# EDGAR Filing Document

**Accession Number:** 0001688554
**File Stem:** 0001688554-25-000032
**Filing Date:** 2025-8
**Character Count:** 528716
**Document Hash:** 2e52cb0467369a72283e0b392c507ee2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001688554-25-000032.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001688554-25-000032

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20250630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Flexible Credit Income Fund
- **CENTRAL INDEX KEY:** 0001688554

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23211
- **FILM NUMBER:** 251277538

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** (844)337-4626

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Flexible Credit Income Fund

- **b. Investment Company Act file number:** 811-23211

- **c. CIK number of Registrant:** 0001688554

- **d. LEI of Registrant:** 549300R4RJB5MTHXES88

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 312-2113

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

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

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

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

- **a. Date of fiscal year-end:** 2025-06-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $5734846819.55

**Total Liabilities:** $2184462611.35

**Net Assets:** $3550384208.20

**Delayed Delivery Securities:** $1261298.60

**Cash Not Reported:** $84053092.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -29147.284700 | **1-Year:** 23433.186100 | **5-Year:** 34512.540700 | **10-Year:** -13576.508300 | **30-Year:** -36996.300900

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

- **3-Month:** 380456.102700 | **1-Year:** 238885.083100 | **5-Year:** 487786.665600 | **10-Year:** 329577.038200 | **30-Year:** 17250.537100

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -0.62%               | 1.97%                | 1.18%                |
| Class ID N/A | -0.62%               | 1.97%                | 1.18%                |
| Class ID N/A | -0.64%               | 1.96%                | 1.16%                |
| Class ID N/A | -0.64%               | 1.96%                | 1.16%                |
| Class ID N/A | -0.58%               | 2.02%                | 1.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-28499444.46            | $-14188200.76                              |
| Month 2  | $1914503.72              | $40449265.98                               |
| Month 3  | $8988998.25              | $5528382.12                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| TDA FTA 28                                                                   | TITULIZACION DE ACTIVOS TDA 28 A REGS                       | CUSIP: B241Q4II4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   24028124 | PA      | $14783257.70   | 0.42%             | 2050-10-28      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.4* 08/17/23-5Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6232859.06    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 04/42 2.375           | CUSIP: ACI1LVZ52<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $181853.48     | 0.01%             | 2042-04-22      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3.63         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP               | CUSIP: 61749BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     196663 | PA      | $101903.80     | 0.00%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                        | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M4              | CUSIP: 68389FJL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6206324 | PA      | $5289686.00    | 0.15%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3744000 | PA      | $-3824518.82   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -641860 | PA      | $-646683.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8736300 | PA      | $-10303169.73  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3569808 | PA      | $-3576666.46   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R2                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 6A2 144A        | CUSIP: 05990TAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2740196 | PA      | $2907570.52    | 0.08%             | 2037-02-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PRKC MORTGAGE TRUST                                                | MRCD 2019 PRKC MORTGAGE TRUST MRCD 2019 PRKC A 144A         | CUSIP: 55348UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $560416.45     | 0.02%             | 2036-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12170896 | PA      | $-12184610.37  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5887219 | PA      | $-5934758.29   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7362676 | PA      | $-7462808.39   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                               | BONANZA RE LTD UNSECURED 144A 01/26 VAR                     | CUSIP: 09785EAN1<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |     350000 | PA      | $296205.00     | 0.01%             | 2026-01-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 12.015 03/17/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1697498.38   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                     | ANTHRACITE LTD SER 2004 HY1 CL D 144A                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6135413 | PA      | $61.35         | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M4              | CUSIP: 03072SK38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $388909.88     | 0.01%             | 2035-09-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                     | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A         | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7233000 | PA      | $6951974.80    | 0.20%             | 2034-09-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| CLARITEV CORPORATION                                                         | CLARITEV CORP SR SECURED 144A 03/31 6.75                    | CUSIP: 62548MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8197447 | PA      | $5779200.14    | 0.16%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                        | UBISOFT ENTERTAINMENT SA 2022 EUR TERM LOAN                 | CUSIP: BA000G3F5<br>LEI: 969500I7C8V1LBIMSM05 | Long             | LON              | CORP              | FR        |   12800000 | PA      | $14700824.09   | 0.41%             | 2025-12-21      | Floating      | 3.15%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5298104 | PA      | $-5307849.37   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5410637 | PA      | $-5418588.91   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MIZUHO SECURITIES                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16790886 | PA      | $-16843217.29  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                                | MRCD MORTGAGE TRUST MRCD 2019 PARK J 144A                   | CUSIP: 55348UBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $4411200.00    | 0.12%             | 2036-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                                 | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B                | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |   21800000 | PA      | $25229935.97   | 0.71%             | 2032-04-26      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250721                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-553406.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 E 144A                   | CUSIP: 12430YAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7654000 | PA      | $6273335.51    | 0.18%             | 2036-09-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3                            | FREDDIE MAC   SCRT SCRT 2020 3 BXS 144A                     | CUSIP: 35563PUB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3251752 | PA      | $1892272.75    | 0.05%             | 2060-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW1                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW1 M3            | CUSIP: 46628MAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4518232 | PA      | $4248669.68    | 0.12%             | 2036-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                                 | CORESTATE CAPITAL HOLD SR SECURED 12/26 10                  | CUSIP: ACI2J0DM8<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     349178 | PA      | $370177.03     | 0.01%             | 2026-12-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21517650 | PA      | $-21608358.85  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | INTELSAT EMERGENCE SA CALL EXP17FEB27                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       1073 | NC      | $2576.15       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -252994 | PA      | $-253808.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.87 03/22/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-62081.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 XS 144A       | CUSIP: 617941AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   97978813 | PA      | $3372881.46    | 0.10%             | 2070-01-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                        | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5                | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19043992 | PA      | $2436214.15    | 0.07%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M6             | CUSIP: 04542BKX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110536 | PA      | $79878.10      | 0.00%             | 2035-03-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A        | CUSIP: 36260AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6871000 | PA      | $4599074.30    | 0.13%             | 2059-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                           | SPRUCE BIDCO II INC JPY TERM LOAN                           | CUSIP: BA000FPQ9<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |   99722072 | PA      | $679608.63     | 0.02%             | 2032-01-30      | Floating      | 6.00%                 | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 B1             | CUSIP: 92922FJ74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10586311 | PA      | $9049232.49    | 0.25%             | 2045-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 G 144A        | CUSIP: 46642CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1490332 | PA      | $71612.39      | 0.00%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT INC/CENTRAL MERGER SUB INC)                       | CNTRL PARENT/CDK GLB INC SR SECURED 144A 06/29 7.25         | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3610000 | PA      | $2947240.82    | 0.08%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                         | COLLEGE AVE STUDENT LOANS CASL 2024 A R 144A                | CUSIP: 19424R108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      22164 | PA      | $11379050.79   | 0.32%             | 2054-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI E 144A         | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7462500 | PA      | $7450328.66    | 0.21%             | 2035-03-15      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A         | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     469687 | PA      | $469557.60     | 0.01%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M6              | CUSIP: 542514KW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1749735.90    | 0.05%             | 2035-04-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                          | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M5             | CUSIP: 57643LHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376257 | PA      | $375640.39     | 0.01%             | 2035-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $66.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABSLT DE 2024 LLC                                                            | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   31400000 | PA      | $31921397.31   | 0.90%             | 2033-05-20      | Floating      | 12.82%                | No            |                  3 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M6              | CUSIP: 36242DN74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     566372 | PA      | $523186.81     | 0.01%             | 2035-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6194026 | PA      | $-6214844.68   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                       | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                      | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |     450000 | PA      | $544257.37     | 0.02%             | 2027-07-08      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 CB1              | CUSIP: 007036AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1484603 | PA      | $1366154.94    | 0.04%             | 2035-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9291808 | PA      | $-9309558.12   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M5              | CUSIP: 64352VKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221822 | PA      | $217793.48     | 0.01%             | 2035-03-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2007-2                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 2 1A2              | CUSIP: 17310SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3679447 | PA      | $2905687.41    | 0.08%             | 2036-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250725                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $31999.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA 2023 EUR TERM LOAN B14                     | CUSIP: F6628DAP9<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    1494672 | PA      | $1588669.48    | 0.04%             | 2028-08-15      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORPORATION                                                     | DISH NETWORK CORP SR UNSECURED 08/26 3.375                  | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $2765400.00    | 0.08%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COHESITY INC                                                                 | CLOVER 2024 HOLDINGS INC VERITAS G 1 PREFERRED              | CUSIP: 955EKAII3<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |      21380 | NS      | $377914.14     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ROMANIA GOVT                                                                 | ROMANIA SR UNSECURED REGS 09/34 6.25                        | CUSIP: ACI2TMW89<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    5600000 | PA      | $6663214.49    | 0.19%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                        | BBCCRE TRUST BBCCR 2015 GTP E 144A                          | CUSIP: 05490TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12300000 | PA      | $7600170.00    | 0.21%             | 2033-08-10      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6111084 | PA      | $-6117643.50   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                        | INCORA NEW EQUITY                                           | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    1270491 | NS      | $42924181.30   | 1.21%             |  |  |  | Yes           |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A1B           | CUSIP: 93364CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     871128 | PA      | $996868.74     | 0.03%             | 2047-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250807                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $4868.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.25000 06/18/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5415267.97   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP F 144A       | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $56645.37      | 0.00%             | 2038-12-05      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $383821.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                          | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M3                 | CUSIP: 70069FKG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542760 | PA      | $532553.15     | 0.01%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 01/33 4.375           | CUSIP: ACI2C9PD3<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1079319.69    | 0.03%             | 2033-01-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                          | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN                 | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |   24297758 | PA      | $20265909.65   | 0.57%             | 2029-06-01      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                       | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |   55575833 | PA      | $52912638.76   | 1.49%             | 2027-05-13      | Floating      | 11.30%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1422.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-C3                                        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 C3 D               | CUSIP: 225458VX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16016 | PA      | $15029.96      | 0.00%             | 2037-07-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1                            | FREDDIE MAC   SCRT SCRT 2018 1 BX                           | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34971436 | PA      | $15650235.34   | 0.44%             | 2057-05-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2018-3                                            | FLAGSHIP CREDIT AUTO TRUST FCAT 2018 3 R 144A               | CUSIP: 33844P105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33000 | PA      | $0.00          | 0.00%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                        | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A5                | CUSIP: 872224AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4288862 | PA      | $1750070.47    | 0.05%             | 2036-09-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                         | COLLEGE AVE STUDENT LOANS CASL 2024 A D 144A                | CUSIP: 19424RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3989000 | PA      | $4014461.79    | 0.11%             | 2054-06-25      | Fixed         | 8.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -210900 | PA      | $-248606.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 F 144A       | CUSIP: 46654PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2756000 | PA      | $2699207.66    | 0.08%             | 2038-11-15      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                  | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $297079.15     | 0.01%             | 2028-07-05      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A         | CUSIP: 78486DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6612000 | PA      | $6591191.04    | 0.19%             | 2034-04-15      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC3                                       | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC3 M6                | CUSIP: 61744CQC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8636349 | PA      | $7267210.33    | 0.20%             | 2035-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250818                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $25003.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -855065 | PA      | $-860437.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4224525 | PA      | $-4265191.46   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-5R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 5R 6A7 144A          | CUSIP: 12645LCB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3666358 | PA      | $3531719.42    | 0.10%             | 2037-11-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 1999-5                                       | GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2               | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      93144 | PA      | $93909.20      | 0.00%             | 2029-12-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M3              | CUSIP: 03072SQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $350118.96     | 0.01%             | 2035-11-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2024-2                            | FREDDIE MAC   SCRT SCRT 2024 2 BXS 144A                     | CUSIP: 35563PYJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7186235 | PA      | $3580732.79    | 0.10%             | 2064-05-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -416368 | PA      | $-490929.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9421123 | PA      | $-9589450.01   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| WHLN 2024-ACRA-FF2                                                           | WHLN 2024 ACRA FF2                                          | CUSIP: 937NATII6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3395531 | PA      | $3397393.08    | 0.10%             | 2027-08-01      | Fixed         | 9.50%                 | Yes           |                  3 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR              | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1575161 | PA      | $787580.50     | 0.02%             | 2036-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1B3             | CUSIP: 06050HKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16167 | PA      | $15192.21      | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                      | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20205000 | PA      | $21484382.62   | 0.61%             | 2041-10-25      | Floating      | 11.81%                | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI D 144A         | CUSIP: 63875JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3712500 | PA      | $3717347.78    | 0.10%             | 2035-03-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT MXN SOLD USD 20250917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $14377.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-12                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 12 M5               | CUSIP: 126670EP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2390000 | PA      | $2050824.11    | 0.06%             | 2036-02-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9296081 | PA      | $-9420872.68   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5829447 | PA      | $-5842964.30   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5506.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3907                                                      | FREDDIE MAC FHR 3907 MS                                     | CUSIP: 3137AEE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140754 | PA      | $1375.78       | 0.00%             | 2026-08-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| OBOL FRANCE 25                                                               | OBOL FRANCE 3 SAS 2024 EUR TERM LOAN B                      | CUSIP: BA0006XM9<br>LEI: 969500K3AWY66FOPOS97 | Long             | LON              | CORP              | FR        |    7944644 | PA      | $9228269.59    | 0.26%             | 2028-12-31      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                   | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M2 144A                | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29726500 | PA      | $28787567.69   | 0.81%             | 2037-10-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CDO LTD 2013-1A                                                  | EATON VANCE CDO LTD EATON 2013 1A SUB2 144A                 | CUSIP: 27830CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14000000 | PA      | $5210433.06    | 0.15%             | 2034-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                         | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     510789 | PA      | $772909.48     | 0.02%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6232215 | PA      | $-6245497.47   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X D1A REGS                         | CUSIP: ACI01VU93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5421236 | PA      | $6137440.65    | 0.17%             | 2045-06-13      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -852586 | PA      | $-861785.41    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                         | GSAMP TRUST GSAMP 2006 HE4 M1                               | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7435000 | PA      | $6316790.13    | 0.18%             | 2036-06-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -685871 | PA      | $-687847.45    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E B1              | CUSIP: 05949AHJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108349 | PA      | $90193.43      | 0.00%             | 2034-06-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| GREENE KING FINANCE PLC                                                      | GREENE KING FINANCE PLC SECURED REGS 03/36 VAR              | CUSIP: B14551II6<br>LEI: 213800QIJMYMW6TSBG41 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $249822.24     | 0.01%             | 2036-03-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1428232.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                   | EQTYWM927 WESTMORELAND MINING                               | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     284189 | NS      | $666068.46     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 G 144A                   | CUSIP: 12430YAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2209777.50    | 0.06%             | 2036-09-15      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                               | ARGENT SECURITIES INC. ARSI 2004 W11 M5                     | CUSIP: 040104MK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1887859 | PA      | $1721920.08    | 0.05%             | 2034-11-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                                | DBGS MORTGAGE TRUST DBGS 2019 1735 E 144A                   | CUSIP: 23307EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16777000 | PA      | $12375681.56   | 0.35%             | 2037-04-10      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $32.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                        | BBCCRE TRUST BBCCR 2015 GTP F 144A                          | CUSIP: 05490TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3660000 | PA      | $1654686.00    | 0.05%             | 2033-08-10      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG           | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $24000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                          | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                    | CUSIP: 46583VAB5<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |    8239078 | PA      | $8496548.70    | 0.24%             | 2029-06-01      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                         | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $301560.00     | 0.01%             | 2027-06-06      | Floating      | 12.31%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250729                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-399.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                  | PALM RE LTD UNSECURED 144A 06/31 VAR                        | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $256500.00     | 0.01%             | 2031-06-09      | Floating      | 13.79%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 E 144A       | CUSIP: 46653DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $1903673.00    | 0.05%             | 2036-03-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -64 | NC      | $8393.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                          | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M6             | CUSIP: 57643LHB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478926 | PA      | $439738.10     | 0.01%             | 2035-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE7                                          | MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M3                 | CUSIP: 61744CWN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5824514 | PA      | $4964614.05    | 0.14%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260615                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-195.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)                    | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |     403446 | NS      | $1742886.72    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| TURKEY GOVT                                                                  | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                     | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  778100000 | PA      | $18767105.05   | 0.53%             | 2028-09-06      | Fixed         | 49.96%                | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                     | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN                | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1633732 | PA      | $1633731.55    | 0.05%             | 2029-12-23      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250701                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-57195.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M7              | CUSIP: 542514KX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4361456 | PA      | $3299763.42    | 0.09%             | 2035-04-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR              | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1605651 | PA      | $823698.96     | 0.02%             | 2035-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 M1               | CUSIP: 12667TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27780827 | PA      | $23749490.08   | 0.67%             | 2047-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250828                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-105323.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                 | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A           | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1531278.88    | 0.04%             | 2038-11-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                          | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                    | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |   33760000 | PA      | $27240815.52   | 0.77%             | 2030-11-30      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 11                                                    | SEQUOIA MORTGAGE TRUST SEMT 11 B1                           | CUSIP: 81744AAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120372 | PA      | $84525.33      | 0.00%             | 2032-12-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1769564 | PA      | $-2085917.18   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250721                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-56.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WHLN 2024-CV3-FF1                                                            | WHLNPL994 WHLN 2024 CV3 FF2                                 | CUSIP: 958LWZII6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29642374 | PA      | $29716841.89   | 0.84%             | 2027-10-01      | Fixed         | 9.25%                 | Yes           |                  3 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                           | VERUS SECURITIZATION TRUST VERUS 2021 R1 AIOS 144A          | CUSIP: 92538BAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  119991225 | PA      | $61705.49      | 0.00%             | 2063-10-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1643.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -337500 | PA      | $-337701.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7443862 | PA      | $-7491074.23   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2347223 | PA      | $-2364957.75   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                    | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE    | CUSIP: 948FWLII3<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   12892959 | PA      | $3189326.67    | 0.09%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.25000 09/17/25-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-66183.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-5                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M5              | CUSIP: 542514HH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64165 | PA      | $67946.53      | 0.00%             | 2034-09-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 SA 144A       | CUSIP: 36261WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84647 | PA      | $81171.50      | 0.00%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                                | TWITTER INC TERM LOAN                                       | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   47202488 | PA      | $46173710.16   | 1.30%             | 2029-10-26      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8355459 | PA      | $-8365118.48   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -250200 | PA      | $-252245.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2474775 | PA      | $-2490712.55   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7992 | PA      | $7638875.27    | 0.22%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT CNY SOLD USD 20250703                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $145.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-JS2                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 JS2 G 144A         | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7935000 | PA      | $5825544.52    | 0.16%             | 2039-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2329990 | PA      | $-2332513.41   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 01/30 0.0000            | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     138296 | PA      | $115942.40     | 0.00%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                       | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 B1                | CUSIP: 61744CRX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5879209 | PA      | $4665762.29    | 0.13%             | 2035-06-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/26 6            | CUSIP: ACI2L7N56<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      11580 | PA      | $1423.99       | 0.00%             | 2026-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH RE LTD                                                          | COMMONWEALTH RE LTD UNSECURED 144A 07/25 VAR                | CUSIP: 203235AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $1000000.00    | 0.03%             | 2025-07-08      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| GLG EURO CLO 1A                                                              | MAN GLG EURO CLO GLGE 1A SUBR 144A                          | CUSIP: ACI11ZRZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1431135 | PA      | $1685.80       | 0.00%             | 2030-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19179764 | PA      | $-19912410.92  | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2396755 | PA      | $-2403133.03   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 09/25 0.00000                                 | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12877000 | PA      | $12767970.44   | 0.36%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260521                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $63.86         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AHL                                                         | GSAMP TRUST GSAMP 2004 AHL M2                               | CUSIP: 36242DHR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515013 | PA      | $501460.53     | 0.01%             | 2034-08-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| LION III RE DESIGNATED ACTIVITY COMPANY                                      | LION III RE DAC UNSECURED 144A 07/25 VAR                    | CUSIP: ACI1YQSF5<br>LEI: 6354006E8VRXKKHS6U06 | Long             | DBT              | CORP              | IE        |    1800000 | PA      | $2121371.32    | 0.06%             | 2025-07-16      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $809043.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250709                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-29910.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250729                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $45451.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2               | FREDDIE MAC   STACR STACR 2022 DNA2 B2 144A                 | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1748973.12    | 0.05%             | 2042-02-25      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                         | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M4           | CUSIP: 0738795T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     799238 | PA      | $765911.13     | 0.02%             | 2035-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1356600 | PA      | $-1865242.19   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE1                                                 | ACE SECURITIES CORP. ACE 2005 HE1 M6                        | CUSIP: 004421KZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14419739 | PA      | $11275476.17   | 0.32%             | 2035-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE10                                               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE10 M6           | CUSIP: 073879MW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393109 | PA      | $513518.80     | 0.01%             | 2034-12-25      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1152000 | PA      | $-1166432.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M1              | CUSIP: 64352VNZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327544 | PA      | $315085.14     | 0.01%             | 2035-12-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF1           | CUSIP: 46630LAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $615208.56     | 0.02%             | 2036-11-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A F 144A                 | CUSIP: ACI2C6Q06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   15333000 | PA      | $20960835.97   | 0.59%             | 2062-10-16      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1013409 | PA      | $-1393591.27   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                         | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 F 144A            | CUSIP: 78437XAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1620196.24    | 0.05%             | 2033-06-15      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | WEST MARINE NEW WARRANT WARRWM911                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       6096 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BCP TRUST 2021-330N                                                          | BCP TRUST BCP 2021 330N F 144A                              | CUSIP: 05553BAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $682160.50     | 0.02%             | 2038-06-15      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| WHLN LOAN                                                                    | WALGREENS MAGNOLIA WHLN0MAG1                                | CUSIP: 938SYFII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     454410 | PA      | $444872.79     | 0.01%             | 2030-03-06      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3239010 | PA      | $-3268976.75   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                               | SMRT SMRT 2022 MINI E 144A                                  | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11350000 | PA      | $11173438.27   | 0.31%             | 2039-01-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                  | PALM RE LTD UNSECURED 144A 06/32 VAR                        | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     700000 | PA      | $701470.00     | 0.02%             | 2032-06-07      | Floating      | 12.07%                | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                             | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B G 144A          | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     669651 | PA      | $667699.15     | 0.02%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3470775 | PA      | $-3472919.17   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 1999-A                                            | KEYCORP STUDENT LN TR SER 2004 A CL 1A1                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $4484000.00    | 0.13%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                          | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A             | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15356000 | PA      | $15082371.44   | 0.42%             | 2035-04-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -235224 | PA      | $-236016.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP D 144A       | CUSIP: 46651WAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $295463.42     | 0.01%             | 2038-12-05      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SECURITIES INC 2006-3                          | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 3 M2               | CUSIP: 17310NAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5642766 | PA      | $4981193.65    | 0.14%             | 2036-11-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625            | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    1600000 | PA      | $1120000.00    | 0.03%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-125.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                          | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3                | CUSIP: 126673VR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78778 | PA      | $73405.78      | 0.00%             | 2035-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.10000 09/17/24-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5791159.08    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP1                                                 | ACE SECURITIES CORP. ACE 2006 OP1 M1                        | CUSIP: 00442PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7943500 | PA      | $6171684.05    | 0.17%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A2             | CUSIP: 12668AWJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321533 | PA      | $99147.69      | 0.00%             | 2035-12-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE7                                                | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE7 M2            | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10882 | PA      | $10743.48      | 0.00%             | 2034-08-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                 | BAYOU RE LTD UNSECURED 144A 04/31 VAR                       | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     400000 | PA      | $430240.00     | 0.01%             | 2031-04-30      | Floating      | 22.81%                | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3                 | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M5            | CUSIP: 04541GQY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15970 | PA      | $17048.35      | 0.00%             | 2035-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2006-2                                                              | ALBA FRN 15DEC38 GBP                                        | CUSIP: B1HMYZII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        100 | PA      | $47164.33      | 0.00%             | 2038-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000            | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      62400 | PA      | $60637.58      | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2006-2                                                              | ALBA PLC ALBA 2006 2 SUB REGS                               | CUSIP: 991ZCLII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3316207 | PA      | $3062775.84    | 0.09%             | 2038-12-15      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5111262 | PA      | $-5124091.77   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | NUMERICABLE U S LLC TERM LOAN B 11                          | CUSIP: 67053NAL8<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     299235 | PA      | $310102.82     | 0.01%             | 2025-07-31      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -715673 | PA      | $-843602.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                   | INCORA INTERMEDIATE II SR SECURED 144A 01/30 VAR            | CUSIP: 45338XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   37839231 | PA      | $37839230.99   | 1.07%             | 2030-01-31      | Fixed         | 12.35%                | No            |                  3 | On Loan: No      |
| AUCHAN (ELO SACA)                                                            | ELO SACA SR UNSECURED REGS 07/27 3.25                       | CUSIP: ACI1NZ8Z5<br>LEI: 969500ASEC557H5A4F22 | Long             | DBT              | CORP              | FR        |    3300000 | PA      | $3754487.99    | 0.11%             | 2027-07-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                                 | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8            | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    1321740 | PA      | $630562.53     | 0.02%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1715706 | PA      | $-1726690.33   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2467758 | PA      | $-2490588.87   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                             | GREAT HALL MORTGAGES PLC 2007 GHM 2007 2X R                 | CUSIP: 936LMVII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $12111341.35   | 0.34%             | 2039-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                               | FREMONT HOME LOAN TRUST FHLT 2006 2 M1                      | CUSIP: 35729PPZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10619950 | PA      | $7366708.80    | 0.21%             | 2036-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE OPERATING INC                                            | ENVISION HEALTHCARE CORPORATIO 2023 EXIT TERM LOAN          | CUSIP: 29414YAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   15500000 | PA      | $15577500.00   | 0.44%             | 2027-12-30      | Floating      | 13.25%                | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A         | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11620000 | PA      | $10188921.47   | 0.29%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MTAGE PASSTHRU CERT 2005-C6                                       | COMM MORTGAGE TRUST COMM 2005 C6 G 144A                     | CUSIP: 126171AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1268315 | PA      | $1178156.23    | 0.03%             | 2044-06-10      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED 144A 01/28 5.5                  | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    5300000 | PA      | $4465250.00    | 0.13%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  JUN25 XCME 20250916                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -165 | NC      | $350816.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1086639 | PA      | $-1087916.18   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7M1              | CUSIP: 007036QX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1549710 | PA      | $1615906.46    | 0.05%             | 2035-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-4                                          | BANC OF AMERICA FUNDING CORPOR BAFC 2006 4 A11              | CUSIP: 05950FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413449 | PA      | $318375.06     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                   | ACE SECURITIES CORP. ACE 2005 HE3 M3                        | CUSIP: 004421NE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64839 | PA      | $64271.07      | 0.00%             | 2035-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $203887.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                         | INTEGRITY RE III UNSECURED 144A 06/28 VAR                   | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     600000 | PA      | $605280.00     | 0.02%             | 2028-06-06      | Floating      | 16.57%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 F 144A       | CUSIP: 46649JAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7734177 | PA      | $7356928.02    | 0.21%             | 2035-02-15      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 A 144A         | CUSIP: 69544PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     574776 | PA      | $574992.48     | 0.02%             | 2032-04-15      | Fixed         | 5.16%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-3                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A6               | CUSIP: 863587AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $6306829.50    | 0.18%             | 2036-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-AHL2 2005-AHL2                                              | GSAMP TRUST GSAMP 2005 AHL2 M1                              | CUSIP: 362341C64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7076608 | PA      | $5207401.14    | 0.15%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR -0.15000 03/18/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $592225.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A       | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20651899 | PA      | $19684834.33   | 0.55%             | 2035-02-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC3                                                        | GSAMP TRUST GSAMP 2005 WMC3 M1                              | CUSIP: 362341L64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20236665 | PA      | $17290914.87   | 0.49%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV5              | CUSIP: 126670PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269030 | PA      | $196157.61     | 0.01%             | 2036-05-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                     | ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5         | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |   48850000 | PA      | $17013722.25   | 0.48%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5273.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEDIAPRO (SUBCALIDORA 2 SARL)                                                | SUBCALIDORA 2 2024 EUR TERM LOAN                            | CUSIP: BA0007DG2<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |   27536000 | PA      | $32598229.30   | 0.92%             | 2029-08-14      | Floating      | 7.73%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -888125 | PA      | $-894798.27    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2007-1                                        | ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M3               | CUSIP: 00438QAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5235000 | PA      | $4477582.40    | 0.13%             | 2037-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                                 | ACE SECURITIES CORP. ACE 2006 NC1 M2                        | CUSIP: 004421UV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3048029 | PA      | $2429971.57    | 0.07%             | 2035-12-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-576.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M2             | CUSIP: 59020UC37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4464000 | PA      | $3721896.60    | 0.10%             | 2036-05-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                        | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1             | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |    2330820 | NS      | $1043324.55    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A R 144A                 | CUSIP: ACI2C6QT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   13289000 | PA      | $5440420.48    | 0.15%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                  | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A X1 144A          | CUSIP: ACI2S8TN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      11778 | PA      | $16167.10      | 0.00%             | 2050-06-28      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| SOLERA LLC (POLARIS NEWCO LLC)                                               | POLARIS NEWCO, LLC USD TERM LOAN B                          | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |     795866 | PA      | $776685.28     | 0.02%             | 2028-06-02      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-59                                                    | FANNIE MAE FNR 2021 59 KI                                   | CUSIP: 3136BGB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21776308 | PA      | $4675845.94    | 0.13%             | 2051-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | INTELSAT EMERGENCE SA CALL EXP 17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        328 | NC      | $186.16        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-98.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                              | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                    | CUSIP: 73110JAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1300000 | PA      | $1341210.00    | 0.04%             | 2028-01-07      | Floating      | 14.80%                | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2002-A                                            | KSLT 2002 A R SUB KSLT 2002 A R SUB                         | CUSIP: 933UTWII7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $7017000.00    | 0.20%             | 2050-01-01      | Fixed         | 1.13%                 | No            |                  3 | On Loan: No      |
| DISH DBS CORPORATION                                                         | DISH DBS CORP SR SECURED 144A 12/28 5.75                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   41580000 | PA      | $36070650.00   | 1.02%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD KWD BOUGHT USD 20290702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $23035.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M6              | CUSIP: 64352VKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365941 | PA      | $352642.64     | 0.01%             | 2035-06-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED 144A 01/29 5.125                | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1750000 | PA      | $1447031.25    | 0.04%             | 2029-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3384063 | PA      | $-3408362.83   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2020-1           | CONSUMER LOAN UNDERLYING BOND CLUBC 2020 1 PT 144A          | CUSIP: 21056BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11038 | PA      | $10771.68      | 0.00%             | 2045-02-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR5                                                      | BCAP LLC TRUST BCAP 2009 RR5 5A2 144A                       | CUSIP: 05531UAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5967827 | PA      | $4949925.72    | 0.14%             | 2037-05-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -374386 | PA      | $-377652.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4            | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $906466.90     | 0.03%             | 2035-08-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-978.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M10             | CUSIP: 542514JC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1049725 | PA      | $920421.45     | 0.03%             | 2034-10-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A5                      | CUSIP: 12669GZS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1848378 | PA      | $1360834.79    | 0.04%             | 2035-05-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.7 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-6776.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A1B           | CUSIP: 93363DAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6689549 | PA      | $5201392.69    | 0.15%             | 2046-08-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                          | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4                 | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $338002.88     | 0.01%             | 2035-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |    3581000 | NS      | $30464138.47   | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A                                | LAKESIDE CDO LTD LAKES 2004 1A A2B 144A                     | CUSIP: 51210VAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19584229 | PA      | $4814332.23    | 0.14%             | 2040-01-04      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                  | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                           | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |    6732048 | PA      | $9436723.64    | 0.27%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                         | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR            | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $519375.00     | 0.01%             | 2031-05-13      | Floating      | 15.81%                | No            |                  2 | On Loan: No      |
| UNICORN BAY (HONG KONG) INVESTMENTS LIMITED                                  | UNICORN BAY HKD FIXED TERM LOAN A                           | CUSIP: BA00077Z7<br>LEI: N/A                  | Long             | LON              | CORP              | HK        |  197800458 | PA      | $25512641.92   | 0.72%             | 2026-12-31      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                         | MFT TRUST MOFT 2020 ABC D 144A                              | CUSIP: 55317BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10886000 | PA      | $6648366.50    | 0.19%             | 2042-02-10      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS M1II          | CUSIP: 863579ZA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4103595 | PA      | $3885870.49    | 0.11%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1344325.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES RIVER RE LTD                                                         | CHARLES RIVER RE LTD SR UNSECURED 144A 05/31 VAR            | CUSIP: 159873AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $254425.00     | 0.01%             | 2031-05-10      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.50 9/21/23-4Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-502927.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1           | CUSIP: 161630BD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33900 | PA      | $31336.88      | 0.00%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4074145 | PA      | $-4816249.17   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                     | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P E 144A         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9645000 | PA      | $9297746.24    | 0.26%             | 2034-09-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -530882 | PA      | $-732017.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF2           | CUSIP: 46630LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1655925 | PA      | $2090795.79    | 0.06%             | 2036-11-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 1.50000 03/15/23-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $735229.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2533176 | PA      | $-2568611.29   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A Z 144A           | CUSIP: ACI2S8TX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    6241000 | PA      | $6611223.07    | 0.19%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14464038 | PA      | $-14611824.65  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M2              | CUSIP: 64352VPA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     573319 | PA      | $490244.80     | 0.01%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                 | ECOPETROL SA SR UNSECURED 01/36 8.375                       | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1030000 | PA      | $994476.85     | 0.03%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-11.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WHLN-2018-TOCU4                                                              | WHLN92622 WHLN RTL PFLX                                     | CUSIP: 964EJZII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3063287 | PA      | $2712235.26    | 0.08%             | 2049-06-01      | Fixed         | 8.00%                 | Yes           |                  3 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 04/29 4               | CUSIP: ACI2C9P27<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $617732.50     | 0.02%             | 2029-04-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 KEYS F 144A        | CUSIP: 17291GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13140000 | PA      | $12756121.47   | 0.36%             | 2036-10-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2020-3FP                                                     | FREED ABS TRUST FREED 2020 3FP CERT 144A                    | CUSIP: 35634LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4850 | PA      | $5670.21       | 0.00%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                    | HILTON USA TRUST HILT 2016 SFP F 144A                       | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $26105.63      | 0.00%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING 06/60 0                           | CUSIP: ACI2S8XS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        240 | PA      | $0.00          | 0.00%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                    | HILTON USA TRUST HILT 2016 SFP E 144A                       | CUSIP: 43289VAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $125023.50     | 0.00%             | 2035-11-05      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR GOVT                                                             | REPUBLIC OF EL SALVADOR REPUBLIC OF EL SALVADOR             | CUSIP: 283875CE0<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |   11550000 | PA      | $12257437.50   | 0.35%             | 2030-04-17      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CHF BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-9666.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                             | HSI ASSET LOAN OBLIGATION HALO 2007 1 2A12                  | CUSIP: 40431TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6685239 | PA      | $2517693.05    | 0.07%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2021-1                    | FREDDIE MAC   SLST SLST 2021 1 SUB 144A                     | CUSIP: 35564CJM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57431902 | PA      | $55954770.72   | 1.58%             | 2061-04-25      | Variable      | 8.48%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                        | SCUR ALPHA 1503 GMBH EUR TERM LOAN B1                       | CUSIP: D7001LAB9<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    2500000 | PA      | $2904855.75    | 0.08%             | 2030-03-29      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.15000 06/17/20-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $105469.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                                 | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M4                 | CUSIP: 70069FMV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18961939 | PA      | $14449841.38   | 0.41%             | 2035-09-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1091.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5022446 | PA      | $-5027348.68   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 01/30 0.875           | CUSIP: ACI235LV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1049810.89    | 0.03%             | 2030-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3              | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148032 | PA      | $147317.19     | 0.00%             | 2035-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                     | ALTICE FRANCE HOLDING SA SR SECURED REGS 02/28 4            | CUSIP: ACI1LBML5<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    6600000 | PA      | $2784221.08    | 0.08%             | 2028-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                             | DUN + BRADSTREET CORPOR THE 2025 REVOLVER                   | CUSIP: BA000K747<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     776364 | PA      | $768600.00     | 0.02%             | 2032-05-31      | Floating      | 9.58%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $44836.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                        | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A            | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15418914 | PA      | $2736124.80    | 0.08%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2015-1R                                        | NOMURA RESECURITIZATION TRUST NMRR 2015 1R 2A8 144A         | CUSIP: 65540TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7184212 | PA      | $6457800.77    | 0.18%             | 2036-10-26      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2015-590M                                       | GS MORTGAGE SECURITIES TRUST GSMS 2015 590M E 144A          | CUSIP: 36250WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2889917.40    | 0.08%             | 2035-10-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -874977 | PA      | $-1201878.43   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-SD1                                                         | GSAMP TRUST GSAMP 2006 SD1 M2 144A                          | CUSIP: 362341X79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1283834 | PA      | $1046187.81    | 0.03%             | 2045-07-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                             | AEGIS ASSET BACKED SECURITIES AABST 2004 6 B1               | CUSIP: 00764MEA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5100000 | PA      | $1129927.44    | 0.03%             | 2035-03-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4685240 | PA      | $-5526389.36   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| J&J VENTURES GAMING LLC                                                      | J + J VENTURES GAMING LLC 2024 TERM LOAN                    | CUSIP: 46604BAG3<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |   14262225 | PA      | $14393419.36   | 0.41%             | 2028-04-26      | Floating      | 9.44%                 | No            |                  3 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP E 144A       | CUSIP: 46651WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $168201.00     | 0.00%             | 2038-12-05      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A         | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     579613 | PA      | $563189.71     | 0.02%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                                 | MPH ACQUISITION HOLDINGS LLC 2025 SECOND OUT TERM LOAN      | CUSIP: 55328HAQ4<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |    7500000 | PA      | $6750000.00    | 0.19%             | 2030-12-31      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -40474626 | PA      | $-40901183.57  | -1.15%            |  |  |  | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                           | ECAF LTD ECAF 2015 1A A1 144A                               | CUSIP: 26827EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1938263 | PA      | $1666839.86    | 0.05%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2436096 | PA      | $-2445914.32   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                      | FREDDIE MAC   STACR STACR 2021 HQA3 B2 144A                 | CUSIP: 35564KKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3860671.02    | 0.11%             | 2041-09-25      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6780375 | PA      | $-6843679.22   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15401 | PA      | $3937035.14    | 0.11%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -770457 | PA      | $-776629.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4758.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                                 | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 5.75         | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |   21798005 | PA      | $17974416.94   | 0.51%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 E 144A       | CUSIP: 46654PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $11808489.60   | 0.33%             | 2038-11-15      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -647151 | PA      | $-647252.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6336394 | PA      | $-6343811.86   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6947875 | PA      | $-6969066.01   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250922                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $7219.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13970880 | PA      | $-14103684.86  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                           | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     725704 | NS      | $849073.68     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1942018 | PA      | $-1960444.84   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.50000 06/17/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6590913.12    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                   | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     170649 | PA      | $111774.85     | 0.00%             | 2025-07-31      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                          | SAXON ASSET SECURITIES TRUST SAST 2007 3 2M1                | CUSIP: 80557BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10946000 | PA      | $8373487.50    | 0.24%             | 2047-09-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| LONG WALK REINSURANCE LTD                                                    | LONG WALK REINSURANCE UNSECURED 144A 01/31 VAR              | CUSIP: 54289CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3500000 | PA      | $3547600.00    | 0.10%             | 2031-01-30      | Floating      | 14.05%                | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2                            | FREDDIE MAC   SCRT SCRT 2022 2 M 144A                       | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $5960736.60    | 0.17%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2006-1X                                                | MANSARD MORTGAGES PLC MANSD 2006 1X B2 REGS                 | CUSIP: B1GJ7MII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1912620 | PA      | $2409213.66    | 0.07%             | 2048-10-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| MSDB TRUST 2017-712F                                                         | MSDB TRUST MSDB 2017 712F A 144A                            | CUSIP: 55354JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3359205.85    | 0.09%             | 2039-07-11      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE4 M3            | CUSIP: 073879TV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     334393 | PA      | $334049.37     | 0.01%             | 2035-04-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                           | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M5            | CUSIP: 40430HEE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24675000 | PA      | $18233393.86   | 0.51%             | 2036-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R4                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R4 5A2 144A        | CUSIP: 05990RAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17924905 | PA      | $6830464.20    | 0.19%             | 2036-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.25000 03/18/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2399435.30    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2015-7R                                         | GS MORTGAGE SECURITIES CORP. GSMSC 2015 7R B 144A           | CUSIP: 36254RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38874205 | PA      | $14831939.63   | 0.42%             | 2037-09-26      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -24459603 | PA      | $-24474713.82  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| AUCHAN (ELO SACA)                                                            | ELO SACA SR UNSECURED REGS 01/26 2.875                      | CUSIP: ACI1LZ6Q9<br>LEI: 969500ASEC557H5A4F22 | Long             | DBT              | CORP              | FR        |    3800000 | PA      | $4423616.97    | 0.12%             | 2026-01-29      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2014-7                               | JP MORGAN REREMIC JPMRR 2014 7 1C 144A                      | CUSIP: 46643WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7362824 | PA      | $1419997.95    | 0.04%             | 2036-05-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC              | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5         | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11950000 | PA      | $11561552.11   | 0.33%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                              | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                    | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $500950.00     | 0.01%             | 2032-01-07      | Floating      | 12.80%                | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 F 144A                   | CUSIP: 12430YAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6611000 | PA      | $5149594.16    | 0.15%             | 2036-09-15      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.20000 09/17/24-3Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3043636.52    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                       | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A B1 144A        | CUSIP: 16678RCV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3040161 | PA      | $2233350.03    | 0.06%             | 2036-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST E 144A       | CUSIP: 46652DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4240000 | PA      | $40916.00      | 0.00%             | 2036-12-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF E 144A         | CUSIP: 61691KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21060000 | PA      | $20052184.23   | 0.56%             | 2034-11-15      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR              | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     777891 | PA      | $369498.23     | 0.01%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR9                                                      | BCAP LLC TRUST BCAP 2010 RR9 1A5 144A                       | CUSIP: 05533GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11034328 | PA      | $7296271.62    | 0.21%             | 2037-08-28      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                       | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M4            | CUSIP: 04541GUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $676428.13     | 0.02%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-51516.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                   | CARVANA CO SR SECURED 144A 06/31 9                          | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    4331870 | PA      | $5136045.49    | 0.14%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| TERWIN MTGE TRUST 2006-5                                                     | TERWIN MORTGAGE TRUST TMTS 2006 5 1M1 144A                  | CUSIP: 8815612H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11181962 | PA      | $10264249.41   | 0.29%             | 2037-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                          | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M2                 | CUSIP: 70069FLH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1519 | PA      | $1518.54       | 0.00%             | 2035-07-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1735775 | PA      | $-1774210.89   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                        | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1946204 | PA      | $1722390.54    | 0.05%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8387489 | PA      | $-8396329.10   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                              | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M5              | CUSIP: 03072SA39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $194074.50     | 0.01%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CHEC LOAN TRUST 2004-1                                                       | CHEC LOAN TRUST CHEC 2004 1 A3 144A                         | CUSIP: 162765AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47783 | PA      | $47101.33      | 0.00%             | 2034-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -834184 | PA      | $-834306.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COHESITY INC                                                                 | CLOVER 2024 HOLDINGS INC VERITAS G PREFERRED                | CUSIP: 955EHZ901<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |      30944 | NS      | $546967.97     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                      | COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875            | CUSIP: ACI1S6R75<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     300000 | PA      | $23421.00      | 0.00%             | 2030-10-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BAMLL RE-REMIC TRUST 2016-RRLD11                                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 LD11 AJB 144A      | CUSIP: 05491JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $685156.50     | 0.02%             | 2050-06-17      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5410485 | PA      | $-5415345.30   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8232258 | PA      | $-8255644.47   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2006-1A                                              | BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A                | CUSIP: 078452AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   96560572 | PA      | $224986.13     | 0.01%             | 2046-07-05      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                  | COMEXPOSIUM 2019 EUR REVOLVER                               | CUSIP: 945BLZII6<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |    3338048 | PA      | $4679146.24    | 0.13%             | 2031-10-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2530112 | PA      | $-2550984.92   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT CHF SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $9643.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2606582 | PA      | $-2608163.61   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 01/34 1.25            | CUSIP: ACI236111<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $75979.22      | 0.00%             | 2034-01-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                   | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A           | CUSIP: 85573RAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $153023.68     | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2341019 | PA      | $-2363365.33   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1614550 | PA      | $-1626950.76   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2810912 | PA      | $-2820256.59   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                         | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $301890.00     | 0.01%             | 2027-06-06      | Floating      | 14.05%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20250903                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-28409.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                        | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4              | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $367396.40     | 0.01%             | 2035-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A B 144A                                | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3290000 | PA      | $329.00        | 0.00%             | 2041-07-05      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -473279 | PA      | $-485204.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                  | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                     | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     900000 | PA      | $22700.18      | 0.00%             | 2026-08-19      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                                 | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M3                 | CUSIP: 70069FHW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67360 | PA      | $66864.44      | 0.00%             | 2035-05-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -54594974 | PA      | $-54921937.30  | -1.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-53315.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                                 | CORESTATE CAPITAL HOLDING COMMON STOCK                      | CUSIP: ACI2J2G58<br>LEI: 529900GNB86RB7HRX793 | Long             | EC               | CORP              | LU        |     632951 | NS      | $0.74          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| EVERGLADES RE II LTD                                                         | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR               | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $518250.00     | 0.01%             | 2031-05-13      | Floating      | 17.06%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1106864 | PA      | $-1134457.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING 06/60 0                           | CUSIP: ACI2S8XN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        240 | PA      | $3390078.57    | 0.10%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005-5                                              | FBR SECURITIZATION TRUST FBRSI 2005 5 M4                    | CUSIP: 30246QCS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $558067.30     | 0.02%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                           | ENDURANCE INTERNATIONAL GROUP NON COOP TERM LOAN            | CUSIP: 29279UAB2<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |   25467700 | PA      | $19610129.19   | 0.55%             | 2028-02-10      | Floating      | 7.93%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5614321 | PA      | $-5632918.70   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-MX1                                       | CREDIT BASED ASSET SERVICING A CBASS 2007 MX1 M1 144A       | CUSIP: 1248MPAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1797728.76    | 0.05%             | 2036-12-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $14.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-2                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7M2              | CUSIP: 007036CD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1156446 | PA      | $1110163.57    | 0.03%             | 2035-02-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                     | FANNIE MAE FNR 2022 3 YS                                    | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  180404229 | PA      | $2240494.24    | 0.06%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                  | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805B 144A       | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5650000 | PA      | $1182520.71    | 0.03%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM1 XS 144A        | CUSIP: 64832DAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  281163758 | PA      | $8627341.22    | 0.24%             | 2065-01-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                                | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                     | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171391 | PA      | $138530.43     | 0.00%             | 2036-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ATLAS RE LIMITED                                                             | ATLAS RE LIMITED ATLAS RE LTD SIDECAR                       | CUSIP: 956BLH000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        273 | NS      | $27760042.46   | 0.78%             |  |  |  | No            |                  3 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-D                                      | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 D M2              | CUSIP: 456606JQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301639 | PA      | $235588.28     | 0.01%             | 2036-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17385212 | PA      | $-18072972.48  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250813                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $134879.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250814                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1533.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/2.2* 9/20/23-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2376648.57   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-A                                               | FREMONT HOME LOAN TRUST FHLT 2004 A M3                      | CUSIP: 35729PCM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1883437 | PA      | $1626843.36    | 0.05%             | 2034-01-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR               | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     629200 | PA      | $591401.76     | 0.02%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                    | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC    | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   49227164 | PA      | $11147163.51   | 0.31%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                                      | WINDSTREAM SERVICES/ESCR SR SECURED 144A 10/31 8.25         | CUSIP: 97381AAA0<br>LEI: 549300KT9GVEBYCD2N29 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1781839.68    | 0.05%             | 2031-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                           | MLCC MORTGAGE INVESTORS INC MLCC 2004 C B2                  | CUSIP: 59020UDT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17936 | PA      | $11593.64      | 0.00%             | 2029-07-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO GBP ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1024121 | PA      | $-1407853.04   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R5                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R5 M4              | CUSIP: 03072SE50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47028 | PA      | $46877.08      | 0.00%             | 2035-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                     | ALTICE FRANCE HOLDING SA SR SECURED 144A 02/28 6            | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    5200000 | PA      | $1846260.00    | 0.05%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -105257 | PA      | $-105362.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-FM1                                         | NOMURA HOME EQUITY LOAN INC NHELI 2006 FM1 M1               | CUSIP: 65536HBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10832556 | PA      | $7771739.66    | 0.22%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6847984 | PA      | $-6923768.47   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                          | NEPTUNE QUASAR PPN                                          | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |          1 | PA      | $0.00          | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                  | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805A 144A       | CUSIP: 17328CBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6600000 | PA      | $1985999.40    | 0.06%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 B4 144A        | CUSIP: 64830NAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12875000 | PA      | $9242887.83    | 0.26%             | 2059-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1791549 | PA      | $-1809211.80   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CALI MORTGAGE TRUST 2019-101C                                                | CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A         | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3235000 | PA      | $3058306.56    | 0.09%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-1A                                               | MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A                | CUSIP: 57109X107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16695 | PA      | $15.37         | 0.00%             | 2029-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT CNY SOLD USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $171.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6255200 | PA      | $-6322415.60   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                             | DUN + BRADSTREET CORPOR THE 2025 TERM LOAN                  | CUSIP: BA000K739<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    7763636 | PA      | $7686000.00    | 0.22%             | 2032-05-31      | Floating      | 9.58%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -3374719 | PA      | $-4644224.49   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $96741.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                      | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2               | CUSIP: 00764MFS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57841 | PA      | $56958.18      | 0.00%             | 2035-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A Z 144A                 | CUSIP: ACI2C6QG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   25556000 | PA      | $31987779.37   | 0.90%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                           | SPRUCE BIDCO II INC CAD TERM LOAN                           | CUSIP: BA000FPR7<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |     932637 | PA      | $672005.10     | 0.02%             | 2032-01-30      | Floating      | 7.68%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2145995 | PA      | $-2165974.22   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                           | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M2              | CUSIP: 57643LNH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9070545 | PA      | $8001391.77    | 0.23%             | 2036-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-4                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 MV7               | CUSIP: 126673R53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12376149 | PA      | $10360232.83   | 0.29%             | 2035-10-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | WINDSTREAMWARRANTS SLDENVWINDSTREAMWARRANTS                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     271670 | NC      | $5325215.84    | 0.15%             |  |  |  | No            |                  3 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED REGS 02/27 5.875                | CUSIP: ACI13Z7Z8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     350000 | PA      | $372254.67     | 0.01%             | 2027-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     853552 | PA      | $580984.15     | 0.02%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -321424 | PA      | $-322499.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4454244 | PA      | $-4459306.35   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-2                                       | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M5                | CUSIP: 126673J52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14006562 | PA      | $11839862.93   | 0.33%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15589129 | PA      | $-15789570.76  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                          | IMPAC CMB TRUST IMM 2005 7 A1                               | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7886045 | PA      | $7026541.86    | 0.20%             | 2035-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A X 144A                 | CUSIP: ACI2C6PW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    7667000 | PA      | $12156930.54   | 0.34%             | 2062-10-16      | Floating      | 13.32%                | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                                | PRIME HEALTHCARE SERVICE PRIME HEALTHCARE SERVICE           | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15200000 | PA      | $15096792.00   | 0.43%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                  | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $5563961.46    | 0.16%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A A1 144A                               | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13905445 | PA      | $2276780.21    | 0.06%             | 2041-07-05      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURIT TR 2003-OPT1                                      | MASTR ASSET BACKED SECURITIES MABS 2003 OPT1 M4             | CUSIP: 57643LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443656 | PA      | $331953.07     | 0.01%             | 2032-12-25      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7192578 | PA      | $-7254758.08   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                              | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN C                 | CUSIP: 944ZQDII8<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    9500000 | PA      | $8377175.67    | 0.24%             | 2029-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| KNOLLWOOD CDO LTD. 2004-1A                                                   | KNOLLWOOD CDO LTD KNOLL 2004 1A A1 144A                     | CUSIP: 499169AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8050900 | PA      | $2788952.44    | 0.08%             | 2039-01-10      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                          | BFLD TRUST BFLD 2020 EYP E 144A                             | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $91801.50      | 0.00%             | 2035-10-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -3388726 | PA      | $-4005890.01   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17694105 | PA      | $-17809500.06  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE1                                          | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE1 B1                | CUSIP: 12506YCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     658900 | PA      | $646634.72     | 0.02%             | 2034-06-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6572500 | PA      | $-6579938.16   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1596375 | PA      | $-1611714.66   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                                | AMSURG EQUITY EQTYAS910                                     | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    2562021 | NS      | $115666708.93  | 3.26%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $508588.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED REGS 10/29 4.25                 | CUSIP: ACI20QTK8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $297408.98     | 0.01%             | 2029-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 E 144A        | CUSIP: 46642CAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1846228 | PA      | $168745.98     | 0.00%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MERNA REINSURANCE II LTD                                                     | MERNA REINSURANCE II LTD UNSECURED 144A 07/29 VAR           | CUSIP: 59013MAF9<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $1000000.00    | 0.03%             | 2029-07-09      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3177777 | PA      | $-3210849.60   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BRUCETON MILLS ASSOCIATES LLC                                                | PURIS TERM LOAN                                             | CUSIP: BA0005TS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8319802 | PA      | $8259187.33    | 0.23%             | 2030-07-01      | Floating      | 10.05%                | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5243519 | PA      | $-5253592.07   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6                 | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252567 | PA      | $225053.76     | 0.01%             | 2035-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2511273 | PA      | $-2513855.67   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                         | EUROSAIL PLC ESAIL 2007 1X D1A REGS                         | CUSIP: ACI05RDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     250000 | PA      | $254910.29     | 0.01%             | 2045-03-13      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                              | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN D                 | CUSIP: 953BAHII7<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    1400000 | PA      | $1238909.59    | 0.03%             | 2029-02-16      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $36302725.98   | 1.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                | NPC UKRENERGO GOVT GUARANT 144A 11/28 6.875                 | CUSIP: 63718LAA2<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |    1000000 | PA      | $812500.00     | 0.02%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AIM AVIATION FINANCE LIMITED 2015-1A                                         | DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A          | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    4105659 | PA      | $3920986.07    | 0.11%             | 2040-02-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-4                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 4 B1               | CUSIP: 17307GWF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2584212 | PA      | $2410995.03    | 0.07%             | 2035-08-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2005-R10                                         | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R10 M5             | CUSIP: 03072ST21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1018768.52    | 0.03%             | 2036-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                       | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 M2            | CUSIP: 12489WJS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1189272 | PA      | $891263.97     | 0.03%             | 2035-05-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -7463523 | PA      | $-8837591.78   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-3815.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR           | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |     300000 | PA      | $352961.13     | 0.01%             | 2029-01-17      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                        | UBISOFT ENTERTAINMENT SA 2022 EUR TERM LOAN 1               | CUSIP: BA000GZZ6<br>LEI: 969500I7C8V1LBIMSM05 | Long             | LON              | CORP              | FR        |    9000000 | PA      | $10321975.74   | 0.29%             | 2025-12-22      | Floating      | 3.56%                 | Yes           |                  3 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                             | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B E 144A          | CUSIP: 02007G4F7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     446434 | PA      | $449132.86     | 0.01%             | 2032-09-15      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-80748.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A A2 144A              | CUSIP: 82639RAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16000000 | PA      | $4926736.00    | 0.14%             | 2039-09-07      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 D 144A            | CUSIP: 22545YAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2870000 | PA      | $1163067.50    | 0.03%             | 2049-01-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV INC 2004-WMC4                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC4 M3            | CUSIP: 59020UDH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     635871 | PA      | $589304.08     | 0.02%             | 2035-04-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2010-1A                                      | MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A          | CUSIP: 61911BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13970 | PA      | $13187.29      | 0.00%             | 2060-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                              | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     171118 | NS      | $301167.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M5               | CUSIP: 86358ETK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8056639 | PA      | $7072374.73    | 0.20%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4125787 | PA      | $-4134493.94   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9231000 | PA      | $-9248985.07   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AQ1                          | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AQ1 A2            | CUSIP: 07389VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5396467 | PA      | $5196530.50    | 0.15%             | 2035-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-GW 2018-GW                                                     | BX TRUST BX 2018 GW G 144A                                  | CUSIP: 12433UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5345000 | PA      | $5282964.86    | 0.15%             | 2035-05-15      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2014-150E                                       | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $10658715.60   | 0.30%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4479717 | PA      | $-4493131.17   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/28 6.75         | CUSIP: ACI2L7Q61<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      34996 | PA      | $4374.50       | 0.00%             | 2028-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10576386 | PA      | $-10597230.00  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                          | BCP TRUST BCP 2021 330N E 144A                              | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $986047.09     | 0.03%             | 2038-06-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1258950 | PA      | $-1275445.04   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2021-3                                            | FLAGSHIP CREDIT AUTO TRUST FCAT 2021 3 R 144A               | CUSIP: 33846Q101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8473 | PA      | $162659.79     | 0.00%             | 2028-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                          | IMPAC CMB TRUST IMM 2005 7 A2                               | CUSIP: 45254NQY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     878219 | PA      | $777399.68     | 0.02%             | 2035-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                       | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    7070000 | PA      | $7639757.16    | 0.22%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/0.75000 09/21/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $2707747.18    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -11097259 | PA      | $-15381843.56  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A          | CUSIP: 78449DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8984747 | PA      | $10471725.48   | 0.29%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| WINDSTREAM HOLDINGS II LLC                                                   | WINDSTREAM UNITS EQUITY                                     | CUSIP: 952YSX903<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    1366195 | NS      | $26779855.19   | 0.75%             |  |  |  | No            |                  3 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                  | STRATTON MORTGAGE FUNDING 06/50 0                           | CUSIP: ACI2S8Z13<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        240 | PA      | $512568.72     | 0.01%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A         | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     449700 | PA      | $449383.18     | 0.01%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                     | ALTICE FRANCE HOLDING SA SR SECURED REGS 05/27 8            | CUSIP: BL5F4LII6<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |   21550000 | PA      | $9151233.55    | 0.26%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-17255412.61  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2048415 | PA      | $-2050653.55   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $58.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                               | LIBERTY STREET TRUST LBTY 2016 225L E 144A                  | CUSIP: 902055AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7616273 | PA      | $6675663.28    | 0.19%             | 2036-02-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| ARIMA MORTGAGES PLC 2A                                                       | ARIMA MORTGAGES PLC ARIMA 2A R 144A                         | CUSIP: ACI2VMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1900000 | PA      | $2229959.38    | 0.06%             | 2056-07-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2            | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139695 | PA      | $139495.03     | 0.00%             | 2035-10-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                   | PALISADES CDO LTD PALIS 2004 1A B1 144A                     | CUSIP: 696399AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20888934 | PA      | $7998017.81    | 0.23%             | 2039-07-22      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| MARINE ONE HOLDCO LLC                                                        | WEST MARINE NEW COMMON STOCK EQTYWM9A9                      | CUSIP: 902LVFII8<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       3579 | NS      | $22611.30      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1426455.51    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2090659 | PA      | $-2108740.62   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS SPV III LLC                                                  | CLOVER HOLDINGS SPV III LLC 2024 USD TERM LOAN              | CUSIP: BA000CCJ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1144387 | PA      | $1142956.92    | 0.03%             | 2027-12-09      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/29 7            | CUSIP: ACI2L7QV6<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      35080 | PA      | $4385.00       | 0.00%             | 2029-09-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                              | OI S.A. SR SECURED 144A 06/27 10                            | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   63774375 | PA      | $41528190.63   | 1.17%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M3             | CUSIP: 59020UUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79508 | PA      | $76011.25      | 0.00%             | 2036-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 12/20/23-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $458662.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                           | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 10/28 11.75        | CUSIP: 650929AA0<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $3397500.00    | 0.10%             | 2028-10-15      | Fixed         | 11.75%                | No            |                  3 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 AIOS 144A     | CUSIP: 36261WAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   81127944 | PA      | $543942.58     | 0.02%             | 2060-12-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -476850 | PA      | $-478485.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH H 144A       | CUSIP: 46654EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3775687.50    | 0.11%             | 2038-06-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| C-BASS CBO XVI CORP 16A                                                      | C BASS LTD CBCL 16A A 144A                                  | CUSIP: 12498YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   21237598 | PA      | $109543.53     | 0.00%             | 2041-09-06      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $89.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                         | MFT TRUST MOFT 2020 ABC C 144A                              | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $2857336.20    | 0.08%             | 2042-02-10      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                          | MARGATE FUNDING LTD MGATE 2004 1A A1S 144A                  | CUSIP: 56659NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30325421 | PA      | $5659997.29    | 0.16%             | 2044-12-04      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2003-A                                            | KSLT 2003 A R SUB KSLT 2003 A R SUB                         | CUSIP: 933RCTII9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $12167000.00   | 0.34%             | 2050-01-01      | Fixed         | 2.96%                 | No            |                  3 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                                | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A2 144A        | CUSIP: 74143FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1032500 | PA      | $1016999.10    | 0.03%             | 2051-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2020-1A                                               | FEE1009C2 ROCKT 2020 1A SUB FEE                             | CUSIP: 948ZWHII8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8300000 | PA      | $134376.83     | 0.00%             | 2032-01-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| LNR CDO LTD 2005-1A                                                          | LNR CDO LTD LNR 2005 1A A 144A                              | CUSIP: 53944PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2058379 | PA      | $12650.80      | 0.00%             | 2043-02-28      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $137.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VEON AMSTERDAM BV                                                            | VEON AMSTERDAM TERM LOAN                                    | CUSIP: BA000HL48<br>LEI: 549300EPG4HR574L4660 | Long             | LON              | CORP              | NL        |   14900000 | PA      | $14905371.30   | 0.42%             | 2027-03-25      | Floating      | 8.55%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3448393 | PA      | $-3488044.73   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                         | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1200000 | PA      | $109803.36     | 0.00%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 06/20/24-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-854060.89    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV6               | CUSIP: 126673B92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290918 | PA      | $287728.86     | 0.01%             | 2035-08-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-4                                          | BANC OF AMERICA FUNDING CORPOR BAFC 2006 4 A12              | CUSIP: 05950FAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800401 | PA      | $1386391.51    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                | NPC UKRENERGO GOVT GUARANT REGS 11/28 6.875                 | CUSIP: ACI21LG55<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |     800000 | PA      | $650000.00     | 0.02%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-4R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 4R 1A4 144A          | CUSIP: 12650BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11909130 | PA      | $8085418.98    | 0.23%             | 2036-10-27      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                          | MARGATE FUNDING LTD MGATE 2004 1A A1J 144A                  | CUSIP: 56659NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8718000 | PA      | $0.09          | 0.00%             | 2044-12-04      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                       | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B             | CUSIP: 81879MAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4401875 | PA      | $2165325.67    | 0.06%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14330432 | PA      | $-14531058.33  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.50000 12/20/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-567610.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                         | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR               | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $521850.00     | 0.01%             | 2031-05-13      | Floating      | 14.81%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2005-2                                         | MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M6              | CUSIP: 61744CQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5603158 | PA      | $5152622.88    | 0.15%             | 2035-05-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                   | CARVANA CO SR SECURED 144A 06/30 9                          | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    5083067 | PA      | $5348700.00    | 0.15%             | 2030-06-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                       | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE F 144A          | CUSIP: 36258BAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8534327 | PA      | $8167896.88    | 0.23%             | 2036-12-15      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-NC7                                          | MORGAN STANLEY CAPITAL INC MSAC 2004 NC7 M4                 | CUSIP: 61744CFS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33729 | PA      | $38228.00      | 0.00%             | 2034-07-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV8               | CUSIP: 126673C34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3521546 | PA      | $2834080.96    | 0.08%             | 2035-08-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                              | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR                 | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $310935.00     | 0.01%             | 2031-05-07      | Floating      | 14.55%                | No            |                  2 | On Loan: No      |
| TRANSNET SOC LTD                                                             | TRANSNET SOC LTD 2015 ZAR TERM LOAN                         | CUSIP: BA000FR04<br>LEI: 378900B07CD6F01EA796 | Long             | LON              | CORP              | ZA        |  179175175 | PA      | $10038998.09   | 0.28%             | 2028-03-02      | Floating      | 11.56%                | No            |                  3 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                          | BFLD TRUST BFLD 2020 EYP F 144A                             | CUSIP: 05493AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5130000 | PA      | $23751.90      | 0.00%             | 2035-10-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $91.43         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8274750 | PA      | $-8333303.05   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                          | BFLD TRUST BFLD 2020 EYP D 144A                             | CUSIP: 05493AAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $19940.03      | 0.00%             | 2035-10-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                        | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3            | CUSIP: 86363NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1508249 | PA      | $1331249.18    | 0.04%             | 2047-09-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED 144A 07/29 5.125                | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   13731000 | PA      | $11362402.50   | 0.32%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-SEA2                                                        | GSAMP TRUST GSAMP 2004 SEA2 M2                              | CUSIP: 36228F6A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2182179 | PA      | $1821735.16    | 0.05%             | 2034-03-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2004-3                                        | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 1M3              | CUSIP: 004375BG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1863046 | PA      | $1624930.98    | 0.05%             | 2034-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 M1            | CUSIP: 073879V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4986122 | PA      | $3828708.04    | 0.11%             | 2034-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10400411 | PA      | $-10479570.46  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.90000 09/17/24-6Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1018396.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.22 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-37801.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A     | CUSIP: 36260AAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35703175 | PA      | $124505.90     | 0.00%             | 2059-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                              | OI S.A. COMMON STOCK                                        | CUSIP: B7XL4M900<br>LEI: 254900YEMWCRRAGD4978 | Long             | EC               | CORP              | BR        |   22097247 | NS      | $2602977.69    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A B 144A               | CUSIP: 82639RAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10400000 | PA      | $2792275.20    | 0.08%             | 2039-09-07      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ E 144A         | CUSIP: 05523GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2716000 | PA      | $347056.46     | 0.01%             | 2034-08-14      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                              | VERAISON RE LTD UNSECURED 144A 03/33 VAR                    | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |     450000 | PA      | $450000.00     | 0.01%             | 2033-03-08      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-HE1                                         | NOMURA HOME EQUITY LOAN INC NHELI 2005 HE1 M6               | CUSIP: 65536HBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2583060.60    | 0.07%             | 2035-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 09/39 5.125           | CUSIP: B1FGYYII6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $368910.58     | 0.01%             | 2039-09-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CIRCOR                                                                       | CIRCOR INTERNATIONAL INC 2023 REVOLVER                      | CUSIP: 948FVPII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     734483 | PA      | $754504.28     | 0.02%             | 2029-06-20      | Floating      | 0.50%                 | No            |                  3 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR1                                            | SECURITIZED ASSET BACKED RECEI SABR 2005 FR1 M2             | CUSIP: 81375WDT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1598508 | PA      | $1360078.57    | 0.04%             | 2034-12-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15097526 | PA      | $-15112557.58  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                             | FIAC                                                        | CUSIP: 936NUVII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $1.37          | 0.00%             | 2039-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ1 M1             | CUSIP: 83612JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25456017 | PA      | $23468469.31   | 0.66%             | 2036-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250828                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1797.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM1 AIOS 144A      | CUSIP: 64832DAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  281163758 | PA      | $1994477.29    | 0.06%             | 2065-01-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                           | VERUS SECURITIZATION TRUST VERUS 2021 R1 B3 144A            | CUSIP: 92538BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8976025 | PA      | $8923342.91    | 0.25%             | 2063-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA TERM B13                                   | CUSIP: F6628DAM6<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    5476823 | PA      | $4838444.85    | 0.14%             | 2026-08-14      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                         | COLLEGE AVE STUDENT LOANS CASL 2024 A C 144A                | CUSIP: 19424RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2770000 | PA      | $2840968.23    | 0.08%             | 2054-06-25      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                 | ALAMO RE LTD UNSECURED 144A 06/26 VAR                       | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     450000 | PA      | $467550.00     | 0.01%             | 2026-06-08      | Floating      | 15.57%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10929166 | PA      | $-10941746.84  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| BB GROVES                                                                    | BB GROVES DELAYED DRAW TERM LOAN                            | CUSIP: BA0008C06<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   55540472 | PA      | $55527090.72   | 1.56%             | 2027-03-31      | Floating      | 5.27%                 | Yes           |                  3 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                  | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 C 144A        | CUSIP: 90117PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2813748.00    | 0.08%             | 2035-08-10      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -33858192 | PA      | $-33894005.96  | -0.95%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                   | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL   | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6123110 | PA      | $6123109.99    | 0.17%             | 2026-11-03      | Floating      | 11.11%                | No            |                  3 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-BOP                                      | MORGAN STANLEY CAPITAL I TRUST MSC 2018 BOP E 144A          | CUSIP: 61768FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $145177.20     | 0.00%             | 2035-06-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                | ARGENT SECURITIES INC. ARSI 2005 W2 M3                      | CUSIP: 040104NF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38315753 | PA      | $33868244.06   | 0.95%             | 2035-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES LIMITED                                               | THAMES WATER UTIL LTD SR SECURED 144A 03/27 0.00000         | CUSIP: ACI2VX3Q4<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |     144674 | PA      | $167622.64     | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -4723976 | PA      | $-6517033.80   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $34.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                     | VIRIDIEN SR SECURED 144A 10/30 8.5                          | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   10000000 | PA      | $11716994.41   | 0.33%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL D 144A         | CUSIP: 95003WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3356951.54    | 0.09%             | 2039-12-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1503190 | PA      | $-1504010.07   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14250200 | PA      | $-14356146.28  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-2                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M3                | CUSIP: 126670UY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300828 | PA      | $2091947.26    | 0.06%             | 2036-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                   | ACE SECURITIES CORP. ACE 2005 HE3 M5                        | CUSIP: 004421NG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295489 | PA      | $229296.27     | 0.01%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SABINE RE LTD                                                                | SABINE RE LTD UNSECURED 144A 04/31 VAR                      | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $414440.00     | 0.01%             | 2031-04-07      | Floating      | 12.55%                | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B D 144A         | CUSIP: 63874EAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $4715249.00    | 0.13%             | 2037-04-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $18351.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                             | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A                  | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62285 | PA      | $55611.21      | 0.00%             | 2036-09-20      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                          | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 12A4 144A         | CUSIP: 75524MCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2364497 | PA      | $1178534.05    | 0.03%             | 2037-10-26      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                                | DBGS MORTGAGE TRUST DBGS 2019 1735 F 144A                   | CUSIP: 23307EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3298155.00    | 0.09%             | 2037-04-10      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 7M1              | CUSIP: 007036NH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1565240 | PA      | $1429390.75    | 0.04%             | 2035-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                  | EUROSAIL PLC ESAIL 2007 4X E1C REGS                         | CUSIP: G3299TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1525473 | PA      | $1587173.21    | 0.04%             | 2045-06-13      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                             | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M4                    | CUSIP: 66987XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $3931834.50    | 0.11%             | 2036-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -990880 | PA      | $-991028.63    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                   | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2707223 | PA      | $1421292.14    | 0.04%             | 2025-06-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7933000 | PA      | $7829484.03    | 0.22%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N-STAR REL CDO VIII LTD 2006-8A                                              | N STAR REAL ESTATE CDO LTD NSTAR 2006 8A B 144A             | CUSIP: 62940FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     580910 | PA      | $58.67         | 0.00%             | 2041-02-01      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7411500 | PA      | $-7436365.58   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1                              | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A      | CUSIP: 52607NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $250536.47     | 0.01%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                       | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 E 144A           | CUSIP: 39571XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $511119.50     | 0.01%             | 2059-10-27      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625            | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    4600000 | PA      | $3220000.00    | 0.09%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                      | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN  | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   42300000 | PA      | $43291328.42   | 1.22%             | 2029-05-30      | Floating      | 6.88%                 | No            |                  3 | On Loan: No      |
| FORWARD AIR CORPORATION (CLUE OPCO LLC)                                      | FORWARD AIR CORPORATION TERM LOAN B                         | CUSIP: 18948EAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   16174262 | PA      | $16104307.86   | 0.45%             | 2030-12-19      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                                                | PENNYMAC CORP COMPANY GUAR 03/26 5.5                        | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |   18075000 | PA      | $17957512.50   | 0.51%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 M              | CUSIP: 12667FV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180264 | PA      | $125850.77     | 0.00%             | 2035-02-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X2 144A          | CUSIP: ACI2S8TR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     624000 | PA      | $866404.95     | 0.02%             | 2060-06-20      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED 144A 10/29 5.5                  | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    6748000 | PA      | $5600840.00    | 0.16%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                           | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A3             | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2967 | PA      | $2952.65       | 0.00%             | 2037-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2013-8                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 8 2A2 144A         | CUSIP: 17321PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     446444 | PA      | $298495.35     | 0.01%             | 2036-11-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                      | FREDDIE MAC   STACR STACR 2021 DNA5 B2 144A                 | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14300000 | PA      | $16926030.55   | 0.48%             | 2034-01-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                                 | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |   28562285 | PA      | $26881191.55   | 0.76%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14798545 | PA      | $-14991081.48  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG 25-2A                                                       | DEUTSCHE BANK AG CRFT 2025 2A CLN 144A                      | CUSIP: ACI2Y11S9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10100000 | PA      | $10100000.00   | 0.28%             | 2035-01-21      | Floating      | 11.56%                | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-OPT1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 OPT1 M6             | CUSIP: 57643LHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208123 | PA      | $162860.86     | 0.00%             | 2035-03-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-OP1                                                 | ACE SECURITIES CORP. ACE 2004 OP1 M6                        | CUSIP: 004421FB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32758 | PA      | $27464.18      | 0.00%             | 2034-04-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | TRS YJL 01/28/36 MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | CN        |          1 | NC      | $-2703335.19   | -0.08%            |  |  |  | No            |                  3 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                 | DBGS MORTGAGE TRUST DBGS 2021 W52 F 144A                    | CUSIP: 23308LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $4366461.60    | 0.12%             | 2036-10-15      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                                 | ACE SECURITIES CORP. ACE 2004 FM2 M5                        | CUSIP: 004421GN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990218 | PA      | $816079.96     | 0.02%             | 2034-06-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-911.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITY OF DETROIT                                                              | DETROIT MI DET 04/44 ADJUSTABLE VAR                         | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |    7159089 | PA      | $5601982.13    | 0.16%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-73.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -577222 | PA      | $-577597.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071            | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                 | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24637000 | PA      | $1089457.99    | 0.03%             | 2045-11-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -29079539 | PA      | $-40027148.98  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                           | SPRUCE BIDCO II INC REVOLVER                                | CUSIP: BA000FL00<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    1160917 | PA      | $1139618.54    | 0.03%             | 2032-01-30      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 06/15/22-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20016112.54   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A         | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     779480 | PA      | $779849.46     | 0.02%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                                | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4409 | PA      | $561.76        | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A        | CUSIP: 36260AAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40224511 | PA      | $599077.72     | 0.02%             | 2059-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D                                    | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A          | CUSIP: 78471C109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4400000 | PA      | $337409.20     | 0.01%             | 2040-09-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC              | UNITI GROUP/CSL CAPITAL SR SECURED 144A 02/28 10.5          | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9795000 | PA      | $10390462.64   | 0.29%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD                                | PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A          | CUSIP: 74686PAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2441746 | PA      | $1358248.00    | 0.04%             | 2038-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                  | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A X2 144A          | CUSIP: ACI2S8TS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     479000 | PA      | $641638.34     | 0.02%             | 2050-06-28      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-394.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2014-A                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A R 144A            | CUSIP: 784456105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15318 | PA      | $604506.54     | 0.02%             | 2045-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B12                                            | BENCHMARK MORTGAGE TRUST BMARK 2019 B12 TCE 144A            | CUSIP: 08162FBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12500000 | PA      | $11302358.75   | 0.32%             | 2052-08-15      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13866948 | PA      | $-13904250.10  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.245 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-18619.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                                  | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A           | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16642 | PA      | $1201493.80    | 0.03%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| VIRIDIEN                                                                     | VIRIDIEN SR SECURED 144A 10/30 10                           | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    8150000 | PA      | $8026376.73    | 0.23%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A         | CUSIP: 78486DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7023500 | PA      | $6821136.11    | 0.19%             | 2034-04-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M3              | CUSIP: 07388GAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3944952 | PA      | $3498007.53    | 0.10%             | 2036-08-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250711                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-49.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                                | BSST MORTGAGE TRUST BSST 2021 1818 F 144A                   | CUSIP: 07403PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3125000 | PA      | $783599.38     | 0.02%             | 2036-03-15      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                            | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A               | CUSIP: 33844T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20000 | PA      | $853750.69     | 0.02%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                     | TITANIUM 2L BONDCO S.? R.L. EO 01/31 6.25                   | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |   40172900 | PA      | $13955049.14   | 0.39%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -714328 | PA      | $-717220.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1149802 | PA      | $-1153674.06   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                               | DATABRICKS INC DELAYED DRAW TERM LOAN                       | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    1649127 | PA      | $1665617.91    | 0.05%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2014-RR2                                                      | BCAP LLC TRUST BCAP 2014 RR2 11A4 144A                      | CUSIP: 05543DCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2233165 | PA      | $2115403.54    | 0.06%             | 2037-05-26      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 A 144A       | CUSIP: 46653DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1285591.58    | 0.04%             | 2036-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9000000 | PA      | $-9009222.89   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR              | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1328710 | PA      | $690929.20     | 0.02%             | 2034-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/3.00 9/19/23-6Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1505172.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-3R                                        | NOMURA RESECURITIZATION TRUST NMRR 2014 3R 2A8 144A         | CUSIP: 65540LAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228668 | PA      | $203746.40     | 0.01%             | 2035-07-26      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6054683 | PA      | $-6100598.14   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 X 144A        | CUSIP: 36261WAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   93860813 | PA      | $2696546.06    | 0.08%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                  | COMM MORTGAGE TRUST COMM 2022 HC A 144A                     | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1427378.55    | 0.04%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                               | ADLER GROUP SA   VTG SHS COMMON STOCK                       | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |    7118576 | NS      | $8.39          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1146287 | PA      | $-1581666.66   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A         | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7835000 | PA      | $7213284.92    | 0.20%             | 2039-12-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-3                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M3                | CUSIP: 126670WE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4294364 | PA      | $3920747.63    | 0.11%             | 2036-06-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FUTBOL CLUB BARCELONA SL                                                     | ESPAI BRCA FNDO DE TITULZACION EUR TERM LOAN                | CUSIP: 948FVAII8<br>LEI: 95980020140005871781 | Long             | LON              | CORP              | ES        |   14053850 | PA      | $19091389.43   | 0.54%             | 2028-05-31      | Fixed         | 4.27%                 | No            |                  3 | On Loan: No      |
| LEHMAN XS TRUST 2005-2                                                       | LEHMAN XS TRUST LXS 2005 2 1M1                              | CUSIP: 86359DMR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7985457 | PA      | $7817842.25    | 0.22%             | 2035-08-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.715 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-30123.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                                 | ACE SECURITIES CORP. ACE 2005 HE5 M5                        | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3597472 | PA      | $3000683.09    | 0.08%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                               | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000         | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    8059000 | PA      | $5735026.17    | 0.16%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A                   | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16000000 | PA      | $1589278.40    | 0.04%             | 2036-11-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                     | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN                | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   12766268 | PA      | $12766268.45   | 0.36%             | 2029-12-23      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 M               | CUSIP: 863579GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1844476 | PA      | $1415954.89    | 0.04%             | 2034-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9245990 | PA      | $-9255285.18   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5757203 | PA      | $-5821460.21   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                     | IHEARTCOMMUNICATIONS INC 2024 TERM LOAN                     | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |    4764060 | PA      | $3896596.13    | 0.11%             | 2029-05-01      | Floating      | 10.22%                | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                           | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300A 144A           | CUSIP: 08163DBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1451044.40    | 0.04%             | 2054-04-15      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250729                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-430.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-986.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28                | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR28 CB1           | CUSIP: 22541QU91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     495803 | PA      | $460901.38     | 0.01%             | 2033-12-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 06/20/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-312484.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGE FUNDING 2008-1 PLC                                                  | MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS                     | CUSIP: ACI1690J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1700000 | PA      | $2337031.55    | 0.07%             | 2046-03-13      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25514115 | PA      | $-25538176.17  | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14094062 | PA      | $-14651624.77  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                         | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25                | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     900000 | PA      | $914404.48     | 0.03%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B3 144A       | CUSIP: 617941AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1262000 | PA      | $1168470.28    | 0.03%             | 2070-01-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                         | GSAMP TRUST GSAMP 2006 HE3 M1                               | CUSIP: 36244KAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28026184 | PA      | $23147192.20   | 0.65%             | 2046-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A         | CUSIP: 61691KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2391278.25    | 0.07%             | 2034-11-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13837385 | PA      | $-13993070.54  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                        | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A         | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4107263 | PA      | $3994491.08    | 0.11%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                  | STRATTON MORTGAGE FUNDING 06/50 0                           | CUSIP: ACI2S8XL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        240 | PA      | $0.00          | 0.00%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT 2022-B ASSET SECURITIZATION TRUST                               | LENDINGPOINT ASSET SECURITIZAT LDPT 2022 B B 144A           | CUSIP: 52606WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     780688 | PA      | $757205.29     | 0.02%             | 2029-10-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11776342 | PA      | $-11986255.58  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-29                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 29 1B2             | CUSIP: 22541NPU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     509643 | PA      | $328674.60     | 0.01%             | 2032-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                     | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205096 | PA      | $193091.53     | 0.01%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-372624.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CTDL 2020-1                                                                  | CTDL 2020 1 TRUST CTDL 2020 1 B1 144A                       | CUSIP: 12657JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     894000 | PA      | $850594.78     | 0.02%             | 2055-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ACACIA CDO LTD 5A                                                            | ACACIA CDO LTD ACCDO 5A B 144A                              | CUSIP: 00388EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27881649 | PA      | $6121193.00    | 0.17%             | 2039-11-08      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                  | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1            | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     238857 | PA      | $323651.38     | 0.01%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                | HESTIA RE LTD UNSECURED 144A 04/29 VAR                      | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     100570 | PA      | $45256.46      | 0.00%             | 2029-04-22      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-39.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2000-B                                            | KSLT 2000 B CERT SUB KSLT 2000 B CERT SUB                   | CUSIP: 933FUCII2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $4908000.00    | 0.14%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M5             | CUSIP: 04542BKW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6465797 | PA      | $5693102.34    | 0.16%             | 2035-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16110498.08   | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY                                | MICHIGAN ST TOBACCO SETTLEMENT MISGEN 06/46 ZEROCPNOID 0    | CUSIP: 594751AL3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   43500000 | PA      | $5685863.25    | 0.16%             | 2046-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WHLN 2024-ACRA-FF1                                                           | WHLN 2024 ACRA FF1 WHLNPL580                                | CUSIP: 953WCNII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     514720 | PA      | $521468.19     | 0.01%             | 2026-01-01      | Fixed         | 9.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250728                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1632.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-C                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A            | CUSIP: 78448R106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9980 | PA      | $2596070.20    | 0.07%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                          | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M6                 | CUSIP: 70069FDA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17316141 | PA      | $13734451.36   | 0.39%             | 2034-12-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                         | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: BP7M6FII1<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     465193 | PA      | $702514.63     | 0.02%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $15301904.17   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $15.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 H 144A       | CUSIP: 46654PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21526000 | PA      | $20544875.06   | 0.58%             | 2038-11-15      | Floating      | 10.97%                | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3                 | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M6            | CUSIP: 04541GQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $182232.64     | 0.01%             | 2035-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -27133628 | PA      | $-27329525.52  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                 | FANNIE MAE   CAS CAS 2022 R01 1B2 144A                      | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $945555.84     | 0.03%             | 2041-12-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 01/34 2.625           | CUSIP: ACI0RZP43<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $358432.26     | 0.01%             | 2034-01-24      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | EUTELSAT SA SNR SE SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $14339.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A3 144A        | CUSIP: 17307GY85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3039596 | PA      | $2542933.08    | 0.07%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-4                                                | SEQUOIA MORTGAGE TRUST SEMT 2005 4 1B2                      | CUSIP: 81744FHY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38538 | PA      | $33594.57      | 0.00%             | 2035-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7398223 | PA      | $-7398223.32   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| MERNA REINSURANCE II LTD                                                     | MERNA REINSURANCE II LTD UNSECURED 144A 07/25 VAR           | CUSIP: 59013MAG7<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    3750000 | PA      | $3750000.00    | 0.11%             | 2025-07-07      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| TOLL ROAD INVESTORS PARTNERSHIP II LP                                        | TOLL ROAD INV PART II INSURED 144A 02/43 0.00000            | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   56175583 | PA      | $19049140.03   | 0.54%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3070.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                       | SOUTH COAST FUNDING SCF 5A C1 144A                          | CUSIP: 84129VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   40756241 | PA      | $4075.62       | 0.00%             | 2039-08-06      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $49410.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE II COMMUTATION TRUST 2005 AR16                           | NATIONAL COLLEGIATE II COMMUTA NCMCT 2005 AR16 AR16         | CUSIP: 63545AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22875000 | PA      | $921594.86     | 0.03%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.50000 09/21/22-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $8714091.65    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                       | FIRST NLC TRUST FNLC 2005 1 M2                              | CUSIP: 32113JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3462560 | PA      | $2193658.07    | 0.06%             | 2035-05-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22938812.52   | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| C-BASS LTD 13A                                                               | C BASS LTD CBCL 13A A 144A                                  | CUSIP: 12498FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   51642206 | PA      | $598378.24     | 0.02%             | 2040-03-17      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                         | SOHO TRUST 2021 SOHO SOHO 2021 SOHO C 144A                  | CUSIP: 83410JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6400000 | PA      | $4410683.52    | 0.12%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MOR-2007-LD11                                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD11 AJ           | CUSIP: 46631BAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14795158 | PA      | $2738028.89    | 0.08%             | 2049-06-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | NUMERICABLE U S LLC TERM LOAN B 11                          | CUSIP: 67053NAK0<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    2094643 | PA      | $1827575.90    | 0.05%             | 2025-07-31      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-986133.34    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-4                                               | HOME EQUITY ASSET TRUST HEAT 2006 4 M1                      | CUSIP: 437084VR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30276234 | PA      | $29810936.41   | 0.84%             | 2036-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A5                | CUSIP: 22942JAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487734 | PA      | $101416.07     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                                 | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                 | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    6000000 | PA      | $5835000.00    | 0.16%             | 2031-12-19      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-8                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M2               | CUSIP: 86358EXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21332714 | PA      | $17303800.43   | 0.49%             | 2035-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| C-BASS LTD 18A                                                               | C BASS LTD CBCL 18A A2 144A                                 | CUSIP: 1248MMAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   31296933 | PA      | $2347.27       | 0.00%             | 2047-03-13      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR              | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     648244 | PA      | $306295.29     | 0.01%             | 2036-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -365005 | PA      | $-368864.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                         | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M9 144A          | CUSIP: 9497ENAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $242243.70     | 0.01%             | 2035-11-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2B1                      | CUSIP: 81743PBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24549 | PA      | $22594.90      | 0.00%             | 2033-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6125571.01    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS (1261229 BC LTD)                                           | BAUSCH HEALTH COMPANIES INC 2025 TERM LOAN B                | CUSIP: C6903HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    9600000 | PA      | $9279744.00    | 0.26%             | 2030-10-08      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -36786693 | PA      | $-37021024.36  | -1.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                                | CHEPLAPHARM ARZNEIMITTEL CHEPLAPHARM ARZNEIMITTEL           | CUSIP: ACI2Y4GV0<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |    3400000 | PA      | $4036546.92    | 0.11%             | 2031-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $53297.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3420627 | PA      | $-3456720.13   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1            | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111967 | PA      | $89273.23      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                             | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A        | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $284519.90     | 0.01%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12576512 | PA      | $-12610028.30  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                         | EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR               | CUSIP: 27332EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     500000 | PA      | $506425.00     | 0.01%             | 2026-03-31      | Floating      | 13.55%                | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                    | JETBLUE AIRWAYS/LOYALTY JETBLUE AIRWAYS/LOYALTY             | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13293000 | PA      | $12940818.85   | 0.36%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                         | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P E 144A        | CUSIP: 55375KAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8006000 | PA      | $6963286.55    | 0.20%             | 2039-09-13      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                  | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |     670263 | NS      | $23121917.93   | 0.65%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PURPLE RE LTD                                                                | PURPLE RE LTD UNSECURED 144A 06/27 VAR                      | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     600000 | PA      | $614160.00     | 0.02%             | 2027-06-07      | Floating      | 13.32%                | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                             | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 2A2                  | CUSIP: 46628LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5976 | PA      | $4135.41       | 0.00%             | 2036-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                       | SOUTH COAST FUNDING SCF 5A B 144A                           | CUSIP: 84129VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24341450 | PA      | $7684157.72    | 0.22%             | 2039-08-06      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE SECURITIES INC RE-REMIC TRUST CERTIFICATES SERIES 2007-RS8 | DEUTSCHE MORTGAGE SECURITIES, DMSI 2007 RS8 3A1 144A        | CUSIP: 25156WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3189930 | PA      | $2369941.48    | 0.07%             | 2036-09-28      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ C 144A         | CUSIP: 05523GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $1353440.55    | 0.04%             | 2034-08-14      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1                                         | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M4               | CUSIP: 65536HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     539983 | PA      | $414989.82     | 0.01%             | 2035-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 1M2             | CUSIP: 61748HBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332908 | PA      | $331444.82     | 0.01%             | 2034-07-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                          | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13           | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2176394 | PA      | $2054894.83    | 0.06%             | 2036-12-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                     | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   23234655 | PA      | $23234655.48   | 0.65%             | 2025-12-21      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                              | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M2              | CUSIP: 03072SUA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     687086 | PA      | $699709.18     | 0.02%             | 2034-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3590692 | PA      | $-3628760.96   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1461603 | PA      | $-1461804.27   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEVEN MADISON TRUST MORTGAGE TRUST 2015-11MD                                | MADISON AVENUE TRUST MAD 2015 11MD A 144A                   | CUSIP: 556227AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2575000 | PA      | $2542410.80    | 0.07%             | 2035-09-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                       | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A          | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20935689 | PA      | $19355040.29   | 0.55%             | 2036-12-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2789800 | PA      | $-2795571.75   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1095764 | PA      | $-1099380.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                                | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE D 144A         | CUSIP: 26210YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5805878 | PA      | $4987864.63    | 0.14%             | 2043-10-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                            | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6          | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     430000 | PA      | $54735.92      | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.00000 12/21/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9719457.01    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| FARRINGDON MORTAGES PLC 2                                                    | ROOF 2 D                                                    | CUSIP: 963FSYII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          1 | PA      | $0.00          | 0.00%             | 2047-07-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5596449 | PA      | $-5626537.68   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.1* 9/20/23-27Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11980545.96   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD KWD BOUGHT USD 20290502                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $157519.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1353196 | PA      | $-1594855.85   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1                 | CUSIP: 617451DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3698000 | PA      | $3046905.71    | 0.09%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC)                                              | CENTRAL PARENT INC 2024 TERM LOAN B                         | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   33134518 | PA      | $27751815.29   | 0.78%             | 2029-07-06      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                           | MLCC MORTGAGE INVESTORS INC MLCC 2004 C B1                  | CUSIP: 59020UDS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191056 | PA      | $173139.92     | 0.00%             | 2029-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                 | ALAMO RE LTD UNSECURED 144A 06/27 VAR                       | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     950000 | PA      | $991325.00     | 0.03%             | 2027-06-07      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR3                            | SECURITIZED ASSET BACKED RECEI SABR 2005 FR3 M2             | CUSIP: 81375WEV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154490 | PA      | $1043227.24    | 0.03%             | 2035-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-53.76        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-4                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 4 B                 | CUSIP: 1266715S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291010 | PA      | $410608.23     | 0.01%             | 2033-08-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250711                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $4566.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-11                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 11 2M1              | CUSIP: 23247LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26400000 | PA      | $19909229.95   | 0.56%             | 2047-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M4              | CUSIP: 64352VKW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101908 | PA      | $107071.49     | 0.00%             | 2035-06-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                        | SCURALPHA 1503 GMBH USD TERM LOAN B1                        | CUSIP: D7001LAC7<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |   40842787 | PA      | $38675668.49   | 1.09%             | 2030-03-29      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP F 144A                   | CUSIP: 98162JAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2465000 | PA      | $129438.38     | 0.00%             | 2036-11-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                  | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                     | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1100000 | PA      | $27750.46      | 0.00%             | 2026-05-20      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SVC AND SEC 2006-RP2                                     | CREDIT BASED ASSET SERVICING A CBASS 2006 RP2 M1 144A       | CUSIP: 1248M3AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1068785 | PA      | $1155014.62    | 0.03%             | 2036-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X E1C REGS                         | CUSIP: G3299SAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1780941 | PA      | $2024288.24    | 0.06%             | 2045-06-13      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $65.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $208.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -28092548 | PA      | $-28382229.20  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS2                          | DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS2 1A2 144A      | CUSIP: 25160GAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1528057 | PA      | $1050282.91    | 0.03%             | 2035-12-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2015-CR26                                                | COMM MORTGAGE TRUST COMM 2015 CR26 XE 144A                  | CUSIP: 12593QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28636000 | PA      | $924.94        | 0.00%             | 2048-10-10      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A RES                    | CUSIP: ACI2C6R96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3705000 | PA      | $7.63          | 0.00%             | 2062-10-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                      | FREDDIE MAC FHR 5069 PI                                     | CUSIP: 3137F9CZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2962019 | PA      | $501213.07     | 0.01%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE2                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE2 M4             | CUSIP: 04542BNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     936818 | PA      | $890157.18     | 0.03%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTION BV                                                 | YINSON BORONIA PRODUCTIO SR SECURED REGS 07/42 8.947        | CUSIP: N9733XAA5<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |    1090298 | PA      | $1161752.14    | 0.03%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                      | DOMINICAN REPUBLIC SR UNSECURED 144A 03/37 10.5             | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        | 2023300000 | PA      | $34603163.86   | 0.97%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                       | VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5            | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   12119000 | PA      | $13209746.36   | 0.37%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| AVOCA CLO XIII  13X                                                          | AVOCA CLO AVOCA 13X SUB REGS                                | CUSIP: ACI0B8BB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2250000 | PA      | $1307024.47    | 0.04%             | 2034-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250811                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7370.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A         | CUSIP: 61691KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6258000 | PA      | $5932088.99    | 0.17%             | 2034-11-15      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-12AL                                              | TERWIN MORTGAGE TRUST TMTS 2005 12AL M1                     | CUSIP: 881561WE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     458630 | PA      | $340128.41     | 0.01%             | 2036-07-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2005-3 2005-3                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 3 B1               | CUSIP: 576433YZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     703701 | PA      | $513201.70     | 0.01%             | 2035-04-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 E 144A            | CUSIP: 22545YAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $552641.25     | 0.02%             | 2049-01-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| SUMMER STREET LTD 2005-1A                                                    | SUMMER STREET LTD SMSTR 2005 1A A1 144A                     | CUSIP: 86565MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   45954305 | PA      | $10243811.89   | 0.29%             | 2045-12-06      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-51516.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                         | THAMES SSNM 144A UNFUNDED COMM                              | CUSIP: 955RVLII8<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     982758 | PA      | $1261298.60    | 0.04%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                     | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5            | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441000 | PA      | $435031.68     | 0.01%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1.66          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X B1C REGS                         | CUSIP: ACI00RTY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1792096 | PA      | $2388802.65    | 0.07%             | 2045-06-13      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 06/20/24-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10070.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A          | CUSIP: 78449VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6712095 | PA      | $7727721.74    | 0.22%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC1                                      | STRUCTURED ASSET SECURITIES CO SASC 2007 BC1 M1             | CUSIP: 86362PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17104598 | PA      | $14161312.69   | 0.40%             | 2037-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6718319 | PA      | $-6815678.62   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FUNDING IX CLO LTD 2018-9A                                             | CEDAR FUNDING LTD CEDF 2018 9A SUB 144A                     | CUSIP: 15033FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12000000 | PA      | $4815941.76    | 0.14%             | 2037-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                                 | AMS OSRAM AG SR UNSECURED 144A 03/29 12.25                  | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |   14830000 | PA      | $15836530.34   | 0.45%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                           | VERUS SECURITIZATION TRUST VERUS 2021 R1 XS 144A            | CUSIP: 92538BAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  119991225 | PA      | $10468610.39   | 0.29%             | 2063-10-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $8342408.26    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1288600 | PA      | $-1291400.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3           | CUSIP: 02147CAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     664323 | PA      | $709234.72     | 0.02%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9111323 | PA      | $-9235378.82   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                                 | AMS OSRAM AG SR UNSECURED REGS 03/29 10.5                   | CUSIP: ACI2L69P0<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |   16200000 | PA      | $20017738.46   | 0.56%             | 2029-03-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                       | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M6            | CUSIP: 04541GRQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221310 | PA      | $218491.25     | 0.01%             | 2035-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/30 VAR              | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     246331 | PA      | $119036.99     | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $394780.00     | 0.01%             | 2032-03-13      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND C 144A         | CUSIP: 61691XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $543375.00     | 0.02%             | 2036-05-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 12/29 1.604           | CUSIP: ACI2J6N85<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $392188.07     | 0.01%             | 2029-12-23      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250807                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $82846.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1549599 | PA      | $-2130175.22   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                      | GATEWY CSINS + ENTRTINMNT LTD 2024 TERM LOAN B              | CUSIP: BA000DCX3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   40194900 | PA      | $40211781.64   | 1.13%             | 2030-12-18      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                  | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                     | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  155800000 | PA      | $3795442.99    | 0.11%             | 2028-05-17      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED REGS 01/28 3.375                | CUSIP: ACI1FL2Y4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $98920.76      | 0.00%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                            | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375      | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     440000 | PA      | $55471.86      | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XV DAC 15A                                                       | HARVEST CLO HARVT 15A SUB 144A                              | CUSIP: ACI13DPQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2000000 | PA      | $643288.04     | 0.02%             | 2029-05-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1007785 | PA      | $-1016366.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M5            | CUSIP: 542514LM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15031254 | PA      | $13534149.01   | 0.38%             | 2035-06-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 04/46 7.75            | CUSIP: ACI2ML745<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     284000 | PA      | $266312.35     | 0.01%             | 2046-04-30      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1421.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                       | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A       | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60745175 | PA      | $3675089.15    | 0.10%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                          | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A9              | CUSIP: 761136AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1792659 | PA      | $519063.82     | 0.01%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC1                                                        | GSAMP TRUST GSAMP 2005 WMC1 M2                              | CUSIP: 362341PV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4884701 | PA      | $4124871.80    | 0.12%             | 2035-09-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                         | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR               | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     570000 | PA      | $587869.50     | 0.02%             | 2031-05-27      | Floating      | 21.82%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2386622 | PA      | $-2400126.74   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL X 144A         | CUSIP: 95003WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  355000000 | PA      | $1246316.25    | 0.04%             | 2039-12-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/30 7.25         | CUSIP: ACI2L7QQ7<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      16524 | PA      | $2029.81       | 0.00%             | 2030-09-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                        | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                  | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3135359 | PA      | $3135359.31    | 0.09%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5800104 | PA      | $-5811201.51   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                         | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   41888000 | PA      | $38091900.00   | 1.07%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                 | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A           | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12700000 | PA      | $10979053.48   | 0.31%             | 2038-11-15      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-5                                                     | FANNIE MAE FNR 2021 5 JI                                    | CUSIP: 3136BDZW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8661015 | PA      | $369619.22     | 0.01%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTILITIES LIMITED 2021 GBP REVOLVER            | CUSIP: BA0008XV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | LON              | CORP              | GB        |    9799426 | PA      | $9852988.44    | 0.28%             | 2025-11-28      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6418067 | PA      | $-6444188.27   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD MXN BOUGHT USD 20250917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-11.33        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT 2021-1R MORTGAGE LOAN TRUST                                             | COLT FUNDING LLC COLT 2021 1R M1 144A                       | CUSIP: 19688BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1156000 | PA      | $949076.58     | 0.03%             | 2065-05-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 07/35 VAR               | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     904800 | PA      | $706193.31     | 0.02%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M5             | CUSIP: 17307GQ27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     674921 | PA      | $456889.49     | 0.01%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                                | MRCD MORTGAGE TRUST MRCD 2019 PARK G 144A                   | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $5968600.00    | 0.17%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                          | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR                | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3600000 | PA      | $3651480.00    | 0.10%             | 2027-04-05      | Floating      | 13.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-8334100.64   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260630                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $133.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                         | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     600000 | PA      | $604380.00     | 0.02%             | 2027-06-06      | Floating      | 29.81%                | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-11                                        | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 5A1             | CUSIP: 007036UQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28757 | PA      | $17099.54      | 0.00%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                       | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 B3                | CUSIP: 61746RHX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549617 | PA      | $518782.90     | 0.01%             | 2034-07-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| DOGWOOD LLC                                                                  | MARKET GARDEN EQTYQL9A8                                     | CUSIP: 902FLS002<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   45222810 | NS      | $44514936.95   | 1.25%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-294955.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2904329 | PA      | $-2929990.48   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5234358 | PA      | $-5288492.02   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 1999-B                                            | KEYCORP STUDENT LOAN TRUST 199 KSLT 1999 B                  | CUSIP: 934GPPII6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $6299000.00    | 0.18%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                            | FREDDIE MAC   SCRT SCRT 2020 2 BXS 144A                     | CUSIP: 35563PRM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20334568 | PA      | $9672119.20    | 0.27%             | 2059-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2623036 | PA      | $-3092672.66   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMCC-2019-BKWD                                                              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 BKWD A 144A       | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     648100 | PA      | $626171.87     | 0.02%             | 2029-09-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                               | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A        | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     671043 | PA      | $647627.03     | 0.02%             | 2034-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                          | CORONADO CDO LTD CORON 1A B2 144A                           | CUSIP: 21976RAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     238714 | PA      | $74125.49      | 0.00%             | 2038-09-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 F 144A        | CUSIP: 46642CAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1490332 | PA      | $116665.28     | 0.00%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD 2019-7A                                                             | RR LTD RRAM 2019 7A SUB 144A                                | CUSIP: 74980CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $1768215.20    | 0.05%             | 2120-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4817159 | PA      | $-4829326.56   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATEGIC GAMING MANAGEMENT LLC                                              | STRATEGIC GAMING COMMITMENT PIK TERM LOAN                   | CUSIP: BA000LSD2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   11300000 | PA      | $11304227.90   | 0.32%             | 2030-06-17      | Fixed         | 12.59%                | No            |                  3 | On Loan: No      |
| GSAMP TRUST 2005-SD1                                                         | GSAMP TRUST GSAMP 2005 SD1 M3 144A                          | CUSIP: 36242DWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9472148 | PA      | $7365422.80    | 0.21%             | 2034-12-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4859563 | PA      | $-4862511.52   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2006-1X                                                  | LUDGATE FUNDING PLC LGATE 2006 1X MC REGS                   | CUSIP: ACI20ZV82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |  375000000 | PA      | $2578.87       | 0.00%             | 2060-12-01      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| PERATON CORP                                                                 | PERATON CORP TERM LOAN B                                    | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |   28353799 | PA      | $25110833.27   | 0.71%             | 2028-02-01      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.25         | CUSIP: ACI2L7PT2<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      11609 | PA      | $1451.13       | 0.00%             | 2027-09-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE STUDENT LOAN TRUST                                       | NATL COLL STUDENT LOAN ASSET BACKED 144A 06/45 VAR          | CUSIP: 63543NAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $40233.76      | 0.00%             | 2045-06-01      | Fixed         | 8.93%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                             | NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A2 144A               | CUSIP: 62955RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4699269 | PA      | $4648332.67    | 0.13%             | 2061-08-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                                | STEINHOFF CVR                                               | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |  233504654 | NS      | $275.05        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                                | BSST MORTGAGE TRUST BSST 2021 1818 A 144A                   | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6700000 | PA      | $6007026.37    | 0.17%             | 2036-03-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                       | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M2                | CUSIP: 61746RHT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14718 | PA      | $14224.92      | 0.00%             | 2034-07-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                                 | FANNIE MAE   CAS CAS 2021 R01 1B2 144A                      | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23685000 | PA      | $24747925.96   | 0.70%             | 2041-10-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1209000 | PA      | $811198.74     | 0.02%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-13                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 1M1              | CUSIP: 126698AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9916000 | PA      | $8289560.81    | 0.23%             | 2047-10-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-5                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M2              | CUSIP: 542514HE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182375 | PA      | $183968.63     | 0.01%             | 2034-09-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED 144A 02/27 8.125                | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    7300000 | PA      | $6575511.50    | 0.19%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTG SEC-1999-B                                            | BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A6                | CUSIP: 09774XBG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4066206 | PA      | $314515.33     | 0.01%             | 2029-12-15      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1481.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIALTO PARTNERS (GALAXY US OPCO INC)                                         | GALAXY US OPCO INC. TERM LOAN                               | CUSIP: 36321DAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   20441622 | PA      | $19100140.40   | 0.54%             | 2030-07-31      | Fixed         | 10.03%                | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                                 | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5         | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |    7653110 | PA      | $7595405.55    | 0.21%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| ARIMA MORTGAGES PLC 2A                                                       | ARIMA MORTGAGES PLC ARIMA 2A Z 144A                         | CUSIP: ACI2VMGV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   43339000 | PA      | $50865373.54   | 1.43%             | 2056-07-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-16813.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-BOP                                      | MORGAN STANLEY CAPITAL I TRUST MSC 2018 BOP A 144A          | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6330701 | PA      | $5230228.53    | 0.15%             | 2033-08-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                          | SVB FINL TR COMMON STOCK UNIT                               | CUSIP: 000000000<br>LEI: 549300D2KJ20JMXE7542 | Long             | EP               | CORP              | US        |      47859 | NS      | $25365270.00   | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A            | CUSIP: 22545YAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5700000 | PA      | $4467546.00    | 0.13%             | 2049-01-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                               | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                      | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150380 | PA      | $148200.11     | 0.00%             | 2035-06-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 AIOS 144A     | CUSIP: 617941AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   97978813 | PA      | $581176.03     | 0.02%             | 2070-01-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7830885 | PA      | $-7898004.77   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22185152 | PA      | $-22349537.82  | -0.63%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                                | CHEPLAPHARM ARZNEIMITTEL SR SECURED 144A 01/28 5.5          | CUSIP: 16412EAA5<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |   19700000 | PA      | $19056026.70   | 0.54%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-B                                               | FREMONT HOME LOAN TRUST FHLT 2004 B M7                      | CUSIP: 35729PDW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23671 | PA      | $20183.61      | 0.00%             | 2034-05-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM1 B3 144A        | CUSIP: 64832DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10971000 | PA      | $10273222.46   | 0.29%             | 2065-01-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                             | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1750000 | PA      | $1826912.50    | 0.05%             | 2026-06-08      | Floating      | 21.31%                | No            |                  2 | On Loan: No      |
| WHLN 2025-CV3-PF-FF1                                                         | WHLN 2025 CV3 PF FF1 WHLNRH9K6                              | CUSIP: 959AACII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   16665143 | PA      | $16697591.11   | 0.47%             | 2027-02-01      | Fixed         | 9.25%                 | Yes           |                  3 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                          | DOLP TRUST DOLP 2021 NYC F 144A                             | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7950000 | PA      | $5838638.21    | 0.16%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260528                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-472.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $36711.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13127677 | PA      | $-13229233.97  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                      | COREWEAVE COMPUTE ACQCO II LLC DDTL                         | CUSIP: 948GKAII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   11237500 | PA      | $11904862.54   | 0.34%             | 2028-07-31      | Floating      | 13.92%                | No            |                  3 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.11525 05/31/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $2199351.97    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PLN SOLD USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $28859.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                      | ACHV ABS TRUST ACHV 2024 3AL A 144A                         | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     332489 | PA      | $333824.44     | 0.01%             | 2031-12-26      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                   | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5260000 | PA      | $4429587.49    | 0.12%             | 2038-12-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                        | PROMOTORA DE INFORMACIONES SA 2025 EUR 1ST LIEN TERM LOAN   | CUSIP: BA000KZZ7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |  100599562 | PA      | $116723799.07  | 3.29%             | 2029-12-31      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                              | CERBA HEALTHCARE SAS 2021 EUR TERM LOAN B                   | CUSIP: 937NEWII5<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    6803208 | PA      | $5994114.36    | 0.17%             | 2028-06-30      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-R1                                         | BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A         | CUSIP: 05953BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1228951 | PA      | $1006962.73    | 0.03%             | 2047-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                 | UBS GROUP AG REG COMMON STOCK USD.1                         | CUSIP: ACI09N1W4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |       5143 | NS      | $174036.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 02/43 5.5             | CUSIP: 983YNTII1<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1800000 | PA      | $1643451.18    | 0.05%             | 2043-02-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                                | ARGENT SECURITIES INC. ARSI 2005 W5 M1                      | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332867 | PA      | $341996.08     | 0.01%             | 2036-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                      | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |  313730000 | PA      | $19993928.42   | 0.56%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                               | SMRT SMRT 2022 MINI F 144A                                  | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5442000 | PA      | $5304756.57    | 0.15%             | 2039-01-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3                                      | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 M1            | CUSIP: 83611MPK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10074564 | PA      | $9001472.62    | 0.25%             | 2036-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                                  | MCDERMOTT INTERNATIONAL LTD COMMON STOCK USD1.0             | CUSIP: G5924V148<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |        461 | NS      | $5071.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A2           | CUSIP: 23244GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165004 | PA      | $100112.13     | 0.00%             | 2046-12-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MIZUHO SECURITIES                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -123128155 | PA      | $-123498223.96 | -3.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -90728775 | PA      | $-91659173.76  | -2.58%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A          | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22329200 | PA      | $22113647.30   | 0.62%             | 2032-07-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5122992 | PA      | $-5165256.68   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -53 | NC      | $85788.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GMAC COMMERCIAL MORTGAGE ASSET CORPORATION 2003 BRAG                         | GMAC COMMERCIAL MORTGAGE ASSET GMACN 2003 BRAG CERT 144A    | CUSIP: 36185PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     718129 | PA      | $686317.77     | 0.02%             | 2038-08-10      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-207961.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC5 M6              | CUSIP: 126670NK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3644883 | PA      | $3232528.53    | 0.09%             | 2036-01-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                               | LIBERTY STREET TRUST LBTY 2016 225L A 144A                  | CUSIP: 902055AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3342589.95    | 0.09%             | 2036-02-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250709                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $23901.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERCURY CDO LTD 2004-1A                                                      | MERCURY CDO LTD MRCY 2004 1A A2A 144A                       | CUSIP: 58936RAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5363355 | PA      | $4785833.98    | 0.13%             | 2040-12-08      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3827217 | PA      | $-3831101.39   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| ALBA PLC 2006-2                                                              | ALBA PLC ALBA 2006 2 MERC REGS                              | CUSIP: B1HMYYII1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |        100 | PA      | $0.00          | 0.00%             | 2038-12-15      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                  | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805C 144A       | CUSIP: 17328CBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $459281.76     | 0.01%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12559237 | PA      | $-12707652.30  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250806                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-155195.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                            | US RENAL CARE INC SR SECURED 144A 06/28 10.625              | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   21340900 | PA      | $18273145.63   | 0.51%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                   | PALISADES CDO LTD PALIS 2004 1A B2 144A                     | CUSIP: 696399AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1952237 | PA      | $494222.42     | 0.01%             | 2039-07-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCH1                                          | PARK PLACE SECURITIES INC PPSI 2005 WCH1 M6                 | CUSIP: 70069FFN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1730000 | PA      | $1432405.75    | 0.04%             | 2035-01-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                               | DATABRICKS INC LAST OUT TERM LOAN                           | CUSIP: BA000D206<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    7450873 | PA      | $7525382.09    | 0.21%             | 2031-01-03      | Floating      | 8.82%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7380039 | PA      | $-7427728.73   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| ADLER FINANCING SA RL                                                        | ADLER FINANCING SARL SR SECURED 12/28 8.25                  | CUSIP: ACI2TFLX1<br>LEI: 213800BAQB59IVKP7S93 | Long             | DBT              | CORP              | LU        |   10362530 | PA      | $12816876.97   | 0.36%             | 2028-12-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                         | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX E 144A        | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24820000 | PA      | $21853771.73   | 0.62%             | 2038-09-15      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2000-A                                            | KSLT 2000 A CERT SUB KSLT 2000 A CERT SUB                   | CUSIP: 934MAWII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $4598000.00    | 0.13%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| XEROX CORPORATION                                                            | XEROX ISSUER CORPORATION SECURED 144A 04/31 13.5            | CUSIP: 98423RAA1<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2363155.70    | 0.07%             | 2031-04-15      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -5588476 | PA      | $-7682240.36   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION                                                      | CLUE OPCO LLC SR SECURED 144A 10/31 9.5                     | CUSIP: 36267QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4520000 | PA      | $4796081.60    | 0.14%             | 2031-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| SOLSTICE ABS CBO LTD 2003-3A                                                 | SOLSTICE ABS CBO LTD SOLST 2003 3A B 144A                   | CUSIP: 83436YAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8661987 | PA      | $2185505.84    | 0.06%             | 2039-03-15      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $64539.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250701                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $258573.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TD 144A      | CUSIP: 05492TBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $4340011.80    | 0.12%             | 2053-02-15      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2005-WF1                                          | ASSET BACKED FUNDING CERTIFICA ABFC 2005 WF1 M5             | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65169 | PA      | $65088.57      | 0.00%             | 2034-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-186814.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                 | ECOPETROL SA SR UNSECURED 02/32 7.75                        | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2900000 | PA      | $2851793.50    | 0.08%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                       | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M6              | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131803 | PA      | $132465.11     | 0.00%             | 2035-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                           | SPRUCE BIDCO II INC TERM LOAN                               | CUSIP: BA000FPP1<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    5151266 | PA      | $5056757.84    | 0.14%             | 2032-01-30      | Fixed         | 9.13%                 | No            |                  3 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                               | FREMONT HOME LOAN TRUST FHLT 2005 E M1                      | CUSIP: 35729PND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $1080460.42    | 0.03%             | 2036-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -30088970 | PA      | $-30088970.00  | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA TERM B12                                   | CUSIP: F6628DAK0<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    4289031 | PA      | $4462970.04    | 0.13%             | 2026-02-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 04/33 7.125           | CUSIP: ACI2ML877<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $373859.75     | 0.01%             | 2033-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                          | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M5                | CUSIP: 126673VT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231073 | PA      | $189935.96     | 0.01%             | 2035-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14289882 | PA      | $-14442863.25  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD KWD BOUGHT USD 20300509                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $105046.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4612675 | PA      | $-4639684.78   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                         | SOHO TRUST 2021 SOHO SOHO 2021 SOHO B 144A                  | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1530000 | PA      | $1158456.33    | 0.03%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4831348 | PA      | $-4890222.94   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1B            | CUSIP: 41161PLE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1336686 | PA      | $1215592.44    | 0.03%             | 2035-03-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -35087371 | PA      | $-36427672.52  | -1.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CHF BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-39586.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                          | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     800000 | PA      | $826280.00     | 0.02%             | 2032-06-07      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTION BV                                                 | YINSON BORONIA PRODUCTIO SR SECURED 144A 07/42 8.947        | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |    5550608 | PA      | $5914374.53    | 0.17%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -11259660 | PA      | $-13376476.91  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2003-NC8                                        | MORGAN STANLEY CAPITAL INC MSAC 2003 NC8 B3                 | CUSIP: 61746RDS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1543439 | PA      | $1462524.24    | 0.04%             | 2033-09-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                       | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6              | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $396320.64     | 0.01%             | 2035-05-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF1                                           | STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M6             | CUSIP: 86359BW49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     414276 | PA      | $421580.03     | 0.01%             | 2035-02-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7039500 | PA      | $-7226310.73   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8039086 | PA      | $-8064690.49   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                          | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M6                 | CUSIP: 61744CNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     261419 | PA      | $230893.58     | 0.01%             | 2035-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M5              | CUSIP: 64352VKX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290998 | PA      | $286748.26     | 0.01%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B14                                            | BENCHMARK MORTGAGE TRUST BMARK 2019 B14 225C 144A           | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $67366.26      | 0.00%             | 2062-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -313809 | PA      | $-316468.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/2.50 12/20/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-72688.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                              | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      65000 | PA      | $13243.75      | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-OP1                                                 | ACE SECURITIES CORP. ACE 2004 OP1 M5                        | CUSIP: 004421FA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101595 | PA      | $85854.55      | 0.00%             | 2034-04-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                         | SOHO TRUST 2021 SOHO SOHO 2021 SOHO A 144A                  | CUSIP: 83410JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5696000 | PA      | $4515810.44    | 0.13%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2686762 | PA      | $-2710596.83   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                              | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A      | CUSIP: 52607QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $397590.44     | 0.01%             | 2028-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD CNY BOUGHT USD 20250703                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $34.35         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1082380 | PA      | $-1090543.03   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC              | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 06/32 8.625       | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4852838.40    | 0.14%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2006-1                                     | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 1 M1               | CUSIP: 17309NAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     459965 | PA      | $457269.78     | 0.01%             | 2036-07-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS 2 LLC                                                        | CLOVER HOLDINGS 2 LLC REVOLVER                              | CUSIP: 18914DAD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3583366 | PA      | $3575679.68    | 0.10%             | 2029-12-10      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                            | FREDDIE MAC   SCRT SCRT 2022 1 BXS 144A                     | CUSIP: 35563PD71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19206960 | PA      | $7659534.00    | 0.22%             | 2061-11-25      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -252854 | PA      | $-254750.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                         | EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18891453 | PA      | $18923878.76   | 0.53%             | 2038-07-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| MKP CBO IV LTD                                                               | MKP CBO LTD MKP 4A A1 144A                                  | CUSIP: 553121AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      79399 | PA      | $80477.80      | 0.00%             | 2040-07-12      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3                                     | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M2             | CUSIP: 76112B4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15057231 | PA      | $12151591.74   | 0.34%             | 2036-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                  | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   37876000 | PA      | $35522214.92   | 1.00%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7237.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 07/36 4.375           | CUSIP: B839Q3II7<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $902019.51     | 0.03%             | 2036-07-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-75256.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                 | ECOPETROL SA SR UNSECURED 01/33 8.875                       | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2000000 | PA      | $2064610.34    | 0.06%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2013-R9                                | MORGAN STANLEY REREMIC TRUST MSRR 2013 R9 3B2 144A          | CUSIP: 61763DAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9177799 | PA      | $8283362.49    | 0.23%             | 2046-06-26      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 B1             | CUSIP: 92922FM39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398716 | PA      | $301565.39     | 0.01%             | 2035-05-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $296865.00     | 0.01%             | 2032-03-13      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11378795 | PA      | $-11391052.89  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5679286 | PA      | $-5751910.18   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4059169 | PA      | $-4075456.32   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                          | TORREY PINES RE LTD TORREY PINES RE LTD                     | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     600000 | PA      | $613650.00     | 0.02%             | 2026-06-05      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                                 | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |   47998000 | PA      | $49063369.85   | 1.38%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| C-BASS LTD 18A                                                               | C BASS LTD CBCL 18A A1 144A                                 | CUSIP: 1248MMAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   54781542 | PA      | $5478.15       | 0.00%             | 2047-03-13      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                              | IHEARTMEDIA INC   CLASS B COMMON STOCK                      | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     132822 | NS      | $205714.71     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                       | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A6            | CUSIP: 466286AU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12366343 | PA      | $10081007.07   | 0.28%             | 2036-12-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-149752.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR4                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR4 2A1            | CUSIP: 39538WBU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15975716 | PA      | $10510080.25   | 0.30%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M6              | CUSIP: 126673YP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135900 | PA      | $132976.18     | 0.00%             | 2035-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA 2023 USD TERM LOAN B14                     | CUSIP: F6628DAN4<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |   24623167 | PA      | $22372856.18   | 0.63%             | 2028-08-15      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| WHLN 2024-CV3-FF1                                                            | WHLN 2024 CV3 FF1 7U008KK                                   | CUSIP: 954GRSII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18430776 | PA      | $18447060.42   | 0.52%             | 2026-05-01      | Fixed         | 9.75%                 | Yes           |                  3 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP E 144A          | CUSIP: 12651QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9935076.00    | 0.28%             | 2032-07-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3424227.37   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12106975 | PA      | $-12120558.83  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                        | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                  | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1721210 | PA      | $1721210.44    | 0.05%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 B1             | CUSIP: 92922FS74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5589048 | PA      | $4540690.87    | 0.13%             | 2045-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                            | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN             | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |   76813789 | PA      | $72908960.01   | 2.05%             | 2028-06-20      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M5              | CUSIP: 126673YN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43877 | PA      | $43651.29      | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 02/30 3.5             | CUSIP: ACI0KSYW4<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $364392.31     | 0.01%             | 2030-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10381065 | PA      | $-10414431.53  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12520989 | PA      | $-12687525.41  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2020-1A                                               | ROCKFORD TOWER CLO LTD ROCKT 2020 1A SUB 144A               | CUSIP: 77341HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8300000 | PA      | $5592451.11    | 0.16%             | 2036-01-20      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                         | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP E 144A       | CUSIP: 50085PAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22339000 | PA      | $13905319.35   | 0.39%             | 2044-11-05      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2346000 | PA      | $-2375122.99   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ARIMA MORTGAGES PLC 2A                                                       | ARIMA MORTGAGES PLC ARIMA 2A YC 144A                        | CUSIP: ACI2VMBV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    9500000 | PA      | $11379280.47   | 0.32%             | 2056-07-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -697284 | PA      | $-705702.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| THE COMPLEAT FOOD GROUP (HOLDINGS) LIMITED                                   | ADDO AND WINTERBOTHAM GBP TERM LOAN                         | CUSIP: 937ICLII2<br>LEI: 259400QEGOEU126C6775 | Long             | LON              | CORP              | GB        |    6000000 | PA      | $8256487.83    | 0.23%             | 2028-01-31      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                        | ASTON MARTIN CAPITAL HOL ASTON MARTIN CAPITAL HOL           | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |    7001000 | PA      | $6636937.50    | 0.19%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CLAVEAU RE LTD                                                               | CLAVEAU RE LTD UNSECURED 144A 07/28 VAR                     | CUSIP: 182896AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1088319 | PA      | $27262.40      | 0.00%             | 2028-07-08      | Floating      | 21.54%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-167954.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2004-FM1                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 FM1 B2             | CUSIP: 59020UFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271836 | PA      | $236396.23     | 0.01%             | 2035-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                        | BX TRUST BX 2022 AHP E 144A                                 | CUSIP: 05610FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10250000 | PA      | $10021409.63   | 0.28%             | 2039-01-17      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A             | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8447674 | PA      | $5104540.67    | 0.14%             | 2039-09-07      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4737953 | PA      | $-4791366.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                              | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                    | CUSIP: 73110JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3500000 | PA      | $3656450.00    | 0.10%             | 2027-01-07      | Floating      | 17.55%                | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                   | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M5               | CUSIP: 00764MFF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $235173.12     | 0.01%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV INC 2004-WMC3                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC3 M2            | CUSIP: 59020UCP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52827 | PA      | $51561.98      | 0.00%             | 2035-01-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                    | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1            | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |    8712278 | PA      | $9903503.65    | 0.28%             | 2026-04-17      | Floating      | 5.16%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOFTBANK GROUP CORP SNR JP SP GST                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-24897.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3                            | FREDDIE MAC   SCRT SCRT 2019 3 BXS                          | CUSIP: 35563PMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3186006 | PA      | $1400284.55    | 0.04%             | 2058-10-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI E 144A          | CUSIP: 12652FAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $823611.60     | 0.02%             | 2032-11-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                          | TORREY PINES RE LTD TORREY PINES RE LTD                     | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     500000 | PA      | $521875.00     | 0.01%             | 2027-06-07      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                        | ASTON MARTIN CAPITAL HOL ASTON MARTIN CAPITAL HOL           | CUSIP: ACI2N9Q99<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |    2600000 | PA      | $3336195.81    | 0.09%             | 2029-03-31      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797RB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1269000 | PA      | $1254497.58    | 0.04%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3875142 | PA      | $-3875649.71   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD HKD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $41450.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2.42          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3949451 | PA      | $-3953843.84   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4388472 | PA      | $-4393549.41   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                               | COMEXPOSIUM 2019 EUR TERM LOAN B                            | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |   60260867 | PA      | $84471349.50   | 2.38%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1292.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                             | AEGIS ASSET BACKED SECURITIES AABST 2004 3 B2               | CUSIP: 00764MCK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     638439 | PA      | $610357.37     | 0.02%             | 2034-09-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 F 144A       | CUSIP: 46653DAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $61553.04      | 0.00%             | 2036-03-15      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A           | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6010000 | PA      | $5423890.98    | 0.15%             | 2038-07-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -23933988 | PA      | $-23961307.05  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $3813.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                    | CAESARS ENTERTAINMENT INC COMMON STOCK                      | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |          1 | NS      | $28.39         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20250709                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $19047.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BALLYROCK CLO LTD 2018-1A                                                    | BALLYROCK LTD BALLY 2018 1A SUB 144A                        | CUSIP: 05875EAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29803000 | PA      | $360616.30     | 0.01%             | 2031-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                   | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A           | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $442228.86     | 0.01%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                            | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                  | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |     650000 | PA      | $650130.00     | 0.02%             | 2032-04-08      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5140                                                      | FREDDIE MAC FHR 5140 JI                                     | CUSIP: 3137H24K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3311565 | PA      | $743322.48     | 0.02%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                            | VERUS SECURITIZATION TRUST VERUS 2024 5 B2 144A             | CUSIP: 92540HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $992832.00     | 0.03%             | 2069-06-25      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -68 | NC      | $57368.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -169489 | PA      | $-170051.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5878228 | PA      | $-5884446.23   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -501200 | PA      | $-502672.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -864407 | PA      | $-872404.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2020-8  | CONSUMER LOAN UNDERLYING BOND CLUBC 2020 8 PT 144A          | CUSIP: 21056UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9102 | PA      | $6331.22       | 0.00%             | 2045-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                        | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN                | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |   15700000 | PA      | $15741879.75   | 0.44%             | 2029-12-18      | Floating      | 7.80%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-33853.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N4                                       | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N4 R 144A         | CUSIP: 14687HAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12000 | PA      | $475177.21     | 0.01%             | 2028-09-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2303298 | PA      | $-2304708.53   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -96642 | PA      | $-96959.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-53.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                                   | EXELA INTERMED/EXELA FIN SR SECURED 144A 04/26 11.5         | CUSIP: 30162RAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       8953 | PA      | $447.65        | 0.00%             | 2026-04-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A                                | LAKESIDE CDO LTD LAKES 2004 1A A2A 144A                     | CUSIP: 51210VAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14637134 | PA      | $3598202.85    | 0.10%             | 2040-01-03      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $113.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25321526 | PA      | $-25399825.46  | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| DELTA FUNDING HOME EQ LN TR 1999-3                                           | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 M1              | CUSIP: 24763LFY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1157768 | PA      | $763566.71     | 0.02%             | 2030-01-15      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| TITULIZACION DE ACTIVOS 27                                                   | TITULIZACION DE ACTIVOS TDA 27 A3 REGS                      | CUSIP: E9053PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   12112034 | PA      | $12853333.97   | 0.36%             | 2050-12-28      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| HARP FINCO LIMITED                                                           | HARP FINCO LIMITED GBP TERM LOAN                            | CUSIP: BA0008GH5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   10134514 | PA      | $13650825.91   | 0.38%             | 2032-03-27      | Floating      | 9.72%                 | No            |                  3 | On Loan: No      |
| START IRELAND 2019-1                                                         | START LTD. STARR 2019 1 A 144A                              | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    1687007 | PA      | $1670780.02    | 0.05%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                             | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1750000 | PA      | $1738975.00    | 0.05%             | 2026-06-08      | Floating      | 27.31%                | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-FF1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FF1 B3 144A        | CUSIP: 59023WAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5016059 | PA      | $5786606.37    | 0.16%             | 2036-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CPS AUTO SECURITIZATION TRUST 2025-1                                         | CPS AUTO TRUST CPS 2025 1 A 144A                            | CUSIP: 22411GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16000000 | PA      | $16261167.20   | 0.46%             | 2032-06-16      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250905                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $568.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5597566 | PA      | $-5620557.77   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-789.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2902500 | PA      | $-2895606.56   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                  | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                    | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   38852723 | PA      | $378308965.86  | 10.66%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14269396 | PA      | $-14316762.47  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                              | OI S.A. SR SECURED 144A 12/28 8.5                           | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |  135498484 | PA      | $9146147.67    | 0.26%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                 | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A           | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10750000 | PA      | $9765289.25    | 0.28%             | 2038-11-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $393.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                          | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     300000 | PA      | $301380.00     | 0.01%             | 2033-04-10      | Floating      | 14.04%                | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.5          | CUSIP: ACI2L7WC1<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      23275 | PA      | $2909.38       | 0.00%             | 2027-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005 2                                              | FBR SECURITIZATION TRUST FBRSI 2005 2 M4                    | CUSIP: 30246QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1604016.00    | 0.05%             | 2035-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                                | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |   10025117 | PA      | $0.10          | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| AMSURG LLC                                                                   | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN      | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   66103899 | PA      | $68087015.86   | 1.92%             | 2028-09-15      | Fixed         | 12.24%                | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2009-RR4                                                      | BCAP LLC TRUST BCAP 2009 RR4 1A2 144A                       | CUSIP: 05531RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1961320 | PA      | $450626.54     | 0.01%             | 2037-06-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                         | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A        | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5300000 | PA      | $3868833.05    | 0.11%             | 2037-07-15      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                      | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M4               | CUSIP: 00764MFU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $108118.22     | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -30754994 | PA      | $-30837349.39  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                              | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |    1053970 | PA      | $959112.54     | 0.03%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                             | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      89637 | NS      | $56022.96      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-5                                              | BEAR STEARNS ALT A TRUST BALTA 2004 5 B1                    | CUSIP: 07386HJK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87726 | PA      | $32526.01      | 0.00%             | 2034-06-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A2A           | CUSIP: 126680AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2770242 | PA      | $1841287.90    | 0.05%             | 2047-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                               | FREMONT HOME LOAN TRUST FHLT 2005 B M6                      | CUSIP: 35729PKA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1034408.40    | 0.03%             | 2035-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                           | NEWFOLD DIGITAL HLDGS GR SR UNSECURED 144A 02/29 6          | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   16530000 | PA      | $9670050.00    | 0.27%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250701                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6241.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2128477 | PA      | $-2509762.62   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M5             | CUSIP: 03072SV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $964005.24     | 0.03%             | 2036-01-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                           | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5            | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |   12400000 | PA      | $11675406.00   | 0.33%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                                | TWITTER INC 2025 FIXED TERM LOAN                            | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4400000 | PA      | $4284500.00    | 0.12%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2165632 | PA      | $-2184025.43   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                  | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                       | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    2481781 | PA      | $2692650.01    | 0.08%             | 2046-06-21      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                        | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   45092021 | NS      | $42677298.19   | 1.20%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                                 | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8            | CUSIP: ACI0Z2W07<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     783253 | PA      | $373666.69     | 0.01%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 07/25 0.00000                                 | CUSIP: 912797LW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9351000 | PA      | $9341212.60    | 0.26%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $65.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2866.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                    | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL A2 RESTRUCTURE    | CUSIP: 948FWKII5<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  100242984 | PA      | $42694061.08   | 1.20%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 B 144A        | CUSIP: 36261WAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20530968 | PA      | $14022643.10   | 0.39%             | 2060-12-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-2R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 2R 28A2 144A         | CUSIP: 12648ELY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1106667 | PA      | $854902.98     | 0.02%             | 2037-06-27      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3585779 | PA      | $-3635868.71   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M2             | CUSIP: 59020UUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156694 | PA      | $156784.50     | 0.00%             | 2036-02-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -849836 | PA      | $-850773.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                              | VERAISON RE LTD UNSECURED 144A 03/31 VAR                    | CUSIP: 92335TAB5<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    3100000 | PA      | $3244925.00    | 0.09%             | 2031-03-10      | Floating      | 16.95%                | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                          | BCP TRUST BCP 2021 330N A 144A                              | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $721781.60     | 0.02%             | 2038-06-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-C                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 C B2 144A          | CUSIP: 17323GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13555000 | PA      | $12886086.50   | 0.36%             | 2054-02-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250811                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2431.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                       | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M5              | CUSIP: 57643LJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44247 | PA      | $46219.18      | 0.00%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 NR 144A       | CUSIP: 46642CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1636890 | PA      | $53771.02      | 0.00%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $63.57         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                                | CHEPLAPHARM ARZNEIMITTEL SR SECURED REGS 05/30 7.5          | CUSIP: ACI2FPJG4<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |    2400000 | PA      | $2890591.94    | 0.08%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.00000 09/17/24-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $479567.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2006-1X                                                  | LUDGATE FUNDING PLC LGATE 2006 1X RES REGS                  | CUSIP: ACI20ZV58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |  375000000 | PA      | $528636.56     | 0.01%             | 2060-12-01      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| CONSECO FINANCE SEC CORP 2001-3                                              | CONSECO FINANCE SECURITIZATION CNF 2001 3 M1                | CUSIP: 20846QHQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1699769 | PA      | $1761861.14    | 0.05%             | 2033-05-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20250828                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-107075.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC)   | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8             | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10300000 | PA      | $8526868.39    | 0.24%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                             | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2729922 | PA      | $1078319.38    | 0.03%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-11R                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 11R 6A2 144A         | CUSIP: 12649FBU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2049682 | PA      | $496870.08     | 0.01%             | 2036-12-27      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                   | BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111E 144A            | CUSIP: 05609MCS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12569000 | PA      | $11025005.19   | 0.31%             | 2055-02-17      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                      | FREDDIE MAC FHR 5069 IL                                     | CUSIP: 3137F9C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3960745 | PA      | $695704.46     | 0.02%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                         | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A        | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16797 | PA      | $16417.18      | 0.00%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1911000 | PA      | $-1925040.54   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-48.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1              | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     800000 | PA      | $0.01          | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $230.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -13436834 | PA      | $-18478401.69  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                   | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                     | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27252907 | PA      | $37785482.13   | 1.06%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| PEOPLE'S CHOICE HOME LN SEC TR 2005-2                                        | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 2 M5              | CUSIP: 71085PCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $133043.74     | 0.00%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                  | URSA RE LTD UNSECURED 144A 12/28 VAR                        | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    4200000 | PA      | $4395720.00    | 0.12%             | 2028-12-07      | Floating      | 13.57%                | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-1A                                               | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A                | CUSIP: 57109J108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11251 | PA      | $36723.39      | 0.00%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X1 144A          | CUSIP: ACI2S8TW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     624000 | PA      | $847819.02     | 0.02%             | 2060-06-20      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                             | ALTICE FRANCE SA SR SECURED REGS 07/29 4                    | CUSIP: ACI1X3WT2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    2000000 | PA      | $1981533.86    | 0.06%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 B1           | CUSIP: 94982DAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873319 | PA      | $700325.61     | 0.02%             | 2035-08-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16954647 | PA      | $-17133914.13  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                               | WINSTON RE LTD UNSECURED 144A 02/28 VAR                     | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $304905.00     | 0.01%             | 2028-02-21      | Floating      | 10.79%                | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE7                                       | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE7 M2            | CUSIP: 04541GMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44424 | PA      | $44524.84      | 0.00%             | 2034-10-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1257228 | PA      | $-1271308.96   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                          | DOLP TRUST DOLP 2021 NYC G 144A                             | CUSIP: 23345LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $5406829.60    | 0.15%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                               | WINSTON RE LTD UNSECURED 144A 02/31 VAR                     | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    2800000 | PA      | $2944200.00    | 0.08%             | 2031-02-26      | Floating      | 16.05%                | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR              | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     920505 | PA      | $357155.94     | 0.01%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2005-WF1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF1 M2             | CUSIP: 17307GPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4114678 | PA      | $3607916.39    | 0.10%             | 2034-11-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1978864 | PA      | $-2007235.91   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                     | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M4            | CUSIP: 83611PBX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27635 | PA      | $27621.60      | 0.00%             | 2035-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                  | WAYFAIR LLC SR SECURED 144A 09/30 7.75                      | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     800000 | PA      | $806964.80     | 0.02%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                       | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M5            | CUSIP: 76110W7H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     472918 | PA      | $345364.66     | 0.01%             | 2035-12-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1436250 | PA      | $-1437735.78   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-32068.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-FIX1                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 FIX1 M1            | CUSIP: 22541S5V6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     978439 | PA      | $629224.73     | 0.02%             | 2035-05-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.40000 09/17/24-2Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1933618.89    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                  | URSA RE LTD UNSECURED 144A 02/28 VAR                        | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    1900000 | PA      | $1911210.00    | 0.05%             | 2028-02-22      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| YINSON PRODUCTION FINANCIAL SERVICES PTE LTD                                 | YINSON PRODUCTION FINANC SR SECURED 144A REGS 05/29 9.6     | CUSIP: ACI2NT341<br>LEI: 254900TYMSC94RS33U73 | Long             | DBT              | CORP              | SG        |    7300000 | PA      | $7589126.28    | 0.21%             | 2029-05-03      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                    | HILTON USA TRUST HILT 2016 SFP A 144A                       | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $850460.50     | 0.02%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5472000 | PA      | $-5511506.32   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                               | WINSTON RE LTD UNSECURED 144A 02/31 VAR                     | CUSIP: 975660AA9<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |     450000 | PA      | $476100.00     | 0.01%             | 2031-02-26      | Floating      | 14.54%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 08/25 0.00000                                 | CUSIP: 912797QK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4946000 | PA      | $4917001.66    | 0.14%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                  | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A Z 144A           | CUSIP: ACI2S8TP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5663000 | PA      | $6046939.58    | 0.17%             | 2050-06-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                           | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    6399000 | PA      | $3679425.00    | 0.10%             | 2029-04-09      | Floating      | 17.31%                | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A      | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $455458.95     | 0.01%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                                                      | PROFRAC HOLDINGS II LLC SR SECURED 144A 01/29 VAR           | CUSIP: 74319TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12473000 | PA      | $12784825.00   | 0.36%             | 2029-01-23      | Floating      | 11.54%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -572669 | PA      | $-578537.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT BRL SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $28789.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B2 144A       | CUSIP: 617941AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1948246.40    | 0.05%             | 2070-01-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-FR1                                                | BEAR STEARNS ASSET BACKED SECU BSABS 2004 FR1 M3            | CUSIP: 073879DG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64637 | PA      | $70509.45      | 0.00%             | 2034-07-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                          | CORONADO CDO LTD CORON 1A B1 144A                           | CUSIP: 21976RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1670998 | PA      | $488807.10     | 0.01%             | 2038-09-04      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                                     | TEAM HEALTH HOLDINGS, INC. 2022 TERM LOAN B                 | CUSIP: 87817JAG3<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |    2783111 | PA      | $2773537.41    | 0.08%             | 2027-03-02      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-D                                      | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 D M1              | CUSIP: 73316QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9413708 | PA      | $8151110.17    | 0.23%             | 2036-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                           | THAMES WATER UTIL FIN SR SECURED REGS 06/48 4.625           | CUSIP: ACI025FP0<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $912434.16     | 0.03%             | 2048-06-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -45658631 | PA      | $-45707371.46  | -1.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.90000 09/17/24-6Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4584250.46    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| MKP CBO IV LTD                                                               | MKP CBO LTD MKP 4A A2 144A                                  | CUSIP: 553121AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   44000000 | PA      | $12350800.00   | 0.35%             | 2040-07-12      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6750479 | PA      | $-6765007.23   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3419931 | PA      | $-3454540.70   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                                       | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A4            | CUSIP: 466287AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1467187 | PA      | $1217367.00    | 0.03%             | 2037-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     853879 | PA      | $713842.51     | 0.02%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                       | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 E 144A           | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9628260.00    | 0.27%             | 2038-05-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                        | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/27 0.878      | CUSIP: ACI1SYQ75<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |    5800000 | PA      | $6165982.67    | 0.17%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1760000 | PA      | $-1762077.37   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260518                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-13.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2001-2                                            | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2001 2 M2               | CUSIP: 83611PAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17673 | PA      | $14552.96      | 0.00%             | 2030-03-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A A2 144A                               | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8111158 | PA      | $8630.27       | 0.00%             | 2041-07-05      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A2                      | CUSIP: 12669GYZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2128253 | PA      | $1531120.41    | 0.04%             | 2035-05-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                      | COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15             | CUSIP: ACI1FGXS4<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $76250.00      | 0.00%             | 2025-09-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.26 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-18450.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                   | OCS GROUP HOLDINGS LTD GBP TERM LOAN B                      | CUSIP: BA000BQB0<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |   20200000 | PA      | $27679970.84   | 0.78%             | 2031-11-28      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-4                                             | NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M1                    | CUSIP: 66987WDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21933 | PA      | $21889.89      | 0.00%             | 2036-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| WHLN 2025-CV3-PF-FF2                                                         | WHLN 2025 CV3 PF FF2 WHLN50984                              | CUSIP: 956JXB003<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17689668 | PA      | $17726932.56   | 0.50%             | 2027-04-01      | Fixed         | 9.15%                 | Yes           |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-19

**Name of Applicant:** PIMCO Flexible Credit Income Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer