Floating      | 12.48%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5598393<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -421274 | NS      | $-494533.73    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0055613<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -324697 | NS      | $-381161.95    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Tagus Stc/ulisses Finance                               | TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 3, Series 2022-3, Class E                | CUSIP: BCC36J2Y0<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    606996 | PA      | $745829.13     | 0.09%             | 2039-06-23      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | Markit CDX NA High Yield Index, Series 44                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2931.64      | -0.00%            |  |  |  | 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      | $657066.47     | 0.08%             | 2065-01-26      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |   -493136 | NS      | $-578892.57    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAB09<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -535504 | NS      | $-535504.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84VAH24<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -765700 | NS      | $-765700.00    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5665556<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -3002263 | NS      | $-3524357.85   | -0.41%            |  |  |  | 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        |    763531 | PA      | $912532.61     | 0.11%             | 2034-03-21      | Floating      | 8.20%                 | 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      | $1021964.72    | 0.12%             | 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      | $893416.80     | 0.10%             | 2029-05-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Domi                                                    | Domi BV, Series 2024-1, Class X                                                                                | CUSIP: BCC3FWSK3<br>LEI: 724500Z3J4FCZQWYOM57 | Long             | ABS-MBS          | CORP              | NL        |     78707 | PA      | $93087.46      | 0.01%             | 2029-09-17      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7717760<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -1447655 | NS      | $-1699402.84   | -0.20%            |  |  |  | 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      | $1930600.00    | 0.23%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP917AA77<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2404435 | NS      | $-2404435.00   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP66WAG15<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -471319 | NS      | $-471319.00    | -0.06%            |  |  |  | No            |                  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        |    413548 | PA      | $428725.68     | 0.05%             | 2059-10-27      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE8, Class A                                                                          | CUSIP: 30191WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6040861 | PA      | $6031799.52    | 0.71%             | 2055-11-25      | Variable      | 5.21%                 | 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        |    748492 | PA      | $589362.48     | 0.07%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust, Series 2024-B, Class E                                                      | CUSIP: 00835AAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4983000 | PA      | $5009409.90    | 0.59%             | 2027-05-17      | Fixed         | 7.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4657695<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1047415 | NS      | $-1425060.24   | -0.17%            |  |  |  | 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        |   1079685 | PA      | $1357557.39    | 0.16%             | 2040-01-31      | Floating      | 13.97%                | 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      | $98478.02      | 0.01%             | 2028-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Crown City Clo                                          | Crown City CLO VI, Series 2024-6A, Class E                                                                     | CUSIP: 22823FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2686000 | PA      | $2656722.60    | 0.31%             | 2037-07-15      | Floating      | 10.17%                | Yes           |                  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      | $672713.93     | 0.08%             | 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        |   -772851 | NS      | $-907250.13    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP89NAA19<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2476560 | NS      | $-2476560.00   | -0.29%            |  |  |  | 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        |    904968 | PA      | $76831.78      | 0.01%             | 2037-09-25      | Floating      | 1.83%                 | 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        |   1155811 | PA      | $605644.92     | 0.07%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2025-P3, Class XS                                                       | CUSIP: 14688AAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70519 | PA      | $5528579.95    | 0.65%             | 2031-03-10      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57JAQ58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -637000 | NS      | $-637000.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                    | Deephaven Residential Mortgage Trust, Series 2026-INV2, Class A1                                               | CUSIP: 24380UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2377034 | PA      | $2390820.45    | 0.28%             | 2071-02-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP20TAJ88<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1120130 | NS      | $-1120130.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| E-carat Plc                                             | E-Carat UK PLC, Series 2026-1, Class G                                                                         | CUSIP: BCC3V56J1<br>LEI: 6354009UVYHN8M4BQB63 | Long             | ABS-O            | CORP              | GB        |   3004000 | PA      | $4092404.73    | 0.48%             | 2034-01-26      | Floating      | 5.33%                 | 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        |   3961000 | PA      | $4041012.20    | 0.47%             | 2030-03-15      | Fixed         | 8.23%                 | 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        |   1294993 | PA      | $1252646.66    | 0.15%             | 2037-04-25      | Floating      | 4.47%                 | 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        |    428707 | PA      | $434708.42     | 0.05%             | 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        |    114147 | PA      | $130700.76     | 0.02%             | 2038-09-20      | Floating      | 7.47%                 | 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      | $3063300.00    | 0.36%             | 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        |   2173796 | PA      | $2215750.07    | 0.26%             | 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      | $2102814.47    | 0.25%             | 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      | $941048.40     | 0.11%             |  |  |  | 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        |    472489 | PA      | $579836.17     | 0.07%             | 2029-07-27      | Floating      | 10.47%                | 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      | $-107.83       | -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        |   1087959 | PA      | $1346249.36    | 0.16%             | 2029-10-22      | Floating      | 10.40%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1815855<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -367372 | NS      | $-499827.89    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48XAA90<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2341009 | NS      | $-2341009.00   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust, Series 2026-4, Class B1                                                            | CUSIP: 924936AN7<br>LEI: 213800IHMG1PWP37P355 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $755025.00     | 0.09%             | 2030-04-25      | Variable      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP19WAF68<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2616000 | NS      | $-2616000.00   | -0.31%            |  |  |  | No            |                  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      | $2604406.00    | 0.31%             | 2048-10-15      | Variable      | 4.51%                 | 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      | $435018.21     | 0.05%             |  |  |  | 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      | $609405.22     | 0.07%             | 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      | $760200.00     | 0.09%             | 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        |    453364 | PA      | $557111.36     | 0.07%             | 2034-12-24      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71XAH70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -310019 | NS      | $-310019.00    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84VAG41<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2509808 | NS      | $-2509808.00   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP79QAH65<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1558000 | NS      | $-1558000.00   | -0.18%            |  |  |  | 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      | $2223015.47    | 0.26%             | 2034-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | 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      | $1255125.00    | 0.15%             | 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      | $823590.65     | 0.10%             | 2028-07-10      | Floating      | 8.06%                 | 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      | $123392.63     | 0.01%             | 2032-10-15      | Floating      | 7.71%                 | 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      | $2238750.00    | 0.26%             | 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        |    698965 | PA      | $721541.72     | 0.08%             | 2036-12-25      | Floating      | 4.22%                 | 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        |    785930 | PA      | $600922.09     | 0.07%             | 2036-03-25      | Floating      | 4.37%                 | No            |                  2 | 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      | $-1051166.67   | -0.12%            |  |  |  | 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      | $422134.60     | 0.05%             | 2045-06-15      | Floating      | 2.99%                 | 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        |   1533500 | PA      | $1618762.60    | 0.19%             | 2033-09-26      | Floating      | 8.85%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | AUD $ Currency Fut                                                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |       -91 | NC      | $-6545175.00   | -0.77%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91FAB22<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3251813 | NS      | $-3251813.00   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| Arini Us Clo Limited                                    | Arini US CLO IV, Ltd., Series 2026-4A, Class D                                                                 | CUSIP: 04039EAG1<br>LEI: 2549000YTF465KO4L531 | Long             | ABS-CBDO         | CORP              | KY        |   1281000 | PA      | $1284971.10    | 0.15%             | 2039-01-15      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Adamas Trust Inc                                        | Adamas Trust, Inc.                                                                                             | CUSIP: 649604865<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |     50000 | NS      | $1207500.00    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Apex Credit Clo Llc                                     | Apex Credit Clo 13, Ltd., Series 2026-13A, Class E                                                             | CUSIP: 03754GAA4<br>LEI: 213800YWVGHPCY8VWA19 | Long             | ABS-CBDO         | CORP              | KY        |   4235000 | PA      | $4207049.00    | 0.49%             | 2039-01-22      | Floating      | 11.17%                | Yes           |                  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        |    606308 | PA      | $608308.62     | 0.07%             | 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        |   -563625 | NS      | $-563625.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Auto Abs                                                | Auto Abs Spanish Loans FT, Series 2022-1, Class E                                                              | CUSIP: BCC368QP7<br>LEI: 959800LZRYPFFESLNU74 | Long             | ABS-O            | CORP              | ES        |    646690 | PA      | $761882.23     | 0.09%             | 2030-02-28      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1946724<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -383734 | NS      | $-450465.51    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Rr Ltd                                                  | RR 18, Ltd., Series 2025-18A, Class DR                                                                         | CUSIP: 749737AJ1<br>LEI: 54930003V8ISBLDELD80 | Long             | ABS-CBDO         | CORP              | KY        |    755000 | PA      | $749413.00     | 0.09%             | 2040-07-15      | Floating      | 8.57%                 | Yes           |                  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        |  77171733 | NS      | $77171732.52   | 9.04%             |  |  |  | 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        |    393335 | PA      | $401280.69     | 0.05%             | 2033-10-25      | Floating      | 8.24%                 | 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      | $793449.47     | 0.09%             | 2036-02-25      | Floating      | 4.31%                 | 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      | $-251395.07    | -0.03%            |  |  |  | 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      | $1068098.50    | 0.13%             | 2055-11-25      | Variable      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp                                      | Rithm Capital Corp.                                                                                            | CUSIP: 64828T508<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |    227261 | NS      | $5695160.66    | 0.67%             |  |  |  | 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        |   5546052 | PA      | $5518321.81    | 0.65%             | 2028-10-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Dowson 2026-1 Plc                                       | Dowson PLC, Series 2026-1, Class F                                                                             | CUSIP: BCC3V1BL9<br>LEI: 213800ARUDISHV4A5218 | Long             | ABS-O            | CORP              | GB        |    869000 | PA      | $1183736.53    | 0.14%             | 2033-05-20      | Floating      | 4.70%                 | No            |                  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      | $1534426.39    | 0.18%             | 2063-01-24      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP76NAD75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -566000 | NS      | $-566000.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Noria                                                   | FCT Noria 2021, Series 2021-1, Class G                                                                         | CUSIP: BCC31BYV3<br>LEI: 5493003C5ECZD3NDSV63 | Long             | ABS-O            | CORP              | FR        |    229468 | PA      | $266274.94     | 0.03%             | 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        |    395227 | PA      | $472030.48     | 0.06%             | 2028-08-14      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Wf-rbs Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C25, Class G                                                      | CUSIP: 92939LBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1103304 | PA      | $987567.33     | 0.12%             | 2047-11-15      | Fixed         | 3.32%                 | Yes           |                  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      | $780769.50     | 0.09%             | 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        |   4896000 | PA      | $4503340.80    | 0.53%             | 2038-09-15      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7177353<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -6220625 | NS      | $-7302394.40   | -0.86%            |  |  |  | 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      | $933400.00     | 0.11%             | 2026-11-15      | Fixed         | 15.49%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5561300<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -374737 | NS      | $-439903.93    | -0.05%            |  |  |  | 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      | $2219840.00    | 0.26%             | 2042-06-25      | Floating      | 15.64%                | Yes           |                  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        |    837293 | PA      | $844242.54     | 0.10%             | 2035-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2Yr Note Future                                                                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -317 | NC      | $-65658625.00  | -7.69%            |  |  |  | No            |                  1 | 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      | $1137077.97    | 0.13%             | 2027-01-20      | Floating      | 7.23%                 | 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        |     73714 | PA      | $74119.37      | 0.01%             | 2029-01-16      | Fixed         | 9.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1453788<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -3188055 | NS      | $-4337507.50   | -0.51%            |  |  |  | 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      | $5954367.91    | 0.70%             | 2028-10-28      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                             | CAFL Issuer LP, Series 2025-RRTL2, Class M1                                                                    | CUSIP: 12770JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2773000 | PA      | $2789915.30    | 0.33%             | 2028-05-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0999963<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -804266 | NS      | $-944128.21    | -0.11%            |  |  |  | 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      | $695958.61     | 0.08%             | 2066-11-26      | Floating      | 6.04%                 | 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      | $735293.48     | 0.09%             | 2026-10-25      | Floating      | 11.73%                | No            |                  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        |   1358977 | PA      | $1195220.34    | 0.14%             | 2035-11-25      | Floating      | 4.44%                 | 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        |    534371 | PA      | $679185.18     | 0.08%             | 2035-07-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-HE2, Class E                                                                          | CUSIP: 31684VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3370000 | PA      | $3329560.00    | 0.39%             | 2056-01-25      | Variable      | 7.06%                 | Yes           |                  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      | $3879009.00    | 0.45%             | 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        |    253773 | PA      | $307108.95     | 0.04%             | 2042-02-24      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |   -350839 | NS      | $-411850.06    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP955AD13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -590525 | NS      | $-590525.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class E                                                                        | CUSIP: BCC3C9324<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    436225 | PA      | $516335.56     | 0.06%             | 2026-10-12      | Floating      | 7.35%                 | 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        |    595975 | PA      | $548296.57     | 0.06%             | 2037-01-25      | Floating      | 4.17%                 | 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      | $2060560.00    | 0.24%             | 2034-06-15      | Floating      | 4.70%                 | 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        |   1011102 | PA      | $1015854.60    | 0.12%             | 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        |  -3303877 | NS      | $-3303877.00   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP58RAA41<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -636000 | NS      | $-636000.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                            | Veros Auto Receivables Trust, Series 2026-1, Class D                                                           | CUSIP: 92511CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2262000 | PA      | $2253856.80    | 0.26%             | 2031-07-15      | Fixed         | 5.66%                 | Yes           |                  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        |   1190217 | PA      | $1221043.63    | 0.14%             | 2060-03-25      | Fixed         | 8.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |   -739463 | NS      | $-868055.94    | -0.10%            |  |  |  | No            |                  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        |     67578 | PA      | $77822.80      | 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      | $1849600.00    | 0.22%             | 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      | $93279.81      | 0.01%             | 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      | $2118802.80    | 0.25%             | 2029-10-22      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Euro FX Currency                                                                                               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -533 | NC      | $-78351000.00  | -9.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Mortimer Btl Plc                                        | Mortimer 2024-Mix PLC, Series 2024-MIX, Class E                                                                | CUSIP: BCC3J5ZN4<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-O            | CORP              | GB        |    815000 | PA      | $1179149.03    | 0.14%             | 2028-06-22      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAC81<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -648916 | NS      | $-648916.00    | -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      | $245981.77     | 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      | $1561460.00    | 0.18%             | 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        |    685737 | PA      | $571081.66     | 0.07%             | 2036-08-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding                                | Purchasing Power Funding LLC, Series 2026-A, Class E                                                           | CUSIP: 74614AAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $743400.00     | 0.09%             | 2028-02-15      | Fixed         | 7.54%                 | 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        |   2449704 | PA      | $2432065.68    | 0.28%             | 2055-09-25      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP8169068<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -526680 | NS      | $-618269.88    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-FL1, Class A1                                                                         | CUSIP: 31684XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4327191 | PA      | $4337144.00    | 0.51%             | 2056-03-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Tpg Re Finance Trust Inc                                | TPG RE Finance Trust, Inc.                                                                                     | CUSIP: 87266M206<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    127534 | NS      | $2350451.62    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6943117<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -3496686 | NS      | $-4104761.22   | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-5, Series 2025-5A, Class E                                            | CUSIP: 30166VAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1226000 | PA      | $1233846.40    | 0.14%             | 2033-06-15      | Fixed         | 7.15%                 | 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      | $2243112.20    | 0.26%             | 2028-11-10      | Fixed         | 9.56%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-HE4, Class A                                                                          | CUSIP: 31685MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10015000 | PA      | $10029021.00   | 1.17%             | 2056-05-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP11BAD64<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1189000 | NS      | $-1189000.00   | -0.14%            |  |  |  | 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        |    423930 | PA      | $439403.50     | 0.05%             | 2054-04-25      | Variable      | 10.72%                | Yes           |                  2 | On Loan: No      |
| Center Street Lending Resi-investor Abs Trust           | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2026-RTL1, Class A2                             | CUSIP: 151704AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $868521.00     | 0.10%             | 2028-07-25      | Fixed         | 6.41%                 | 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      | $758400.00     | 0.09%             | 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        |   -144000 | NS      | $-144000.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-HE1, Class A                                                                          | CUSIP: 30249NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2062459 | PA      | $2041009.11    | 0.24%             | 2056-01-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Bflip Trust                                             | BFLIP , Series 2025-RTL1, Class A1                                                                             | CUSIP: 088924AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4484000 | PA      | $4489380.80    | 0.53%             | 2028-05-25      | Fixed         | 5.69%                 | Yes           |                  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        |   4768000 | PA      | $4833798.40    | 0.57%             | 2028-12-15      | 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        |    635396 | PA      | $558322.32     | 0.07%             | 2036-03-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| E-carat Plc                                             | E-Carat UK PLC, Series 2026-1, Class F                                                                         | CUSIP: BCC3V56H5<br>LEI: 6354009UVYHN8M4BQB63 | Long             | ABS-O            | CORP              | GB        |   2238000 | PA      | $3048868.77    | 0.36%             | 2034-01-26      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10Yr Note Future                                                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -71 | NC      | $-7852156.25   | -0.92%            |  |  |  | No            |                  1 | 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        |    535297 | PA      | $734197.73     | 0.09%             | 2029-02-17      | Floating      | 7.67%                 | 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        |   1125293 | PA      | $1396278.00    | 0.16%             | 2030-12-22      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A                              | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579351 | PA      | $565735.85     | 0.07%             | 2029-09-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2026-1, Class D                                                           | CUSIP: 694969AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3977000 | PA      | $3971829.90    | 0.47%             | 2027-11-15      | Fixed         | 5.74%                 | 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      | $1649644.30    | 0.19%             | 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        |    279938 | PA      | $331543.60     | 0.04%             | 2035-11-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP2629881<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1754091 | NS      | $-2059128.19   | -0.24%            |  |  |  | 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      | $1369213.00    | 0.16%             | 2027-02-25      | Fixed         | 10.18%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -614000 | NS      | $-614000.00    | -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      | $635791.20     | 0.07%             | 2029-03-22      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797UJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49205065.00   | 5.76%             | 2026-10-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sunrise Srl                                             | Sunrise Spv 98 Srl, Series 2026-1, Class E                                                                     | CUSIP: BCC3T38T5<br>LEI: 81560036AE47FD868675 | Long             | ABS-O            | CORP              | IT        |   2989000 | PA      | $3509139.28    | 0.41%             | 2051-04-27      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP683VAC8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -348000 | NS      | $-348000.00    | -0.04%            |  |  |  | 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      | $56964.00      | 0.01%             | 2047-10-10      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Cqs Us Clo Ltd                                          | CQS US Clo 6, Ltd., Series 2026-6A, Class E                                                                    | CUSIP: 223938AA9<br>LEI: 254900Z541K697JPZU75 | Long             | ABS-CBDO         | CORP              | KY        |    971000 | PA      | $961678.40     | 0.11%             | 2039-03-31      | Floating      | 10.53%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP90GAB14<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1536287 | NS      | $-1536287.00   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP79EAE86<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1844822 | NS      | $-1844822.00   | -0.22%            |  |  |  | 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      | $1008517.50    | 0.12%             | 2027-10-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP25SAG12<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -760000 | NS      | $-760000.00    | -0.09%            |  |  |  | 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        |    412346 | PA      | $415026.18     | 0.05%             | 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        |    -69091 | NS      | $-81105.96     | -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        |   1347621 | PA      | $1740363.36    | 0.20%             | 2039-03-17      | Floating      | 4.15%                 | 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      | $523409.40     | 0.06%             | 2036-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2022-2, Class C                                                           | CUSIP: 91679TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930585 | PA      | $763638.01     | 0.09%             | 2026-11-20      | Fixed         | 8.43%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP62RAA86<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2145000 | NS      | $-2145000.00   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP41YAF97<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -398000 | NS      | $-398000.00    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP168AAG7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -439000 | NS      | $-439000.00    | -0.05%            |  |  |  | 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      | $918756.00     | 0.11%             | 2055-02-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-HE1, Class E                                                                          | CUSIP: 30249NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015000 | PA      | $1001805.00    | 0.12%             | 2056-01-25      | Variable      | 6.76%                 | 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      | $520338.41     | 0.06%             | 2027-03-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |  -2162042 | NS      | $-2538022.05   | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP10AAB61<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -562500 | NS      | $-562500.00    | -0.07%            |  |  |  | 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      | $1094985.90    | 0.13%             | 2055-02-25      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Agl Clo Ltd.                                            | AGL CLO 24, Ltd., Series 2025-24A, Class ER                                                                    | CUSIP: 00120HAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1916000 | PA      | $1794908.80    | 0.21%             | 2038-03-31      | Floating      | 10.51%                | 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        |    147752 | PA      | $182586.50     | 0.02%             | 2043-01-26      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class D                                                                        | CUSIP: BCC3G6JR4<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    271259 | PA      | $319067.44     | 0.04%             | 2042-02-24      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Starwood Property Trust Inc                             | Starwood Property Trust, Inc.                                                                                  | CUSIP: 85571B105<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | EC               | CORP              | US        |    114000 | NS      | $2093040.00    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| VONTIVE MORTGAGE TRUST                                  | VNTV 2025-RTL1 A2                                                                                              | CUSIP: 928884AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $762825.00     | 0.09%             | 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        |   1655368 | PA      | $1077478.83    | 0.13%             | 2037-06-25      | Floating      | 3.98%                 | 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        |   1153630 | PA      | $1362914.28    | 0.16%             | 2038-09-28      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Tpg Re Finance Trust Inc                                | TPG RE Finance Trust, Inc.                                                                                     | CUSIP: 87266M107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    211740 | NS      | $1791320.40    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5694046<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -413493 | NS      | $-485399.61    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-HE2, Class F                                                                          | CUSIP: 31684VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178000 | PA      | $1171403.20    | 0.14%             | 2056-01-25      | Variable      | 8.17%                 | Yes           |                  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      | $549936.94     | 0.06%             | 2044-12-18      | Floating      | 6.24%                 | 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        |   1753000 | PA      | $1787183.50    | 0.21%             | 2028-01-25      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0103495<br>LEI: N/A                  | Short            | RA               | CORP              | AU        |  -1871235 | NS      | $-1347289.09   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP75LAG59<br>LEI: N/A                  | Short            | RA               | CORP              | US        |     -1000 | NS      | $-1000.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Np Spe X Lp                                             | NP SPE X LP, Series 2021-1A, Class A1                                                                          | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1030179 | PA      | $929015.09     | 0.11%             | 2026-09-19      | Fixed         | 2.23%                 | Yes           |                  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        |    681969 | PA      | $834593.32     | 0.10%             | 2036-08-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2026-RTL1, Class M1                                                               | CUSIP: 50206JAC9<br>LEI: 52990026MRD22HI0T740 | Long             | ABS-MBS          | CORP              | US        |   1209000 | PA      | $1206702.90    | 0.14%             | 2028-07-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                    | Deephaven Residential Mortgage Trust, Series 2026-INV1, Class B2                                               | CUSIP: 24381GAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1184620.00    | 0.14%             | 2030-01-25      | Variable      | 6.88%                 | Yes           |                  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      | $751500.00     | 0.09%             | 2027-10-25      | Variable      | 7.65%                 | Yes           |                  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      | $754275.00     | 0.09%             | 2028-02-25      | Variable      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                   | PRPM , Series 2026-NQM2, Class A1                                                                              | CUSIP: 69384EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2870000 | PA      | $2876027.00    | 0.34%             | 2071-04-25      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-R3, Class E                                                          | CUSIP: 69549KAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1434428 | PA      | $1438157.96    | 0.17%             | 2033-01-18      | Fixed         | 8.93%                 | 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      | $220780.58     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Upg Hi Issuer Trust                                     | UPG HI Issuer Trust, Series 2025-2, Class C                                                                    | CUSIP: 90321EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1367000 | PA      | $1382583.80    | 0.16%             | 2032-04-25      | Fixed         | 8.80%                 | Yes           |                  2 | On Loan: No      |
| Splitero Trust 2025-1                                   | Splitero Trust, Series 2025-1, Class A2                                                                        | CUSIP: 848948AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4537000 | PA      | $4496167.00    | 0.53%             | 2028-11-25      | Fixed         | 7.00%                 | Yes           |                  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      | $1029300.00    | 0.12%             | 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      | $1764728.40    | 0.21%             | 2051-01-25      | Floating      | 8.39%                 | Yes           |                  2 | On Loan: No      |
| Velocity Com Cap Llc                                    | Velocity Commercial Capital LLC                                                                                | CUSIP: 92259RAE5<br>LEI: 549300TA4MQM8WN2XG31 | Long             | ABS-O            | CORP              | US        |   1011000 | PA      | $1046279.35    | 0.12%             | 2031-02-15      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Domi                                                    | Domi BV, Series 2023-1, Class E                                                                                | CUSIP: BCC38ZBS5<br>LEI: 724500Q9WQ341T63UP90 | Long             | ABS-MBS          | CORP              | NL        |    619000 | PA      | $751931.59     | 0.09%             | 2028-02-15      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                        | Great Wolf Trust, Series 2024-WOLF, Class G                                                                    | CUSIP: 39152MAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1939000 | PA      | $1973514.20    | 0.23%             | 2029-03-15      | Floating      | 9.09%                 | 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        |   2454045 | NS      | $2454045.00    | 0.29%             |  |  |  | No            |                  1 | 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      | $543349.40     | 0.06%             | 2027-09-10      | Floating      | 10.06%                | No            |                  2 | 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      | $-1563.17      | -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        |   3188505 | PA      | $3188504.68    | 0.37%             | 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        |     20330 | PA      | $20227.97      | 0.00%             | 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        |   8612000 | PA      | $8246851.20    | 0.97%             | 2028-11-06      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Trust                                | JP Morgan Mortgage Trust, Series 2026-LTV1, Class A1                                                           | CUSIP: 46660YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5754000 | PA      | $5770111.20    | 0.68%             | 2056-09-25      | Variable      | 5.42%                 | Yes           |                  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      | $2436166.96    | 0.29%             | 2050-12-01      | Floating      | 2.48%                 | 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      | $747200.00     | 0.09%             | 2030-06-17      | Fixed         | 9.74%                 | Yes           |                  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      | $896551.55     | 0.11%             | 2064-10-25      | Floating      | 5.03%                 | 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        |    695000 | PA      | $582896.50     | 0.07%             | 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        |   1935742 | PA      | $1404574.65    | 0.16%             | 2036-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -453000 | NS      | $-453000.00    | -0.05%            |  |  |  | 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      | $520166.32     | 0.06%             | 2036-05-25      | Floating      | 4.22%                 | 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      | $2990803.20    | 0.35%             | 2040-07-30      | Floating      | 10.31%                | 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        |    876308 | PA      | $1079515.63    | 0.13%             | 2033-06-28      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| E-carat Plc                                             | E-Carat UK PLC, Series 2026-1, Class E                                                                         | CUSIP: BCC3V56G7<br>LEI: 6354009UVYHN8M4BQB63 | Long             | ABS-O            | CORP              | GB        |   1963000 | PA      | $2674231.19    | 0.31%             | 2034-01-26      | Floating      | 2.70%                 | 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      | $759075.00     | 0.09%             | 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      | $1396482.50    | 0.16%             | 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      | $111302.40     | 0.01%             | 2031-07-19      | Floating      | 11.54%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP251AA27<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1828929 | NS      | $-1828929.00   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REPO                                                                                                           | CUSIP: RP753ACF9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -513000 | NS      | $-513000.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9504038<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -841974 | NS      | $-988393.65    | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5694053<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -374431 | NS      | $-439544.71    | -0.05%            |  |  |  | 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      | $128158.40     | 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        |   -570000 | NS      | $-570000.00    | -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      | $771900.00     | 0.09%             | 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      | $1292581.77    | 0.15%             | 2043-10-27      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans Llc                                  | Mosaic Solar Loan Trust 2023-2, Series 2023-2A, Class A                                                        | CUSIP: 61945WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274169 | PA      | $260872.22     | 0.03%             | 2037-08-20      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Corporation                 | Triangle Re, Ltd., Series 2021-2, Class B1                                                                     | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    469000 | PA      | $478286.20     | 0.06%             | 2033-10-25      | Floating      | 11.27%                | 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        |   1119000 | PA      | $1170585.90    | 0.14%             | 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      | $2311290.80    | 0.27%             | 2026-09-15      | Floating      | 8.74%                 | 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      | $125675.64     | 0.01%             | 2027-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | 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      | $761748.00     | 0.09%             | 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        |   -297105 | NS      | $-404226.14    | -0.05%            |  |  |  | No            |                  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      | $558976.93     | 0.07%             | 2040-10-10      | Floating      | 7.85%                 | 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      | $245627.72     | 0.03%             | 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      | $2341641.50    | 0.27%             | 2038-09-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91FAA49<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3889000 | NS      | $-3889000.00   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP64ABQ40<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -598455 | NS      | $-598455.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP83AAD28<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -820000 | NS      | $-820000.00    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Chimera Investment Corp                                 | Chimera Investment Corp.                                                                                       | CUSIP: 16934Q604<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     28890 | NS      | $704916.00     | 0.08%             |  |  |  | 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      | $1094595.48    | 0.13%             | 2063-01-24      | Floating      | 5.19%                 | 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        |    144985 | NS      | $2628578.05    | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP966AB23<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1179000 | NS      | $-1179000.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Brant Point Clo Ltd                                     | Brant Point Clo 2023-2, Ltd., Series 2026-2A, Class ER                                                         | CUSIP: 10548DAA7<br>LEI: 254900V4ZBN33V3R8W38 | Long             | ABS-CBDO         | CORP              | JE        |   3031000 | PA      | $3012207.80    | 0.35%             | 2039-01-29      | Floating      | 9.82%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB2, Class M1                                                            | CUSIP: 034648AB1<br>LEI: 2549004R1S5HPVOVG278 | Long             | ABS-MBS          | CORP              | US        |   1794000 | PA      | $1828624.20    | 0.21%             | 2055-12-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2025-1, Class X1                                                                           | CUSIP: BCC3LZFL1<br>LEI: 2138002O8DSFIQGKRU14 | Long             | ABS-MBS          | CORP              | GB        |    301539 | PA      | $413705.39     | 0.05%             | 2029-01-27      | Floating      | 7.88%                 | 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      | $-687833.33    | -0.08%            |  |  |  | No            |                  2 | 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      | $553915.90     | 0.06%             | 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      | $1083527.28    | 0.13%             | 2027-06-27      | Floating      | 8.24%                 | 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        |   1448395 | PA      | $1236929.25    | 0.14%             | 2048-10-15      | Variable      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Magen Capital Group Trust                               | Magen Capital Group Trust, Series 2026-RTL1, Class A2                                                          | CUSIP: 55910AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $752325.00     | 0.09%             | 2028-09-25      | Fixed         | 7.46%                 | 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        |   1393000 | PA      | $1401636.60    | 0.16%             | 2027-11-25      | 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        |   4124830 | PA      | $4201286.09    | 0.49%             | 2027-09-23      | Variable      | 11.68%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP63CAA18<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1169385 | NS      | $-1169385.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP80UAA16<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2160000 | NS      | $-2160000.00   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1989438<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1648097 | NS      | $-2242318.00   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | Bullock Legal Group, Loan Facility                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   2647386 | PA      | $2647386.10    | 0.31%             | 2028-03-28      | Fixed         | 18.00%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP39CAA99<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1603000 | NS      | $-1603000.00   | -0.19%            |  |  |  | No            |                  2 | 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        |    292694 | PA      | $346445.36     | 0.04%             | 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        |    775052 | PA      | $727851.44     | 0.09%             | 2037-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91LAA70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1476000 | NS      | $-1476000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6525819<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -3050936 | NS      | $-4150950.28   | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| Now Trust                                               | NOW Trust, Series 2025-2, Class E                                                                              | CUSIP: BCC3Q5HF3<br>LEI: 98450062E985FE6EE385 | Long             | ABS-O            | CORP              | AU        |   2320000 | PA      | $1668228.35    | 0.20%             | 2029-09-14      | Floating      | 6.89%                 | 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      | $823398.40     | 0.10%             | 2036-08-15      | Variable      | 4.39%                 | 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        |    259038 | PA      | $313328.76     | 0.04%             | 2029-10-22      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | MARKIT CDX HY S46 5Y 06/31 ICE                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $6585653.16    | 0.77%             |  |  |  | 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      | $2811002.60    | 0.33%             | 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      | $28314.86      | 0.00%             | 2027-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP42NAE58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -962000 | NS      | $-962000.00    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Bellemeade Re Lt                                        | Bellemeade Re, Ltd., Series 2025-1, Class M2                                                                   | CUSIP: 07876NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $765075.00     | 0.09%             | 2035-10-25      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7788200<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -387364 | NS      | $-527028.00    | -0.06%            |  |  |  | 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        |    495724 | PA      | $301348.79     | 0.04%             | 2038-07-10      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Palmer Square Clo Ltd                                   | Palmer Square CLO 2022-3, Ltd., Series 2024-3A, Class ER                                                       | CUSIP: 69690BAG0<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |   1451000 | PA      | $1421544.70    | 0.17%             | 2037-07-20      | Floating      | 10.18%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1816150<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -375275 | NS      | $-440535.49    | -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        |   1166000 | PA      | $1257997.40    | 0.15%             | 2043-07-25      | Floating      | 9.54%                 | 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        |  10469427 | PA      | $10503976.06   | 1.23%             | 2039-02-15      | Floating      | 8.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP05YAC75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -526000 | NS      | $-526000.00    | -0.06%            |  |  |  | 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      | $1547852.29    | 0.18%             | 2044-09-10      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Chetwood Mortgage Funding                               | Chetwood Funding PLC, Series 2025-1, Class X                                                                   | CUSIP: BCC3QX2J0<br>LEI: 25490021B1E4KGCN6R73 | Long             | ABS-MBS          | CORP              | GB        |   2443621 | PA      | $3150454.89    | 0.37%             | 2030-11-27      | Fixed         | 0.00%                 | 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        |    145774 | PA      | $173982.00     | 0.02%             | 2026-12-15      | Floating      | 7.60%                 | 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        |    900176 | PA      | $705107.74     | 0.08%             | 2036-05-25      | Floating      | 4.07%                 | 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      | $742329.56     | 0.09%             | 2027-02-26      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP72JAA60<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -7285000 | NS      | $-7285000.00   | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2026-R1, Class D                                                                  | CUSIP: 694971AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1466000 | PA      | $1451046.80    | 0.17%             | 2033-12-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP31BAB71<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -332000 | NS      | $-332000.00    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2026-1, Class E                                                           | CUSIP: 694964AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5052000 | PA      | $5056041.60    | 0.59%             | 2027-09-15      | Fixed         | 9.23%                 | Yes           |                  2 | On Loan: No      |
| Whitebox Clo I Ltd                                      | Whitebox CLO IV, Ltd., Series 2025-4A, Class D2R                                                               | CUSIP: 96467KAW9<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $749925.00     | 0.09%             | 2036-04-20      | Floating      | 9.68%                 | 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      | $96534.00      | 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        |    626540 | PA      | $727258.40     | 0.09%             | 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      | $1135147.80    | 0.13%             | 2043-04-25      | Floating      | 11.24%                | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2026-2, Class C                                                           | CUSIP: 91683AAD2<br>LEI: 549300MM4LHW6AKJUZ51 | Long             | ABS-O            | CORP              | US        |    965000 | PA      | $966640.50     | 0.11%             | 2036-05-20      | Fixed         | 5.83%                 | 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      | $673726.80     | 0.08%             | 2040-10-10      | Floating      | 5.20%                 | 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        |     91154 | PA      | $124962.16     | 0.01%             | 2028-06-25      | Floating      | 11.74%                | 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      | $515242.60     | 0.06%             | 2026-05-15      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class G                                                                        | CUSIP: BCC3C9340<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    279423 | PA      | $333787.88     | 0.04%             | 2026-10-12      | Floating      | 11.10%                | 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      | $3625232.17    | 0.42%             | 2028-10-28      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2023-1, Class F                                                                            | CUSIP: BCC39YWY1<br>LEI: 635400VADRWDQSM8BE46 | Long             | ABS-MBS          | CORP              | GB        |   1499000 | PA      | $2073115.26    | 0.24%             | 2061-02-23      | Floating      | 11.98%                | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class F                                                                        | CUSIP: BCC3C9332<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    271285 | PA      | $321932.26     | 0.04%             | 2026-10-12      | Floating      | 9.35%                 | No            |                  2 | On Loan: No      |
| Rckt Trust                                              | RCKT Trust 2025-PL2, Series 2025-2A, Class R1                                                                  | CUSIP: 74939HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164000 | PA      | $853508.23     | 0.10%             | 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      | $3078078.60    | 0.36%             | 2038-09-15      | Floating      | 5.22%                 | 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      | $2506719.90    | 0.29%             | 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      | $577368.00     | 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      | $4548927.58    | 0.53%             | 2050-10-27      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-through Certificates           | ILPT Commercial Mortgage Trust, Series 2025-LPF2, Class E                                                      | CUSIP: 451955AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4239000 | PA      | $4325051.70    | 0.51%             | 2030-07-13      | Variable      | 8.47%                 | 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      | $929593.40     | 0.11%             | 2050-01-25      | Floating      | 9.01%                 | Yes           |                  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        |    309344 | PA      | $221459.31     | 0.03%             | 2036-07-25      | Floating      | 4.42%                 | 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      | $688051.60     | 0.08%             | 2030-12-15      | Floating      | 5.95%                 | 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      | $938400.00     | 0.11%             | 2026-05-15      | Floating      | 5.52%                 | 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      | $468652.80     | 0.05%             | 2028-04-20      | Fixed         | 11.87%                | Yes           |                  2 | On Loan: No      |
| Apollo Commercial Real Estate Finance Inc               | Apollo Commercial Real Estate Finance, Inc.                                                                    | CUSIP: 03762U105<br>LEI: 549300E0AN7M2AQHSY29 | Long             | EC               | CORP              | US        |    100000 | NS      | $1094000.00    | 0.13%             |  |  |  | No            |                  1 | 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        |    852000 | PA      | $1160811.27    | 0.14%             | 2049-06-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP49KAC27<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1073595 | NS      | $-1073595.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | UPSTART Securitization Trust, Series 2026-1, Class D                                                           | CUSIP: 91681BAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2183000 | PA      | $2169247.10    | 0.25%             | 2036-03-20      | Fixed         | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Np Spe Ix Lp                                            | NP SPE IX LP, Series 2019-1A, Class A2                                                                         | CUSIP: 62954JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3367509 | PA      | $3157713.19    | 0.37%             | 2026-09-20      | Fixed         | 3.24%                 | 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        |    331122 | PA      | $239481.00     | 0.03%             | 2035-06-11      | Floating      | 11.88%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0999708<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1170898 | NS      | $-1374517.67   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP76NAE58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -566000 | NS      | $-566000.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2026-R1, Series 2026-R1A, Class D                                     | CUSIP: 76089TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4599000 | PA      | $4531854.60    | 0.53%             | 2029-08-25      | Fixed         | 7.72%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Mortgage Trust Inc                           | Blackstone Mortgage Trust, Inc.                                                                                | CUSIP: 09257W100<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | EC               | CORP              | US        |    100000 | NS      | $1899000.00    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71NAH98<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -580331 | NS      | $-580331.00    | -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      | $7286753.00    | 0.85%             | 2030-11-10      | 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        |   3303838 | PA      | $3905525.27    | 0.46%             | 2043-04-30      | Floating      | 5.73%                 | 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      | $560602.56     | 0.07%             | 2044-12-18      | Floating      | 6.24%                 | 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      | $321012.44     | 0.04%             | 2029-09-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Kre Commercial Mortgage Trust                           | KRE Commercial Mortgage Trust, Series 2026-ICNA, Class D                                                       | CUSIP: 48275LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747000 | PA      | $751407.30     | 0.09%             | 2028-04-15      | Floating      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2025-2, Class X1                                                                           | CUSIP: BCC3N2D67<br>LEI: 6354008SKUHLCPHT7N63 | Long             | ABS-MBS          | CORP              | GB        |   3985068 | PA      | $5461463.75    | 0.64%             | 2068-08-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-HE1, Class F                                                                          | CUSIP: 30249NAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576000 | PA      | $570528.00     | 0.07%             | 2056-01-25      | Variable      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91HAG74<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3088541 | NS      | $-3088541.00   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1000050<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -652778 | NS      | $-766296.38    | -0.09%            |  |  |  | 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      | $632908.71     | 0.07%             | 2060-06-20      | Floating      | 8.74%                 | 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      | $1987865.60    | 0.23%             | 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        |    326205 | PA      | $385535.86     | 0.05%             | 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        |   -546000 | NS      | $-546000.00    | -0.06%            |  |  |  | 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      | $2103168.60    | 0.25%             | 2030-04-15      | Fixed         | 10.45%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84XAA37<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3987000 | NS      | $-3987000.00   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48BAJ61<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2074706 | NS      | $-2074706.00   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Dowson                                                  | Dowson PLC, Series 2024-1, Class F                                                                             | CUSIP: BCC3HXVH2<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |   2305000 | PA      | $3199102.17    | 0.37%             | 2031-08-20      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2026-HE4, Class E                                                                          | CUSIP: 31685MAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    753000 | PA      | $754882.50     | 0.09%             | 2056-05-25      | Variable      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Home Re Ltd                                             | Home Re, Ltd., Series 2026-1, Class M2                                                                         | CUSIP: 436956AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   1870000 | PA      | $1884025.00    | 0.22%             | 2031-01-25      | Floating      | 6.84%                 | 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      | $814751.80     | 0.10%             | 2035-03-19      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Bridge Street Clo                                       | Bridge Street CLO II, Ltd., Series 2026-1A, Class ER                                                           | CUSIP: 10806LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2087000 | PA      | $2013746.30    | 0.24%             | 2039-01-20      | Floating      | 10.53%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP83AAE01<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2339000 | NS      | $-2339000.00   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |  -1604617 | NS      | $-1883660.60   | -0.22%            |  |  |  | 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      | $2050194.00    | 0.24%             | 2050-12-25      | Floating      | 9.29%                 | Yes           |                  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        |    403758 | PA      | $300234.18     | 0.04%             | 2035-11-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9459457<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -444931 | NS      | $-522304.70    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84EAE05<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2582742 | NS      | $-2582742.00   | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Domi                                                    | Domi BV, Series 2021-1, Class E                                                                                | CUSIP: BCC30J4T5<br>LEI: 724500GC0MQI1HTJVG97 | Long             | ABS-MBS          | CORP              | NL        |    704000 | PA      | $832458.82     | 0.10%             | 2053-06-15      | Floating      | 8.65%                 | 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      | $684280.60     | 0.08%             | 2043-04-25      | Floating      | 9.99%                 | 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      | $1544244.00    | 0.18%             | 2036-06-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                                       | Cedar Funding X CLO, Ltd., Series 2024-10A, Class ER2                                                          | CUSIP: 15034MAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | NUSS              | KY        |   2115000 | PA      | $1992118.50    | 0.23%             | 2037-10-20      | Floating      | 10.43%                | Yes           |                  2 | On Loan: No      |
| Ab Bsl Clo Ltd                                          | AB BSL CLO 7, Ltd., Series 2026-7A, Class E                                                                    | CUSIP: 00039PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2064000 | PA      | $2046249.60    | 0.24%             | 2039-01-15      | Floating      | 9.27%                 | Yes           |                  2 | On Loan: No      |
| A&d Mortgage Trust                                      | A&D Mortgage Trust, Series 2026-NQM1, Class B1                                                                 | CUSIP: 00040DAJ2<br>LEI: 984500FEB1BEC4C6Y473 | Long             | ABS-MBS          | CORP              | US        |   2286000 | PA      | $2263140.00    | 0.27%             | 2030-01-25      | Variable      | 6.52%                 | 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      | $2225953.20    | 0.26%             | 2026-06-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP67MAG24<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2156000 | NS      | $-2156000.00   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | PPL Home Healthcare                                                                                            | CUSIP: PPLEQ2026<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   3000000 | NS      | $3000000.00    | 0.35%             |  |  |  | No            |                  3 | On Loan: No      |
| Bflip Trust                                             | BFLIP , Series 2025-RTL1, Class A2                                                                             | CUSIP: 088924AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2242000 | PA      | $2245363.00    | 0.26%             | 2028-05-25      | Fixed         | 7.64%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0726035<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -1372059 | NS      | $-1610660.66   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Sbl Holdings Inc                                        | SBL Holdings, Inc.                                                                                             | CUSIP: 78397DAC2<br>LEI: 635400MJW3QDSBJRKQ59 | Long             | ABS-O            | CORP              | US        |   7200000 | PA      | $6515160.48    | 0.76%             | 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        |   -583000 | NS      | $-583000.00    | -0.07%            |  |  |  | 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        |   2021468 | PA      | $146354.26     | 0.02%             | 2037-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP2449171<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1568699 | NS      | $-2134293.07   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | BriteCap SPV 3 LLC, Loan Facility                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   6197947 | PA      | $6197947.05    | 0.73%             | 2027-06-30      | Variable      | 10.41%                | No            |                  3 | On Loan: No      |
| Quarzo Srl                                              | Quarzo Srl, Series 2024-1, Class D                                                                             | CUSIP: BCC3G2GS4<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |    297570 | PA      | $354522.02     | 0.04%             | 2041-06-15      | Floating      | 5.85%                 | 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        |   1174337 | PA      | $1390548.34    | 0.16%             | 2034-02-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP938AA94<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -720968 | NS      | $-720968.00    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited         | HOMES , Series 2026-NQM2, Class A1                                                                             | CUSIP: 43761GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2166110 | PA      | $2183871.85    | 0.26%             | 2030-03-25      | Variable      | 5.49%                 | Yes           |                  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        |    666320 | PA      | $675049.15     | 0.08%             | 2032-12-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP673ZH84<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -352000 | NS      | $-352000.00    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7194672<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -585232 | NS      | $-687004.10    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Autoflorence                                            | AutoFlorence 2 Srl, Series 2021-2, Class F                                                                     | CUSIP: BCC31J357<br>LEI: 815600C91B7AF7C88210 | Long             | ABS-O            | CORP              | IT        |     12499 | PA      | $14719.95      | 0.00%             | 2044-12-24      | Fixed         | 5.00%                 | No            |                  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      | $3940502.03    | 0.46%             | 2034-05-25      | Floating      | 6.47%                 | 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        |    373139 | PA      | $375713.57     | 0.04%             | 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      | $515.10        | 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      | $819435.60     | 0.10%             | 2059-11-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57XAJ90<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -600096 | NS      | $-600096.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB2, Class B1                                                            | CUSIP: 034648AE5<br>LEI: 2549004R1S5HPVOVG278 | Long             | ABS-MBS          | CORP              | US        |   1327000 | PA      | $1336952.50    | 0.16%             | 2055-12-25      | Floating      | 7.39%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0271946<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |    -78652 | NS      | $-92329.62     | -0.01%            |  |  |  | No            |                  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      | $280140.00     | 0.03%             | 2027-11-15      | Fixed         | 8.64%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-W1, Class M1                                | CUSIP: 86361CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2118285 | PA      | $2268471.26    | 0.27%             | 2046-08-25      | Floating      | 4.07%                 | 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        |    804719 | PA      | $703807.51     | 0.08%             | 2036-08-25      | Floating      | 4.59%                 | 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      | $150077.43     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48GAA67<br>LEI: N/A                  | Short            | RA               | CORP              | US        | -11362096 | NS      | $-11362096.00  | -1.33%            |  |  |  | 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        |   1382810 | PA      | $377230.44     | 0.04%             | 2036-02-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6966609<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1722753 | NS      | $-2343891.20   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| East One                                                | East One PLC, Series 2025-1, Class F                                                                           | CUSIP: BCC3Q9BK0<br>LEI: 213800NEAFVXSQQHPC92 | Long             | ABS-MBS          | CORP              | GB        |   1773999 | PA      | $2462368.89    | 0.29%             | 2028-11-25      | Floating      | 8.38%                 | No            |                  2 | 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      | $768150.00     | 0.09%             | 2040-04-25      | Variable      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Clo Ltd                                   | Palmer Square CLO 2020-3, Ltd., Series 2025-3A, Class DR3                                                      | CUSIP: 69701TAQ6<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | JE        |   1795000 | PA      | $1716558.50    | 0.20%             | 2036-11-15      | Floating      | 10.15%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | GRDN 2024-1 B                                                                                                  | CUSIP: BCC3JLXT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | SE        |  19195229 | PA      | $2094600.19    | 0.25%             | 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        |   1283897 | PA      | $1284153.63    | 0.15%             | 2052-04-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP956AD88<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1326000 | NS      | $-1326000.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Trust                                | JP Morgan Mortgage Trust, Series 2026-ACES1, Class B1                                                          | CUSIP: 46664MBS9<br>LEI: 529900YPO46YLJDFF157 | Long             | ABS-MBS          | CORP              | US        |   3213000 | PA      | $3220711.20    | 0.38%             | 2031-02-25      | Variable      | 0.00%                 | Yes           |                  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      | $2789077.50    | 0.33%             | 2044-02-25      | Floating      | 7.34%                 | Yes           |                  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        |    542918 | PA      | $517400.77     | 0.06%             | 2035-08-25      | Floating      | 5.79%                 | 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        |    190193 | PA      | $239119.90     | 0.03%             | 2038-09-20      | Floating      | 14.12%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4185504<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -608300 | NS      | $-827622.43    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4013Z97<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -2340000 | NS      | $-2746927.02   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| Point Securitization Trust                              | Point Securitization Trust, Series 2026-1, Class A2                                                            | CUSIP: 73072JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2088000 | PA      | $2052295.20    | 0.24%             | 2029-02-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7719138<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -588463 | NS      | $-800633.20    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57JAN28<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4294238 | NS      | $-4294238.00   | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| Polus Us Clo Ltd                                        | Polus US Clo III, Ltd., Series 2026-3A, Class E                                                                | CUSIP: 73163CAA1<br>LEI: 254900OPD0AER66IHX11 | Long             | ABS-CBDO         | CORP              | KY        |   1591000 | PA      | $1560771.00    | 0.18%             | 2039-01-20      | Floating      | 9.51%                 | Yes           |                  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      | $182070.00     | 0.02%             | 2027-04-15      | Fixed         | 10.44%                | Yes           |                  2 | 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        |   3086286 | PA      | $3627339.75    | 0.42%             | 2035-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Acquisition Corp                     | J.P. Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2                                              | CUSIP: 46625SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1163144 | PA      | $1157444.43    | 0.14%             | 2036-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48MAA36<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -348000 | NS      | $-348000.00    | -0.04%            |  |  |  | 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      | $15108194.40   | 1.77%             | 2026-09-15      | Floating      | 7.84%                 | 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      | $2001600.00    | 0.23%             | 2029-04-15      | Floating      | 7.84%                 | 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      | $1747550.00    | 0.20%             | 2034-07-25      | Fixed         | 7.12%                 | Yes           |                  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      | $905189.34     | 0.11%             | 2065-01-26      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP58BAU26<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1055618 | NS      | $-1055618.00   | -0.12%            |  |  |  | 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      | $-341906.22    | -0.04%            |  |  |  | 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      | $601885.45     | 0.07%             | 2028-07-27      | Floating      | 7.85%                 | No            |                  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        |    273862 | PA      | $375509.00     | 0.04%             | 2028-06-22      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-through Trust                   | Upstart Structured Pass-Through Trust, Series 2022-4A, Class C                                                 | CUSIP: 91680YBF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2147635 | PA      | $2179205.44    | 0.26%             | 2030-11-15      | Fixed         | 10.90%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7177601<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -1066693 | NS      | $-1252191.38   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Trust 2025-6, Series 2025-6A, Class E                                             | CUSIP: 76100HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4102000 | PA      | $4103640.80    | 0.48%             | 2027-12-25      | Fixed         | 10.53%                | Yes           |                  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        |    428327 | PA      | $432353.37     | 0.05%             | 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        |     85907 | PA      | $106887.03     | 0.01%             | 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        |   3096880 | PA      | $3133423.53    | 0.37%             | 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        |    787060 | PA      | $734090.99     | 0.09%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9459028<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1310203 | NS      | $-1538047.87   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP400R8J8<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |   -468664 | NS      | $-550164.87    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6942812<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1911076 | NS      | $-2243412.95   | -0.26%            |  |  |  | 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      | $130577.55     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Wf-rbs Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class D                                                      | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |   1401053 | PA      | $1014922.74    | 0.12%             | 2046-08-15      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-30

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

**Signature:** Crystal Frumberg

**Name of Signer:** Crystal Frumberg

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