# EDGAR Filing Document

**Accession Number:** 0001560672
**File Stem:** 0000894189-26-016970
**Filing Date:** 2026-6
**Character Count:** 157919
**Document Hash:** 92b21fc1fb04427ed5275373f5abf28c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-26-016970.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000894189-26-016970

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Ellington Credit Co
- **CENTRAL INDEX KEY:** 0001560672
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]

**ORGANIZATION NAME:**
- **EIN:** 460687599
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-24071
- **FILM NUMBER:** 261052351

**BUSINESS ADDRESS:**
- **STREET 1:** 53 FOREST AVENUE
- **CITY:** OLD GREENWICH
- **STATE:** CT
- **ZIP:** 06870
- **BUSINESS PHONE:** (203) 698-1200

**MAIL ADDRESS:**
- **STREET 1:** 53 FOREST AVENUE
- **CITY:** OLD GREENWICH
- **STATE:** CT
- **ZIP:** 06870

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Ellington Residential Mortgage REIT
- **DATE OF NAME CHANGE:** 20121018

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Ellington Credit Co

- **b. Investment Company Act file number:** 811-24071

- **c. CIK number of Registrant:** 0001560672

- **d. LEI of Registrant:** 549300KA3MR2ZCRGA787

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

  - **Street Address 1:** 53 Forest Avenue

  - **City:** Old Greenwich

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06870

  - **Telephone number:** 203-698-1200

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

- **a. Name of Series:** Ellington Credit Co

- **c. LEI of Series:** 549300KA3MR2ZCRGA787

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $386926684.75

**Total Liabilities:** $233105219.75

**Net Assets:** $153821465.00

**Delayed Delivery Securities:** $2157239.78

**Cash Not Reported:** $766171.43

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** -1232.000000000000 | **1-Year:** 23374.000000000000 | **5-Year:** 74371.000000000000 | **10-Year:** 1505.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 5.20%                | -8.90%               | -7.68%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $106560.80               | $-4513123.80                               |
| Month 2  | $-147354.86              | $-20323570.99                              |
| Month 3  | $66742.51                | $-12288552.26                              |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Atlas Senior Loan Fund LTD                                              | Atlas Senior Loan Fund XXIV Ltd                                         | CUSIP: 04943QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3010000 | PA      | $1515364.94   | 0.99%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Atlas Static Senior Loan Fund                                           | Atlas Static Senior Loan Fund I Ltd                                     | CUSIP: 04942QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $995000.00    | 0.65%             | 2030-07-15      | Floating      | 12.18%                | Yes           | 2                  | On Loan: No      |
| Babson Euro CLO B.V.                                                    | Barings Euro CLO 2021-1 DAC                                             | CUSIP: BCC2R9ZP4<br>LEI: 549300D83T2O13OUPP03 | Long             | ABS-CBDO         | CORP              | IE        |   1250000 | PA      | $183806.67    | 0.12%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Crown City CLO                                                          | Crown City CLO II                                                       | CUSIP: 22823JAC1<br>LEI: 549300TQXORNUWLBOD84 | Long             | ABS-CBDO         | CORP              | KY        |   5217081 | PA      | $1357776.63   | 0.88%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Crown City CLO I                                                        | Crown City CLO I                                                        | CUSIP: 22823TAC9<br>LEI: 549300K60T4GC7BSX929 | Long             | ABS-CBDO         | CORP              | KY        |   6850000 | PA      | $1781000.00   | 1.16%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Crown Point CLO Ltd                                                     | Crown Point CLO 10 Ltd                                                  | CUSIP: 22846GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1556881.42   | 1.01%             | 2034-07-20      | Floating      | 10.78%                | Yes           | 2                  | On Loan: No      |
| Crown Point CLO Ltd                                                     | Crown Point CLO 9 Ltd                                                   | CUSIP: 22846EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2376012.50   | 1.54%             | 2034-07-14      | Floating      | 10.69%                | Yes           | 2                  | On Loan: No      |
| Saratoga Investment Corp CLO Ltd                                        | Saratoga Investment Corp CLO 2013-1 Ltd                                 | CUSIP: 80349CAQ8<br>LEI: 549300471O2DE0Y4L506 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $912731.20    | 0.59%             | 2033-04-20      | Floating      | 11.43%                | Yes           | 3                  | On Loan: No      |
| SOLARAY LLC DELAYED DRAW TL                                             | SOLARAY LLC DELAYED DRAW TL                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     18764 | PA      | $17685.29     | 0.01%             | 2028-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC DELAYED DRAW TL (Add-On)                                    | SOLARAY LLC DELAYED DRAW TL (Add-On)                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    102759 | PA      | $96850.56     | 0.06%             | 2028-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC TERM  1L Sr. Secd                                           | SOLARAY LLC TERM  1L Sr. Secd                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    177710 | PA      | $142167.68    | 0.09%             | 2025-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SPX Index                                                               | SPX US 06/18/26 P5250                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        60 | NC      | $201300.00    | 0.13%             |  |  |  | No            | 1                  | On Loan: No      |
| SRLN.BCI-LDN-Swap                                                       | SRLN.BCI-LDN-Swap                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO IX DAC                                                    | CUSIP: BCC3536K2<br>LEI: 5493005PKRP7MRYF1M95 | Long             | ABS-CBDO         | CORP              | IE        |   1450000 | PA      | $423806.48    | 0.28%             | 2035-07-20      | Floating      | 11.96%                | Yes           | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO IV DAC                                                    | CUSIP: BCC2H8851<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $577280.00    | 0.38%             | 2030-04-25      | Floating      | 8.61%                 | Yes           | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO IV DAC                                                    | CUSIP: BCC2H8869<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1400000 | PA      | $297495.48    | 0.19%             |  |  |  | Yes           | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO V DAC                                                     | CUSIP: BCC2DYTI7<br>LEI: 635400LOBVY9OW2EI809 | Long             | ABS-CBDO         | CORP              | IE        |   1650000 | PA      | $762009.60    | 0.50%             | 2030-02-20      | Floating      | 8.61%                 | Yes           | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO VII DAC                                                   | CUSIP: BCC2H8F20<br>LEI: 635400XNW8X824E1MY52 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $252510.93    | 0.16%             |  |  |  | Yes           | 3                  | On Loan: No      |
| State Street Blackstone Senior Loan ETF                                 | State Street Blackstone Senior Loan ETF                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       853 | NC      | $27722.50     | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| SWAP25-1678                                                             | SWAP25-1678                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $20408.87     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| SWAP26-0542                                                             | SWAP26-0542                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $102349.22    | 0.07%             |  |  |  | No            | 2                  | On Loan: No      |
| SWAP26-0543                                                             | SWAP26-0543                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $12994.00     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| SWAP26-0567                                                             | SWAP26-0567                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $17551.79     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| SWAP26-0568                                                             | SWAP26-0568                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $5170.86      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XXIII Ltd                                                  | CUSIP: BCC2PT658<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $404877.00    | 0.26%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XVI Ltd                                                    | CUSIP: 87165TAE4<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   2255000 | PA      | $1929481.55   | 1.25%             | 2031-10-15      | Floating      | 10.03%                | Yes           | 2                  | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XXVI Ltd                                                   | CUSIP: BCC2D1MU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $29931.12     | 0.02%             |  |  |  | Yes           | 3                  | On Loan: No      |
| TCW CLO 2021-1, Ltd.                                                    | TCW CLO 2021-1 Ltd                                                      | CUSIP: 87190LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8400000 | PA      | $2677995.60   | 1.74%             |  |  |  | Yes           | 3                  | On Loan: No      |
| TCW Gem Ltd                                                             | TCW CLO 2023-1 Ltd                                                      | CUSIP: 871976AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $310800.00    | 0.20%             |  |  |  | Yes           | 3                  | On Loan: No      |
| TCW Gem Ltd                                                             | TCW CLO 2023-1 Ltd                                                      | CUSIP: BCC38TBP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $672000.00    | 0.44%             |  |  |  | Yes           | 3                  | On Loan: No      |
| TCW Gem Ltd                                                             | TCW CLO 2025-1 LTD                                                      | CUSIP: 872409AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1775000 | PA      | $1011750.00   | 0.66%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Greywolf CLO Ltd                                                        | Greywolf CLO II Ltd                                                     | CUSIP: 39808GAL0<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1370000 | PA      | $198222.77    | 0.13%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                                        | Greywolf CLO II Ltd                                                     | CUSIP: 39808GAN6<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1939030.00   | 1.26%             | 2034-04-15      | Floating      | 10.98%                | Yes           | 2                  | On Loan: No      |
| Greywolf CLO Ltd                                                        | Greywolf CLO II Ltd                                                     | CUSIP: BCC2EN471<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1130000 | PA      | $163497.61    | 0.11%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Guggenheim CLO 2020-1 Ltd                                               | Guggenheim CLO 2020-1 Ltd                                               | CUSIP: 40172DAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1990000.00   | 1.29%             | 2031-04-15      | Floating      | 11.08%                | Yes           | 2                  | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                                 | HalseyPoint CLO 3 Ltd                                                   | CUSIP: 40638VAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    860000 | PA      | $793255.68    | 0.52%             | 2037-07-30      | Floating      | 11.78%                | Yes           | 2                  | On Loan: No      |
| Harvest CLO                                                             | Harvest Clo XXIX DAC                                                    | CUSIP: BCC3GDSD0<br>LEI: 635400UTMKWBSVMHDJ97 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3106311.35   | 2.02%             | 2037-07-15      | Floating      | 10.64%                | Yes           | 2                  | On Loan: No      |
| Henley Funding Ltd.                                                     | Henley Clo XIII DAC                                                     | CUSIP: BCC3N3P39<br>LEI: 635400GYWK6CANWU6S92 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1052245.20   | 0.68%             | 2038-10-15      | Floating      | 10.44%                | Yes           | 3                  | On Loan: No      |
| HPS Loan Management Ltd                                                 | HPS Loan Management 2025-24 Ltd                                         | CUSIP: 44332YAE2<br>LEI: 213800UJ8Z9IW1VRPP64 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1385172.00   | 0.90%             |  |  |  | Yes           | 3                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US CLO 2014-1 Ltd                                                   | CUSIP: 44928YAN2<br>LEI: 25490053S2JSJU63Y978 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3837520.00   | 2.49%             | 2034-10-20      | Floating      | 12.28%                | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US CLO 2017-1 Ltd                                                   | CUSIP: 449254AD3<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2246000.00   | 1.46%             | 2034-07-28      | Floating      | 11.29%                | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US CLO 2014-2 Ltd                                                   | CUSIP: 44929CAJ8<br>LEI: 635400O9MVLOIBCDSR77 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1581402.46   | 1.03%             | 2031-01-15      | Floating      | 9.13%                 | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US Clo 2021-3 Ltd                                                   | CUSIP: 449249AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $638643.20    | 0.42%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Invesco Euro CLO                                                        | Invesco Euro CLO V DAC                                                  | CUSIP: BCC2Q8F53<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |   1720000 | PA      | $14856.09     | 0.01%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Invesco Euro CLO                                                        | Invesco Euro CLO I DAC                                                  | CUSIP: BCC2I8AE8<br>LEI: 549300GHZE7CYFQDBC40 | Long             | ABS-CBDO         | CORP              | IE        |   1970000 | PA      | $39712.48     | 0.03%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Invesco Euro CLO XIV DAC                                                | Invesco Euro CLO XIV DAC                                                | CUSIP: BCC3J9996<br>LEI: 635400MNIFG73L1C7S65 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $258709.34    | 0.17%             | 2039-01-15      | Floating      | 10.58%                | Yes           | 3                  | On Loan: No      |
| Invesco Senior Loan ETF                                                 | Invesco Senior Loan ETF                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      4000 | NC      | $130000.00    | 0.08%             |  |  |  | No            | 1                  | On Loan: No      |
| ISAGENIX INTL TERM  1L SR. SECD 5/3/2023                                | ISAGENIX INTL TERM  1L SR. SECD 5/3/2023                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    104760 | PA      | $8192.54      | 0.01%             | 2027-09-22      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| ISAGENIX_EQUITY                                                         | ISAGENIX_EQUITY                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |      6300 | NS      | $63.00        | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| iShares Russell 2000 ETF                                                | IWM US 05/15/26 P200                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      1000 | NC      | $94000.00     | 0.06%             |  |  |  | No            | 1                  | On Loan: No      |
| Voya CLO Ltd                                                            | Voya CLO 2025-1 Ltd                                                     | CUSIP: 92945LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $2286483.20   | 1.49%             |  |  |  | Yes           | 3                  | On Loan: No      |
| WELF-2021-3-FEE                                                         | WELF-2021-3-FEE                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $760.00       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                                       | Wellfleet CLO 2021-4 Ltd                                                | CUSIP: 89300KAC9<br>LEI: 254900EH90TKUEDWUZ75 | Long             | ABS-CBDO         | CORP              | KY        |   1709636 | PA      | $649661.68    | 0.42%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                                       | Wellfleet CLO 2021-3 Ltd                                                | CUSIP: 94951KAA5<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   7600000 | PA      | $1219876.00   | 0.79%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                                       | Wellfleet CLO 2021-3 Ltd                                                | CUSIP: 94951KAC1<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1046375.00   | 0.68%             | 2035-01-15      | Floating      | 11.03%                | Yes           | 2                  | On Loan: No      |
| Wellfleet CLO Ltd                                                       | Wellfleet Clo 2019-1 Ltd                                                | CUSIP: 94950QAA3<br>LEI: 254900IGQ7EODCWHCM84 | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $937892.03    | 0.61%             | 2032-07-20      | Floating      | 10.83%                | Yes           | 3                  | On Loan: No      |
| Whitehorse Ltd                                                          | WhiteHorse X Ltd                                                        | CUSIP: BCC28WVJ2<br>LEI: 549300UT33WDDDZEYN84 | Long             | ABS-CBDO         | CORP              | KY        |    286788 | PA      | $28.68        | 0.00%             | 2027-04-17      | Floating      | 10.18%                | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                      | Wind River 2021-1 CLO Ltd                                               | CUSIP: 97314HAN9<br>LEI: 549300OBHD9JXBHL6R27 | Long             | ABS-CBDO         | CORP              | KY        |   4650000 | PA      | $1488000.00   | 0.97%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                      | THL Credit Wind River 2019-3 Clo Ltd                                    | CUSIP: 87249WAC1<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |  12710000 | PA      | $1779400.00   | 1.16%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                      | Wind River 2019-3 CLO Ltd                                               | CUSIP: 97314GAG6<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1449250.00   | 0.94%             | 2038-01-15      | Floating      | 12.29%                | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                      | Wind River 2022-1 CLO Ltd                                               | CUSIP: 97316GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2222750.00   | 1.45%             | 2035-07-20      | Floating      | 11.79%                | Yes           | 2                  | On Loan: No      |
| WINDR 2021-1A VAR FEE LETTER                                            | WINDR 2021-1A VAR FEE LETTER                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $465.00       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| WINDR-2019-3A-FEE                                                       | WINDR-2019-3A-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | CA        |  12710000 | PA      | $158875.00    | 0.10%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Bosphorus CLO                                                           | Bosphorus CLO V DAC                                                     | CUSIP: BCC2LZ997<br>LEI: 635400MHW87IZ2JWGW83 | Long             | ABS-CBDO         | CORP              | IE        |   2025000 | PA      | $2257323.55   | 1.47%             | 2032-12-12      | Floating      | 11.68%                | Yes           | 2                  | On Loan: No      |
| Adagio CLO                                                              | Adagio IX EUR CLO DAC                                                   | CUSIP: BCC31S1W0<br>LEI: 6354005EJNXCFKLYWM39 | Long             | ABS-CBDO         | CORP              | IE        |   1560000 | PA      | $1704838.67   | 1.11%             | 2034-09-15      | Floating      | 8.17%                 | Yes           | 2                  | On Loan: No      |
| Nassau Euro CLO DAC                                                     | Nassau Euro CLO I DAC                                                   | CUSIP: BCC33DNP2<br>LEI: 549300PCQLS78GR4NH29 | Long             | ABS-CBDO         | CORP              | IE        |   1030000 | PA      | $1070871.72   | 0.70%             | 2034-12-15      | Floating      | 11.54%                | Yes           | 2                  | On Loan: No      |
| Zais CLO 13, Limited                                                    | Zais Clo 13 Ltd                                                         | CUSIP: 98876PAA7<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |   6520000 | PA      | $5379000.00   | 3.50%             | 2032-07-15      | Floating      | 12.58%                | Yes           | 2                  | On Loan: No      |
| ZAIS CLO 3, Limited                                                     | ZAIS CLO 3, Limited                                                     | CUSIP: 98887JAE0<br>LEI: 549300SYHU0CNKIXQ691 | Long             | ABS-O            | CORP              | KY        |   1529932 | PA      | $152.99       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| ZAIS CLO 3, LTD                                                         | Zais CLO 3 Ltd                                                          | CUSIP: 98887JAG5<br>LEI: 549300SYHU0CNKIXQ691 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $392110.29    | 0.25%             | 2031-07-15      | Floating      | 10.84%                | Yes           | 3                  | On Loan: No      |
| OCP Euro CLO                                                            | OCP Euro Clo 2022-6 DAC                                                 | CUSIP: BCC3N7BF8<br>LEI: 635400KHBQOJVEDAGW16 | Long             | ABS-CBDO         | CORP              | IE        |   2100000 | PA      | $2074467.23   | 1.35%             | 2036-07-20      | Floating      | 10.65%                | Yes           | 2                  | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40                                          | Octagon Investment Partners 40 Ltd                                      | CUSIP: 67592EAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2830000 | PA      | $359828.84    | 0.23%             |  |  |  | Yes           | 3                  | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 41                                          | Octagon Investment Partners 41 Ltd                                      | CUSIP: 67592GAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1270000 | PA      | $123456.26    | 0.08%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners 44                                          | Octagon Investment Partners 44 Ltd                                      | CUSIP: 675713AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    827059 | PA      | $784000.00    | 0.51%             | 2034-10-15      | Floating      | 10.68%                | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners 44                                          | Octagon Investment Partners 44 Ltd                                      | CUSIP: 67592DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6354687 | PA      | $372143.18    | 0.24%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners 50                                          | Octagon Investment Partners 50 Ltd                                      | CUSIP: 67592NAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1155000.00   | 0.75%             | 2035-01-15      | Floating      | 10.73%                | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners Ltd                                         | Octagon Investment Partners 18-R Ltd                                    | CUSIP: 67590KAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3651162 | PA      | $2902.67      | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners Ltd                                         | Octagon Investment Partners 18-R Ltd                                    | CUSIP: BCC2G0YK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $3975.00      | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| OHA Loan Funding Ltd                                                    | OHA Loan Funding 2013-1 Ltd                                             | CUSIP: BCC23IKH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $236119.63    | 0.15%             |  |  |  | Yes           | 3                  | On Loan: No      |
| OSD CLO 2023-27, Ltd.                                                   | OCP CLO 2023-27 Ltd                                                     | CUSIP: 671024AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9060000 | PA      | $4973840.34   | 3.23%             |  |  |  | Yes           | 2                  | On Loan: No      |
| OZLM Ltd                                                                | OZLM XIX Ltd                                                            | CUSIP: 67112CAU1<br>LEI: 5493009C40QUU66J8E83 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1378817.45   | 0.90%             | 2035-01-15      | Floating      | 11.56%                | Yes           | 2                  | On Loan: No      |
| OZLM Ltd                                                                | OZLM XXIV Ltd                                                           | CUSIP: 67113EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2054000.00   | 1.34%             | 2032-07-20      | Floating      | 10.98%                | Yes           | 3                  | On Loan: No      |
| Palmer Square European Loan Funding 2022-1 DAC                          | Palmer Square European Loan Funding 2022-1 DAC                          | CUSIP: BCC351L78<br>LEI: 549300OGFKGCPL337N48 | Long             | ABS-CBDO         | CORP              | IE        |   2340000 | PA      | $0.00         | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Park Avenue Institutional Advi                                          | Park Avenue Institutional Advisers CLO Ltd 2022-2                       | CUSIP: 70017VAE5<br>LEI: 529900N0O07C5QTX8E51 | Long             | ABS-CBDO         | CORP              | KY        |   4400000 | PA      | $4380695.00   | 2.85%             | 2037-01-20      | Floating      | 12.39%                | Yes           | 2                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                                  | Park Avenue Institutional Advisers CLO Ltd 2021-2                       | CUSIP: 70019FAA6<br>LEI: 529900TR2RUYEEXPKF94 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2670000.00   | 1.74%             | 2034-07-15      | Floating      | 10.94%                | Yes           | 2                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                                  | Park Avenue Institutional Advisers CLO Ltd 2017-1                       | CUSIP: 70018FAJ8<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $1586500.00   | 1.03%             | 2034-02-14      | Floating      | 10.40%                | Yes           | 2                  | On Loan: No      |
| Park Blue CLO Ltd                                                       | PARK BLUE CLO 2023-III LTD                                              | CUSIP: 70019BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $3120000.00   | 2.03%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Park Blue CLO Ltd                                                       | Park Blue CLO 2025-VIII Ltd                                             | CUSIP: 70019XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97604.59     | 0.06%             | 2038-10-25      | Floating      | 12.09%                | Yes           | 3                  | On Loan: No      |
| 37 Capital CLO Ltd                                                      | 37 Capital Clo 1 Ltd                                                    | CUSIP: 88430QAA5<br>LEI: 549300GZ8MP9ZGVMJ424 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $1531390.00   | 1.00%             | 2034-10-15      | Floating      | 11.13%                | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US CLO 2014-2 Ltd                                                   | CUSIP: 44929CAL3<br>LEI: 635400O9MVLOIBCDSR77 | Long             | ABS-CBDO         | CORP              | KY        |    284856 | PA      | $8545.68      | 0.01%             | 2031-01-15      | Floating      | 11.35%                | Yes           | 3                  | On Loan: No      |
| JCP Direct Lending CLO LLC                                              | Jefferies Credit Partners Direct Lending CLO 2024-I Ltd                 | CUSIP: 47234UAA0<br>LEI: 213800GSY7EDOILMKX81 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $980000.00    | 0.64%             | 2036-07-25      | Floating      | 11.92%                | Yes           | 2                  | On Loan: No      |
| 522 Funding CLO LTD                                                     | 522 Funding CLO 2019-5 Ltd                                              | CUSIP: 33830NAC0<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   4200000 | PA      | $385161.00    | 0.25%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2024-3 Ltd                                      | CUSIP: 05685UAC8<br>LEI: 254900SOM2S14IE3BZ76 | Long             | ABS-CBDO         | CORP              | KY        |   4490000 | PA      | $1975600.00   | 1.28%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2017-2 Ltd                                      | CUSIP: 05682TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6560000 | PA      | $5962056.00   | 3.88%             | 2037-07-25      | Floating      | 11.01%                | Yes           | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2022-2 Ltd                                      | CUSIP: 05683XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1620000 | PA      | $1364704.20   | 0.89%             | 2035-04-22      | Floating      | 11.02%                | Yes           | 2                  | On Loan: No      |
| Balboa Bay Loan Funding Ltd                                             | Balboa Bay Loan Funding 2024-2 Ltd                                      | CUSIP: 05765BAC3<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $3500000.00   | 2.28%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Ballyrock Ltd                                                           | Ballyrock CLO 15 Ltd                                                    | CUSIP: 05875UAC8<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |   2725000 | PA      | $1105972.29   | 0.72%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Ballyrock Ltd                                                           | Ballyrock CLO 19 Ltd                                                    | CUSIP: 05876AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2130000 | PA      | $2005185.54   | 1.30%             | 2035-04-20      | Floating      | 10.78%                | Yes           | 2                  | On Loan: No      |
| BATLN-2020-15-FEE                                                       | BATLN-2020-15-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $410.00       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                                       | Battalion Clo XV Ltd                                                    | CUSIP: 07131CAC4<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $95099.11     | 0.06%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                                       | Battalion Clo XV Ltd                                                    | CUSIP: BCC2MR200<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $194953.17    | 0.13%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                                       | Battalion CLO IX Ltd                                                    | CUSIP: 07132HAA6<br>LEI: 549300JMWGEYZEC6GK98 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $11827.50     | 0.01%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Benefit Street Partners CLO Ltd                                         | Benefit Street Partners CLO XIV Ltd                                     | CUSIP: 08181NAC7<br>LEI: 5493008E17UEFI73RC63 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $154881.58    | 0.10%             |  |  |  | Yes           | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO IV DAC                                                    | CUSIP: BCC2H8844<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $104285.63    | 0.07%             | 2030-04-25      | Floating      | 7.00%                 | Yes           | 2                  | On Loan: No      |
| Blue Owl BSL CLO Ltd                                                    | Blue Owl BSL CLO 2025-1 Ltd                                             | CUSIP: 09580PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $1808400.00   | 1.18%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Bluemountain CLO Ltd                                                    | BlueMountain CLO XXV Ltd                                                | CUSIP: 09630CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7215000 | PA      | $2184763.33   | 1.42%             |  |  |  | Yes           | 3                  | On Loan: No      |
| BNPP IP Euro CLO                                                        | BNPP IP Euro CLO 2015-1 DAC                                             | CUSIP: BCC28WY91<br>LEI: 635400BBJ1EYLLVTFD31 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $9005.57      | 0.01%             |  |  |  | Yes           | 3                  | On Loan: No      |
| BOBA-2024-2-FEE                                                         | BOBA-2024-2-FEE                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $8460.35      | 0.01%             |  |  |  | Yes           | 3                  | On Loan: No      |
| BOBSL-2025-1A-FEE                                                       | BOBSL-2025-1A-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   2740000 | PA      | $82200.00     | 0.05%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Boyce Park CLO, LLC                                                     | Boyce Park Clo Ltd                                                      | CUSIP: 103226AC0<br>LEI: 54930028S3PFXX4SMQ72 | Long             | ABS-CBDO         | CORP              | JE        |    840000 | PA      | $226134.13    | 0.15%             |  |  |  | Yes           | 3                  | On Loan: No      |
| BlackRock European CLO DAC                                              | BlackRock European CLO II DAC                                           | CUSIP: BCC2R95P7<br>LEI: 635400NPMETBSKED8R42 | Long             | ABS-CBDO         | CORP              | IE        |   1550000 | PA      | $1787730.34   | 1.16%             | 2034-04-15      | Floating      | 8.32%                 | Yes           | 2                  | On Loan: No      |
| BRDGS-2020-1A-FEE                                                       | BRDGS-2020-1A-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $52257.73     | 0.03%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Dryden Euro CLO                                                         | Dryden 73 Euro CLO 2018 DAC                                             | CUSIP: BCC2LVQQ9<br>LEI: 635400CVKY7QXAYGH934 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2165954.56   | 1.41%             | 2034-01-15      | Floating      | 8.84%                 | Yes           | 2                  | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 54 Senior Loan Fund                                              | CUSIP: 26244RAE1<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1536323.25   | 1.00%             | 2029-10-19      | Floating      | 10.13%                | Yes           | 2                  | On Loan: No      |
| Eaton Vance CDO Ltd                                                     | Eaton Vance CLO 2019-1 Ltd                                              | CUSIP: 27830VAE0<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $423997.17    | 0.28%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Elevation CLO Ltd                                                       | Elevation CLO 2013-1 Ltd                                                | CUSIP: 28623GAE2<br>LEI: 549300D7IKXB86IQMC13 | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $3391560.00   | 2.20%             | 2038-07-25      | Floating      | 11.42%                | Yes           | 3                  | On Loan: No      |
| Elmwood CLO 24 Ltd                                                      | Elmwood CLO 24 Ltd                                                      | CUSIP: 29002NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $3624128.00   | 2.36%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XXVI CLO Ltd                                                    | CUSIP: 92331HAA7<br>LEI: 549300XGJ8CFTLD6FC04 | Long             | ABS-CBDO         | CORP              | KY        |   1302755 | PA      | $529248.73    | 0.34%             | 2029-01-20      | Floating      | 10.95%                | Yes           | 3                  | On Loan: No      |
| Empower CLO Ltd.                                                        | Empower CLO 2022-1 Ltd                                                  | CUSIP: 29246YAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13620000 | PA      | $6537600.00   | 4.25%             |  |  |  | Yes           | 3                  | On Loan: No      |
| FIRST BRANDS GROUP LLC DIP PIK TERM  1L SuperP Sr. Secd                 | FIRST BRANDS GROUP LLC DIP PIK TERM  1L SuperP Sr. Secd                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     20721 | PA      | $5050.64      | 0.00%             | 2026-06-29      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| FIRST BRANDS GROUP LLC DIP PIK TERM  1L SuperP Sr. Secd (Second Rollup) | FIRST BRANDS GROUP LLC DIP PIK TERM  1L SuperP Sr. Secd (Second Rollup) | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     58322 | PA      | $222.21       | 0.00%             | 2026-06-29      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| FIRST BRANDS GROUP LLC TERM B 1L GTD SR. SECD                           | FIRST BRANDS GROUP LLC TERM B 1L GTD SR. SECD                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     51458 | PA      | $150.26       | 0.00%             | 2027-03-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| First Eagle BSL CLO LLC                                                 | First Eagle BSL CLO 2019-1 Ltd                                          | CUSIP: 32010GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5590000 | PA      | $5333273.66   | 3.47%             | 2033-01-20      | Floating      | 11.63%                | Yes           | 2                  | On Loan: No      |
| Flint Group A Common Shares                                             | Flint Group A Common Shares                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |    438201 | NS      | $0.00         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| FLINT GROUP TOPCO LTD PIK TERM B 2L Secd                                | FLINT GROUP TOPCO LTD PIK TERM B 2L Secd                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    654012 | PA      | $44924.26     | 0.03%             | 2027-12-31      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| FORESIGHT ENERGY EQUITY                                                 | FORESIGHT ENERGY EQUITY                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      2381 | NS      | $11235.34     | 0.01%             |  |  |  | No            | 3                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL VI Ltd                                              | CUSIP: 34959GAA2<br>LEI: 549300QQ2ENLX323MX94 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $946628.80    | 0.62%             | 2031-07-23      | Floating      | 10.38%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL Ltd                                                 | CUSIP: 34962YAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4950000 | PA      | $4717706.90   | 3.07%             | 2033-10-20      | Floating      | 11.27%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL VIII Ltd                                            | CUSIP: 34962FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2698237.50   | 1.75%             | 2032-10-20      | Floating      | 10.94%                | Yes           | 3                  | On Loan: No      |
| Tikehau                                                                 | Tikehau CLO XIII DAC                                                    | CUSIP: BCC3KTRH2<br>LEI: 6354006QUI9OYIL7LT78 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $1697381.74   | 1.10%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Toro European CLO                                                       | Toro European CLO 6 DAC                                                 | CUSIP: BCC2KI4H3<br>LEI: 635400SBMZDOVHEFNA56 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $818377.53    | 0.53%             | 2032-01-12      | Floating      | 10.52%                | Yes           | 3                  | On Loan: No      |
| Tralee CLO Ltd                                                          | Tralee CLO V Ltd                                                        | CUSIP: 89300GAE4<br>LEI: 54930005YIOSJ9Z81114 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $123000.00    | 0.08%             | 2034-10-20      | Floating      | 12.82%                | Yes           | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO XII Ltd                                                    | CUSIP: 89641NAE7<br>LEI: 254900G1XMKSN9WBVL66 | Long             | ABS-CBDO         | CORP              | KY        |   1890000 | PA      | $1666633.89   | 1.08%             | 2033-04-25      | Floating      | 11.33%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO VI Ltd                                                     | CUSIP: 89641BAE3<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $750000.00    | 0.49%             | 2034-01-25      | Floating      | 10.75%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO VI Ltd                                                     | CUSIP: 89641BAG8<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $480000.00    | 0.31%             | 2034-01-25      | Floating      | 12.64%                | Yes           | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas Clo IX Ltd                                                     | CUSIP: 89641KAA1<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |     49327 | PA      | $133.00       | 0.00%             | 2032-01-20      | Floating      | 10.18%                | Yes           | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas Clo IX Ltd                                                     | CUSIP: BCC2I26X4<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |     83448 | PA      | $225.00       | 0.00%             | 2032-01-20      | Floating      | 10.18%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XXX CLO Ltd                                                     | CUSIP: 92331PAA9<br>LEI: 5493001R7OPCYBM5NH78 | Long             | ABS-CBDO         | CORP              | KY        |   1345000 | PA      | $400459.89    | 0.26%             | 2031-01-15      | Floating      | 10.23%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture 36 Clo Ltd                                                      | CUSIP: 92332MAA5<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $1130150.00   | 0.73%             | 2032-04-20      | Floating      | 10.85%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XXII CLO Ltd                                                    | CUSIP: 92331JAG0<br>LEI: 549300ERIHFJJFMGMG87 | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $166400.00    | 0.11%             | 2031-01-15      | Floating      | 9.58%                 | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XXVII CLO Ltd                                                   | CUSIP: 92331TAA1<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $184806.16    | 0.12%             | 2030-07-20      | Floating      | 10.28%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XVIII CLO Ltd                                                   | CUSIP: 92329HAH6<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | KY        |   2091944 | PA      | $1144711.94   | 0.74%             | 2029-10-15      | Floating      | 10.52%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XV CLO Ltd                                                      | CUSIP: 92328LAH8<br>LEI: 549300UYHZCJPN3LMT03 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $345000.00    | 0.22%             | 2032-07-15      | Floating      | 11.12%                | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                                         | Vibrant CLO XIII Ltd                                                    | CUSIP: 92557CAC1<br>LEI: 5493000EYXBYKZ0XIT83 | Long             | ABS-CBDO         | CORP              | KY        |   7880000 | PA      | $2994400.00   | 1.95%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                                         | Vibrant Clo XV Ltd                                                      | CUSIP: 92559FAE8<br>LEI: 5493000EZ05NPI8BXY34 | Long             | ABS-CBDO         | CORP              | KY        |   1510000 | PA      | $592243.14    | 0.39%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                                         | Vibrant Clo III Ltd                                                     | CUSIP: 92557UBE6<br>LEI: 54930073XIEUISQCY218 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $227411.33    | 0.15%             | 2031-10-20      | Floating      | 10.28%                | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                                            | Voya CLO 2013-3 Ltd                                                     | CUSIP: 92917VAA8<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2487500.00   | 1.62%             | 2031-10-18      | Floating      | 9.83%                 | Yes           | 2                  | On Loan: No      |
| ITRX.EUR.XOVR.38.10-20                                                  | ITRX.EUR.XOVR.38.10-20                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-763514.19   | -0.50%            |  |  |  | No            | 2                  | On Loan: No      |
| Jamestown CLO Ltd,                                                      | Jamestown CLO XI Ltd                                                    | CUSIP: 47049AAA9<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1918373.31   | 1.25%             | 2031-07-14      | Floating      | 9.95%                 | Yes           | 2                  | On Loan: No      |
| Janus Henderson B-BBB CLO ETF                                           | Janus Henderson B-BBB CLO ETF                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       200 | NC      | $21000.00     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| ZAIS CLO 3, Limited                                                     | ZCLO3 2015-3A INC 07/15/2031                                            | CUSIP: 98887KAA5<br>LEI: 549300SYHU0CNKIXQ691 | Long             | ABS-CBDO         | CORP              | KY        |   1723318 | PA      | $172.33       | 0.00%             | 2031-07-15      | Fixed         | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Zais CLO 6 LTD                                                          | Zais Clo 6 Ltd                                                          | CUSIP: 98887UAA3<br>LEI: 549300ZPQFDVEE67IB71 | Long             | ABS-CBDO         | CORP              | KY        |    125742 | PA      | $12.57        | 0.00%             | 2029-07-15      | Floating      | 10.93%                | Yes           | 3                  | On Loan: No      |
| Zais CLO 6 LTD                                                          | Zais Clo 6 Ltd                                                          | CUSIP: 98887UAB1<br>LEI: 549300ZPQFDVEE67IB71 | Long             | ABS-CBDO         | CORP              | KY        |   3387200 | PA      | $338.72       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Zais CLO 9, Limited                                                     | Zais Clo 9 Ltd                                                          | CUSIP: BCC2H3QK9<br>LEI: 549300GT2U4OLB9UL559 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $72.00        | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Park Blue CLO Ltd                                                       | Park Blue CLO 2025-VIII Ltd                                             | CUSIP: 70019XAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7700000 | PA      | $5852000.00   | 3.80%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Pikes Peak CLO                                                          | Pikes Peak CLO 3                                                        | CUSIP: 72132VAE1<br>LEI: 254900Y8O8REGL3BZS62 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1839455.00   | 1.20%             | 2034-10-25      | Floating      | 10.54%                | Yes           | 2                  | On Loan: No      |
| PPM CLO 2 Ltd.                                                          | PPM CLO 2 Ltd                                                           | CUSIP: 69377RAC4<br>LEI: 549300JBW1DIZLGMSY83 | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $48024.90     | 0.03%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Ravensdale Park CLO DAC                                                 | Ravensdale Park CLO DAC                                                 | CUSIP: BCC3KY2J4<br>LEI: 635400MNQH1BW5SAW895 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $1941405.00   | 1.26%             | 2038-04-25      | Floating      | 9.38%                 | Yes           | 2                  | On Loan: No      |
| Unity-Peace Park CLO, Ltd.                                              | Unity-Peace Park CLO Ltd                                                | CUSIP: 913319AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   3330000 | PA      | $2830500.00   | 1.84%             | 2035-04-20      | Floating      | 10.66%                | Yes           | 2                  | On Loan: No      |
| AB BSL CLO 1 Ltd.                                                       | AB BSL CLO 1 Ltd.                                                       | CUSIP: 00038JAC8<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-O            | CORP              | KY        |  14500000 | PA      | $5206515.00   | 3.38%             |  |  |  | Yes           | 3                  | On Loan: No      |
| AG CC Funding II, Ltd.                                                  | AGCCM 2021-2A SUB                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |     26878 | NS      | $3236987.42   | 2.10%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Aimco                                                                   | AIMCO CLO Series 2018-A                                                 | CUSIP: 00900HAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3690000 | PA      | $1466775.00   | 0.95%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Allegro CLO Ltd                                                         | Allegro CLO XI Ltd                                                      | CUSIP: 01750JAC2<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |   3074000 | PA      | $30.74        | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Allegro CLO Ltd                                                         | Allegro CLO VII Ltd                                                     | CUSIP: 01750DAC5<br>LEI: 635400EBXLHIKFL2MP73 | Long             | ABS-CBDO         | CORP              | KY        |   4120000 | PA      | $4.12         | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Anchorage Credit Funding Ltd.                                           | Anchorage Credit Funding 6 Ltd                                          | CUSIP: 03330MAA4<br>LEI: 5493009BD57D5LVN7Y80 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $31113.77     | 0.02%             |  |  |  | Yes           | 3                  | On Loan: No      |
| APID-2020-34A-FEE                                                       | APID-2020-34A-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | CA        |  14822000 | PA      | $370550.00    | 0.24%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Apidos CLO Ltd                                                          | Apidos CLO XLII Ltd                                                     | CUSIP: 03770HAE4<br>LEI: 213800XUV3WLXWBKOJ53 | Long             | ABS-CBDO         | CORP              | JE        |   1070000 | PA      | $665693.55    | 0.43%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Apidos CLO Ltd                                                          | Apidos CLO L                                                            | CUSIP: 03771LAE4<br>LEI: 2549007IRDJIM26V8J63 | Long             | ABS-CBDO         | CORP              | KY        |   6600000 | PA      | $3960000.00   | 2.57%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Apidos CLO Ltd                                                          | Apidos CLO XVIII-R                                                      | CUSIP: 03767QAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4171300 | PA      | $1126259.34   | 0.73%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Apidos CLO                                                              | Apidos CLO XXXIV                                                        | CUSIP: 03768XAE3<br>LEI: 5493001VH1Y9SEPJKZ47 | Long             | ABS-CBDO         | CORP              | KY        |  14822000 | PA      | $6225240.00   | 4.05%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Aqueduct European CLO                                                   | Aqueduct European Clo 7-2022 DAC                                        | CUSIP: BCC3GVLJ4<br>LEI: 54930004RGI0BI0FRK80 | Long             | ABS-CBDO         | CORP              | IE        |   1515000 | PA      | $1507162.01   | 0.98%             | 2037-08-15      | Floating      | 10.56%                | Yes           | 2                  | On Loan: No      |
| ARES CLO Ltd                                                            | Ares XXXIX CLO Ltd                                                      | CUSIP: 04016BAC3<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $3435195.00   | 2.23%             |  |  |  | Yes           | 3                  | On Loan: No      |
| ARES CLO Ltd                                                            | Ares XLIII CLO Ltd                                                      | CUSIP: 04017AAC4<br>LEI: 549300ECLIGB6OZRBA51 | Long             | ABS-CBDO         | CORP              | KY        |   7519000 | PA      | $1340297.10   | 0.87%             |  |  |  | Yes           | 3                  | On Loan: No      |
| ARES CLO Ltd                                                            | Ares Loan Funding IX Ltd                                                | CUSIP: 03990JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $2232000.00   | 1.45%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                              | Atlas Senior Loan Fund XXIII Ltd                                        | CUSIP: BCC3G6BX9<br>LEI: 213800M7WM9TKCR3TF76 | Long             | ABS-CBDO         | CORP              | JE        |   4475000 | PA      | $1697691.42   | 1.10%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                              | Atlas Senior Loan Fund X Ltd                                            | CUSIP: 04942KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1561109.15   | 1.01%             | 2031-01-15      | Floating      | 9.63%                 | Yes           | 2                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                              | Atlas Senior Loan Fund XIV                                              | CUSIP: 04942DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $742875.00    | 0.48%             | 2032-07-20      | Floating      | 10.87%                | Yes           | 3                  | On Loan: No      |
| Canyon Capital CLO Ltd                                                  | Canyon Capital CLO 2016-2 Ltd                                           | CUSIP: 13876WAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $1518750.00   | 0.99%             | 2031-10-15      | Floating      | 9.93%                 | Yes           | 2                  | On Loan: No      |
| Canyon Capital CLO Ltd                                                  | Canyon Capital CLO 2019-1 Ltd                                           | CUSIP: 13887UAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14423000 | PA      | $3749980.00   | 2.44%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Canyon Capital CLO Ltd                                                  | Canyon Capital CLO 2019-1 Ltd                                           | CUSIP: 13887UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $596460.15    | 0.39%             | 2037-07-15      | Floating      | 11.17%                | Yes           | 2                  | On Loan: No      |
| Careismatic Brands Warrants                                             | Careismatic Brands Warrants                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      3363 | NS      | $33.63        | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Carlyle Euro CLO                                                        | Carlyle Euro CLO 2019-2 DAC                                             | CUSIP: BCC2KFRN1<br>LEI: 63540012YBWEYXRWOE16 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $18303.05     | 0.01%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Carlyle Global Market Strategi                                          | Carlyle Global Market Strategies CLO 2015-5 Ltd                         | CUSIP: 14311QAN7<br>LEI: 5493007AYUHLOG0AMH17 | Long             | ABS-CBDO         | CORP              | KY        |   3800000 | PA      | $3607897.27   | 2.35%             | 2032-01-20      | Floating      | 10.63%                | Yes           | 2                  | On Loan: No      |
| Carlyle Global Market Strategies                                        | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd                    | CUSIP: BCC275SQ0<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $230.91       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| CarVal CLO IV Ltd.                                                      | CarVal CLO IV Ltd.                                                      | CUSIP: 14687FAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3507919 | PA      | $977095.76    | 0.64%             |  |  |  | Yes           | 3                  | On Loan: No      |
| ITRX.EUR.XOVR.36.10-20                                                  | ITRX.EUR.XOVR.36.10-20                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-1705358.86  | -1.11%            |  |  |  | No            | 2                  | On Loan: No      |
| CDX.NA.HY.46                                                            | CDX.NA.HY.46                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-744959.52   | -0.48%            |  |  |  | No            | 2                  | On Loan: No      |
| CDXHY45_JU26_P100                                                       | CDXHY45_JU26_P100                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $294786.40    | 0.19%             |  |  |  | No            | 2                  | On Loan: No      |
| CDXIG45_APR26_P70                                                       | CDXIG45_APR26_P70                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $155515.81    | 0.10%             |  |  |  | No            | 2                  | On Loan: No      |
| Cedar Funding Ltd                                                       | Cedar Funding IX CLO Ltd                                                | CUSIP: 15033FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3950000 | PA      | $858991.43    | 0.56%             |  |  |  | Yes           | 3                  | On Loan: No      |
| CHIEF POWER REORG EQUITY                                                | CHIEF POWER REORG EQUITY                                                | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |       200 | NS      | $26000.00     | 0.02%             |  |  |  | Yes           | 3                  | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2018-IV Ltd                                                | CUSIP: 17182HAE6<br>LEI: 254900PA63PFHC11GD90 | Long             | ABS-CBDO         | CORP              | KY        |   2220000 | PA      | $559571.65    | 0.36%             |  |  |  | Yes           | 3                  | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2014-II Ltd                                                | CUSIP: BCC26UNI9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $519543.93    | 0.34%             | 2037-10-24      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown City CLO                                                          | Crown City CLO III                                                      | CUSIP: 228234AA8<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1688000.00   | 1.10%             | 2034-07-20      | Floating      | 10.68%                | Yes           | 2                  | On Loan: No      |
| Crown City CLO                                                          | Crown City CLO III                                                      | CUSIP: 228234AC4<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |   5580000 | PA      | $1374956.64   | 0.89%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL XII Ltd                                             | CUSIP: 34963GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $813112.00    | 0.53%             | 2034-10-15      | Floating      | 11.06%                | Yes           | 2                  | On Loan: No      |
| RUY Index                                                               | RUT US 06/18/26 P2000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       290 | NC      | $543750.00    | 0.35%             |  |  |  | No            | 1                  | On Loan: No      |
| RUY Index                                                               | RUT US 06/18/26 P2130                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        51 | NC      | $157335.00    | 0.10%             |  |  |  | No            | 1                  | On Loan: No      |
| Voya CLO Ltd                                                            | Voya 2024-3 LTD                                                         | CUSIP: 92944VAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9400000 | PA      | $5358000.00   | 3.48%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Voya CLO Ltd                                                            | Voya CLO 2024-5 Ltd                                                     | CUSIP: 92891UAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $5400000.00   | 3.51%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL XVII Ltd                                            | CUSIP: 34964NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2447500.00   | 1.59%             | 2034-10-23      | Floating      | 11.82%                | Yes           | 2                  | On Loan: No      |
| Greywolf CLO Ltd                                                        | Greywolf CLO II Ltd                                                     | CUSIP: 39808GAJ5<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1930000 | PA      | $244378.53    | 0.16%             |  |  |  | Yes           | 3                  | On Loan: No      |
| MORAN FOODS 2026 1L FIRST OUT                                           | MORAN FOODS 2026 1L FIRST OUT                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    180949 | PA      | $29312.91     | 0.02%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| MORAN FOODS 2026 1L SECOND OUT                                          | MORAN FOODS 2026 1L SECOND OUT                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     72352 | PA      | $686.27       | 0.00%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| MORAN FOODS LLC                                                         | MORAN FOODS LLC                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |    539650 | NS      | $0.00         | 0.00%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| MOUNTAIN VIEW CLO                                                       | Mountain View CLO 2017-2 LLC                                            | CUSIP: BCC2F2R97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $295.50       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| ZAIS6-2017-1A-FEE                                                       | ZAIS6-2017-1A-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   3387200 | PA      | $0.00         | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| ZCLO3 2015-3A-FEE                                                       | ZCLO3 2015-3A-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   3253250 | PA      | $3.25         | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| N/A                                                                     | EURO FX CURR FUT  Jun26                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -71 | NC      | $-14288.75    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                     | SPX US 06/18/26 P5300                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        45 | NC      | $161100.00    | 0.10%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                     | SPX US 06/18/26 P5500                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        60 | NC      | $280800.00    | 0.18%             |  |  |  | No            | 1                  | On Loan: No      |
| Nassau Euro CLO DAC                                                     | Nassau Euro CLO III DAC                                                 | CUSIP: BCC3P84S4<br>LEI: 549300EIADBLUQHC0A87 | Long             | ABS-CBDO         | CORP              | IE        |   1065000 | PA      | $1035352.21   | 0.67%             | 2039-10-15      | Floating      | 10.19%                | Yes           | 2                  | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman CLO XVII Ltd                                           | CUSIP: 64129VAB9<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $953392.60    | 0.62%             |  |  |  | Yes           | 3                  | On Loan: No      |
| New Constellis Holdings Inc                                             | New Constellis Holdings Inc                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      7104 | NS      | $376.51       | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| New Mountain CLO Ltd                                                    | New Mountain CLO 2 Ltd                                                  | CUSIP: 64754KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11960000 | PA      | $5262400.00   | 3.42%             |  |  |  | Yes           | 2                  | On Loan: No      |
| NGC Ltd                                                                 | NGC 2024-I Ltd                                                          | CUSIP: 652928AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2003005.00   | 1.30%             | 2037-07-20      | Floating      | 12.41%                | Yes           | 2                  | On Loan: No      |
| Northwoods Capital Ltd                                                  | Northwoods Capital 27 Ltd                                               | CUSIP: 66860YAA3<br>LEI: 254900WP3D5TE62YH237 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $930540.55    | 0.60%             | 2034-10-17      | Floating      | 10.97%                | Yes           | 3                  | On Loan: No      |
| Oak Hill Credit Partners                                                | Oak Hill Credit Partners X-R Ltd                                        | CUSIP: 67106KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7116961 | PA      | $2470934.14   | 1.61%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Oak Hill European Credit Partners PLC                                   | OAK Hill European Credit Partners VII DAC                               | CUSIP: BCC2HZRA9<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $230.91       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2023-1 Ltd                                                  | CUSIP: 67389EAC3<br>LEI: 254900WZ1Z6PQ6U3P013 | Long             | ABS-CBDO         | CORP              | JE        |   7310000 | PA      | $3529903.97   | 2.29%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2019-3 Ltd                                                  | CUSIP: 67400GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $725311.84    | 0.47%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2019-4 Ltd                                                  | CUSIP: 67400JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $1496000.00   | 0.97%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2020-1 Ltd                                                  | CUSIP: 67402GAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8135000 | PA      | $3559062.50   | 2.31%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Ocean Trails CLO                                                        | Ocean Trails CLO V                                                      | CUSIP: 67515RAB3<br>LEI: 549300RX29DPTX81VW10 | Long             | ABS-CBDO         | CORP              | KY        |   3779167 | PA      | $377.91       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Regatta 31 Funding Ltd.                                                 | Regatta 31 Funding Ltd                                                  | CUSIP: 758981AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1571237 | PA      | $1115578.27   | 0.73%             |  |  |  | Yes           | 3                  | On Loan: No      |
| REGATTA II FUNDING LP                                                   | Regatta II Funding LP                                                   | CUSIP: 75886J208<br>LEI: 549300K4VRY4OIWYX443 | Long             | EP               | CORP              | KY        |      5000 | NS      | $0.50         | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Regatta XV Funding Ltd.                                                 | Regatta XV Funding Ltd                                                  | CUSIP: 75888PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $350.00       | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Resolute Investment Equity                                              | Resolute Investment Equity                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      7213 | NS      | $32458.50     | 0.02%             |  |  |  | No            | 3                  | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2021-3 Ltd                                           | CUSIP: 77341PAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1726911.46   | 1.12%             | 2038-01-15      | Floating      | 11.09%                | Yes           | 2                  | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2022-3 Ltd                                           | CUSIP: 77341YAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $461454.00    | 0.30%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Rockford Tower Credit Funding                                           | Rockford Tower Credit Funding I Ltd                                     | CUSIP: 77341VAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $848348.00    | 0.55%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Rockford Tower Europe CLO                                               | Rockford Tower Europe CLO 2021-2 DAC                                    | CUSIP: BCC33CC43<br>LEI: 635400YECCYPH8KGMC48 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1069954.91   | 0.70%             | 2035-01-24      | Floating      | 10.93%                | Yes           | 2                  | On Loan: No      |
| RR Ltd                                                                  | RR 5 Ltd                                                                | CUSIP: 74979RAC6<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $517500.00    | 0.34%             |  |  |  | Yes           | 3                  | On Loan: No      |
| RUY Index                                                               | RUT US 06/18/26 P1950                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       110 | NC      | $172150.00    | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| Bridge Street CLO Ltd                                                   | Bridge Street CLO III Ltd                                               | CUSIP: 10806GAC3<br>LEI: 254900PNW8DFFG2S8664 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $772800.00    | 0.50%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Bridge Street CLO Ltd                                                   | Bridge Street CLO I Ltd                                                 | CUSIP: 10806AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $1421000.00   | 0.92%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Bridge Street CLO Ltd                                                   | Bridge Street CLO V Ltd                                                 | CUSIP: 107922AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20500000 | PA      | $12701103.00  | 8.26%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Canyon Capital CLO Ltd                                                  | Canyon Capital CLO 2016-1 Ltd                                           | CUSIP: BCC2GGS60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1275000.00   | 0.83%             | 2031-07-15      | Floating      | 9.68%                 | Yes           | 2                  | On Loan: No      |
| Jubilee CDO BV                                                          | Jubilee CLO 2021-XXV DAC                                                | CUSIP: BCC33DH38<br>LEI: 635400APBYBGXMTWEE61 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $703311.86    | 0.46%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Jubilee CDO BV                                                          | Jubilee CLO 2013-X DAC                                                  | CUSIP: BCC3027X0<br>LEI: 635400BEM2JFGBOYIE25 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $661445.11    | 0.43%             | 2034-07-15      | Floating      | 10.57%                | Yes           | 3                  | On Loan: No      |
| Jubilee CDO BV                                                          | Jubilee CLO 2017-XIX DAC                                                | CUSIP: BCC3LKLV5<br>LEI: 635400EAATDD7VO6VC73 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3036848.19   | 1.97%             | 2038-04-25      | Floating      | 10.73%                | Yes           | 2                  | On Loan: No      |
| Kennedy Lewis CLO Ltd                                                   | Kennedy Lewis CLO 2 Ltd                                                 | CUSIP: 98625RAC3<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |   7058000 | PA      | $1426351.22   | 0.93%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Kennedy Lewis CLO Ltd                                                   | Kennedy Lewis CLO 9 Ltd                                                 | CUSIP: 37147MAC1<br>LEI: 549300OYEZ11WGJ2SS19 | Long             | ABS-CBDO         | CORP              | KY        |   5550000 | PA      | $2641800.00   | 1.72%             |  |  |  | Yes           | 3                  | On Loan: No      |
| KKR Financial CLO Ltd                                                   | KKR CLO 14 Ltd                                                          | CUSIP: BCC2BBF03<br>LEI: 635400KULUKCVCJXZX78 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $68962.76     | 0.04%             |  |  |  | Yes           | 3                  | On Loan: No      |
| LCM 32 Ltd                                                              | LCM 32 Ltd                                                              | CUSIP: 50204BAA2<br>LEI: 549300PWEMQKJMMXR454 | Long             | ABS-CBDO         | CORP              | KY        |   1640000 | PA      | $149828.76    | 0.10%             |  |  |  | Yes           | 3                  | On Loan: No      |
| LCM Ltd Partnership                                                     | LCM 40 Ltd                                                              | CUSIP: 50190RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $463565.00    | 0.30%             |  |  |  | Yes           | 3                  | On Loan: No      |
| LIBBEY GLASS INC EQUITY                                                 | LIBBEY GLASS INC EQUITY                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |      4400 | NS      | $9460.00      | 0.01%             |  |  |  | No            | 3                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XIX Ltd                                            | CUSIP: 55819RAE5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |   2285000 | PA      | $482706.25    | 0.31%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding LIX Ltd                                            | CUSIP: 55822FAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2337704 | PA      | $818196.40    | 0.53%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXIV Ltd                                           | CUSIP: 55820QAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $4080397.90   | 2.65%             | 2029-10-20      | Floating      | 10.72%                | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXVIII Ltd                                         | CUSIP: 55821BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $380724.15    | 0.25%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXXIV Ltd                                          | CUSIP: 55820HAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2262285 | PA      | $654750.52    | 0.43%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Magnetite CLO Ltd                                                       | Magnetite Xxx Ltd                                                       | CUSIP: 55953VAC6<br>LEI: 549300RI4HRUG7CFWM27 | Long             | ABS-CBDO         | CORP              | KY        |   9793000 | PA      | $4472136.60   | 2.91%             |  |  |  | Yes           | 2                  | On Loan: No      |
| Marathon CLO LTD                                                        | Marathon CLO VI Ltd                                                     | CUSIP: BCC2GDE70<br>LEI: 5493002F390212ZEF773 | Long             | ABS-CBDO         | CORP              | KY        |    359840 | PA      | $35.98        | 0.00%             | 2028-05-13      | Floating      | 10.04%                | Yes           | 3                  | On Loan: No      |
| Marathon CLO LTD                                                        | Marathon CLO 2021-16 Ltd                                                | CUSIP: 56581DAE0<br>LEI: 549300VP041FQCCCOP44 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2325000.00   | 1.51%             | 2034-04-15      | Floating      | 10.52%                | Yes           | 2                  | On Loan: No      |
| Marble Point CLO                                                        | Marble Point CLO XXII Ltd                                               | CUSIP: BCC31H4Y7<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |   5400000 | PA      | $571380.03    | 0.37%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Marble Point CLO XX Ltd                                                 | Marble Point CLO XX Ltd                                                 | CUSIP: 56607LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $302432.00    | 0.20%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Monroe Capital MML CLO VI LTD                                           | Monroe Capital MML CLO VI Ltd                                           | CUSIP: 61034LAC9<br>LEI: 254900SICWP7QQDX8T50 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $4511.85      | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1365000 | OU      | $-1365000.00  | -0.89%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2888000 | OU      | $-2888000.00  | -1.88%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1400000 | OU      | $-1400000.00  | -0.91%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -467000 | OU      | $-467000.00   | -0.30%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1256000 | OU      | $-1256000.00  | -0.82%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -730000 | OU      | $-730000.00   | -0.47%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1815000 | OU      | $-1815000.00  | -1.18%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1092000 | OU      | $-1092000.00  | -0.71%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2045000 | OU      | $-2045000.00  | -1.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -999000 | OU      | $-999000.00   | -0.65%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2757000 | OU      | $-2757000.00  | -1.79%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -694000 | OU      | $-694000.00   | -0.45%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1054000 | OU      | $-1054000.00  | -0.69%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1095000 | OU      | $-1095000.00  | -0.71%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -861000 | OU      | $-861000.00   | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1221000 | OU      | $-1221000.00  | -0.79%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1412000 | OU      | $-1412000.00  | -0.92%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1450000 | OU      | $-1450000.00  | -0.94%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -641000 | OU      | $-641000.00   | -0.42%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -661000 | OU      | $-661000.00   | -0.43%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1540000 | OU      | $-1540000.00  | -1.00%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2884000 | OU      | $-2884000.00  | -1.87%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1175000 | OU      | $-1175000.00  | -0.76%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -677331 | OU      | $-677331.43   | -0.44%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1418000 | OU      | $-1418000.00  | -0.92%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2763000 | OU      | $-2763000.00  | -1.80%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1886000 | OU      | $-1886000.00  | -1.23%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -811656 | OU      | $-811655.68   | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1573665 | OU      | $-1573665.28  | -1.02%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -783946 | OU      | $-783946.24   | -0.51%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -670000 | OU      | $-670000.00   | -0.44%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -324000 | OU      | $-324000.00   | -0.21%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1924000 | OU      | $-1924000.00  | -1.25%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -753000 | OU      | $-753000.00   | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -443000 | OU      | $-443000.00   | -0.29%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -935000 | OU      | $-935000.00   | -0.61%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -890000 | OU      | $-890000.00   | -0.58%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1163000 | OU      | $-1163000.00  | -0.76%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -339000 | OU      | $-339000.00   | -0.22%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2755000 | OU      | $-2755000.00  | -1.79%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -587000 | OU      | $-587000.00   | -0.38%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2276000 | OU      | $-2276000.00  | -1.48%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1167000 | OU      | $-1167000.00  | -0.76%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2175000 | OU      | $-2175000.00  | -1.41%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -691000 | OU      | $-691000.00   | -0.45%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1200000 | OU      | $-1200000.00  | -0.78%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -751000 | OU      | $-751000.00   | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4322000 | OU      | $-4322000.00  | -2.81%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1128000 | OU      | $-1128000.00  | -0.73%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1001000 | OU      | $-1001000.00  | -0.65%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1824000 | OU      | $-1824000.00  | -1.19%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1446000 | OU      | $-1446000.00  | -0.94%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1082000 | OU      | $-1082000.00  | -0.70%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -749000 | OU      | $-749000.00   | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -421000 | OU      | $-421000.00   | -0.27%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1768713 | OU      | $-1768713.44  | -1.15%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1490000 | OU      | $-1490000.00  | -0.97%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2957000 | OU      | $-2957000.00  | -1.92%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1081000 | OU      | $-1081000.00  | -0.70%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -761000 | OU      | $-761000.00   | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -744000 | OU      | $-744000.00   | -0.48%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1628000 | OU      | $-1628000.00  | -1.06%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4030000 | OU      | $-4030000.00  | -2.62%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -926000 | OU      | $-926000.00   | -0.60%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1029000 | OU      | $-1029000.00  | -0.67%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -658457 | OU      | $-658457.11   | -0.43%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -994076 | OU      | $-994076.16   | -0.65%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1587231 | OU      | $-1587231.36  | -1.03%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1605993 | OU      | $-1605992.96  | -1.04%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1321133 | OU      | $-1321133.37  | -0.86%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -534198 | OU      | $-534198.08   | -0.35%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1311256 | OU      | $-1311255.73  | -0.85%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -830129 | OU      | $-830128.64   | -0.54%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -272957 | OU      | $-272957.38   | -0.18%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -763897 | OU      | $-763897.31   | -0.50%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1294891 | OU      | $-1294890.61  | -0.84%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -891000 | OU      | $-891000.00   | -0.58%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -407000 | OU      | $-407000.00   | -0.26%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1333000 | OU      | $-1333000.00  | -0.87%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -514000 | OU      | $-514000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -685000 | OU      | $-685000.00   | -0.45%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2398000 | OU      | $-2398000.00  | -1.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3746000 | OU      | $-3746000.00  | -2.44%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -997000 | OU      | $-997000.00   | -0.65%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3599508 | OU      | $-3599508.00  | -2.34%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -643000 | OU      | $-643000.00   | -0.42%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1477271 | OU      | $-1477271.00  | -0.96%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2724000 | OU      | $-2724000.00  | -1.77%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2497000 | OU      | $-2497000.00  | -1.62%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2989000 | OU      | $-2989000.00  | -1.94%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -811000 | OU      | $-811000.00   | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2673000 | OU      | $-2673000.00  | -1.74%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1024000 | OU      | $-1024000.00  | -0.67%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -281000 | OU      | $-281000.00   | -0.18%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1244053 | OU      | $-1244053.00  | -0.81%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -6355000 | OU      | $-6355000.00  | -4.13%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -718000 | OU      | $-718000.00   | -0.47%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -423000 | OU      | $-423000.00   | -0.28%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2568296 | OU      | $-2568296.20  | -1.67%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1139000 | OU      | $-1139000.00  | -0.74%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1451000 | OU      | $-1451000.00  | -0.94%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -748000 | OU      | $-748000.00   | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1723000 | OU      | $-1723000.00  | -1.12%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -127000 | OU      | $-127000.00   | -0.08%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -861000 | OU      | $-861000.00   | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -750000 | OU      | $-750000.00   | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1540000 | OU      | $-1540000.00  | -1.00%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -667000 | OU      | $-667000.00   | -0.43%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -583000 | OU      | $-583000.00   | -0.38%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1372000 | OU      | $-1372000.00  | -0.89%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -436000 | OU      | $-436000.00   | -0.28%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1042000 | OU      | $-1042000.00  | -0.68%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1374000 | OU      | $-1374000.00  | -0.89%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -531000 | OU      | $-531000.00   | -0.35%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1173000 | OU      | $-1173000.00  | -0.76%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -675000 | OU      | $-675000.00   | -0.44%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1277000 | OU      | $-1277000.00  | -0.83%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2344118 | OU      | $-2344118.00  | -1.52%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -741609 | OU      | $-741608.52   | -0.48%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -966410 | OU      | $-966410.02   | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1513628 | OU      | $-1513628.16  | -0.98%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2220998 | OU      | $-2220998.21  | -1.44%            |  |  |  | No            | N/A                | On Loan: No      |
| Goldman Sachs Government Institutional Class                            | Goldman Sachs Government Institutional Class                            | CUSIP: 38141W273<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  56959732 | NS      | $56959731.57  | 37.03%            |  |  |  | No            | 1                  | On Loan: No      |
| Crown Point CLO 11 Ltd.                                                 | Crown Point CLO 11 Ltd                                                  | CUSIP: 22845KAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1200000 | PA      | $505500.00    | 0.33%             |  |  |  | Yes           | 3                  | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** Ellington Credit Co

**Signature:** /s/ Chris Smernoff

**Name of Signer:** Chris Smernoff

**Title:** CFO