# EDGAR Filing Document

**Accession Number:** 0001748680
**File Stem:** 0001049169-25-000376
**Filing Date:** 2025-9
**Character Count:** 470042
**Document Hash:** dfa3adde3ef2e1bf97f2842908e4a401
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001049169-25-000376.hdr.sgml**: 20250929

**ACCESSION NUMBER**: 0001049169-25-000376

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250929

**DATE AS OF CHANGE**: 20250929

**PERIOD START**: 20251031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23368
- **FILM NUMBER:** 251352972

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

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

## Nport-Ex

1WS CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

**July 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **MORTGAGE-BACKED SECURITIES (51.82%)** | **MORTGAGE-BACKED SECURITIES (51.82%)** | **MORTGAGE-BACKED SECURITIES (51.82%)** | **MORTGAGE-BACKED SECURITIES (51.82%)** | **MORTGAGE-BACKED SECURITIES (51.82%)** |
| **Residential (35.67%)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;ABL, Series 2025-RTL1, Class A2<sup>(b)(c)(d)</sup> | 8.02% | 06/25/30 | $1574000 | $1597767 |
| &nbsp;&nbsp;&nbsp;&nbsp;ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2,<br> Class M1<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.49% | 08/25/36 | 684237 | 525084 |
| &nbsp;&nbsp;&nbsp;&nbsp;AIMS, Series 2007-1, Class B<sup>(e)</sup> | 1M BBSW + 0.57% | 07/10/38 | 732053 | 387592 |
| &nbsp;&nbsp;&nbsp;&nbsp;Alba PLC, Series 2007-1, Class C<sup>(d)(e)</sup> | SONIA IR + 0.41% | 03/17/39 | £1612431 | 2009932 |
| &nbsp;&nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2007-21CB, Class 2A3<sup>(e)</sup> | 1M CME TERM SOFR + 0.61% | 09/25/37 | $996231 | 282232 |
| &nbsp;&nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2007-21CB, Class 2A4<sup>(e)(f)</sup> | 5.49% - 1M CME TERM SOFR | 09/25/37 | 920873 | 84905 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M4<sup>(e)</sup> | 1M CME TERM SOFR + 0.95% | 03/25/36 | 711158 | 847558 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs, Series 2005-R5, Class M7<sup>(e)</sup> | 1M CME TERM SOFR + 1.94% | 07/25/35 | 530075 | 630948 |
| &nbsp;&nbsp;&nbsp;&nbsp;Anchor Mortgage Trust, Series 2025-RTL1, Class M1<sup>(b)(d)(e)</sup> | 7.96% | 05/25/40 | 750000 | 758175 |
| &nbsp;&nbsp;&nbsp;&nbsp;Angel Oak Mortgage Trust, Series 2019-6, Class B2<sup>(b)(e)</sup> | 5.04% | 11/25/59 | 846000 | 785088 |
| &nbsp;&nbsp;&nbsp;&nbsp;Angel Oak Mortgage Trust, Series 2025-HB1, Class M1<sup>(b)(e)</sup> | 30D US SOFR + 2.40% | 02/25/55 | 905000 | 922919 |
| &nbsp;&nbsp;&nbsp;&nbsp;Angel Oak Mortgage Trust, Series 2025-HB1, Class M2<sup>(b)(e)</sup> | 30D US SOFR + 2.70% | 02/25/55 | 750000 | 768150 |
| &nbsp;&nbsp;&nbsp;&nbsp;Angel Oak Mortgage Trust, Series 2025-HB1, Class M3<sup>(b)(e)</sup> | 30D US SOFR + 3.05% | 02/25/55 | 1077000 | 1103817 |
| &nbsp;&nbsp;&nbsp;&nbsp;Argent Securities Trust, Series 2006-W2, Class A2B<sup>(e)</sup> | 1M CME TERM SOFR + 0.49% | 03/25/36 | 1173536 | 630306 |
| &nbsp;&nbsp;&nbsp;&nbsp;Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W5, Class M1<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.80% | 01/25/36 | 1355325 | 1353969 |
| &nbsp;&nbsp;&nbsp;&nbsp;Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Series 2006-HE3, Class M1<sup>(e)</sup> | 1M CME TERM SOFR + 0.56% | 03/25/36 | 635076 | 558994 |
| &nbsp;&nbsp;&nbsp;&nbsp;Atlas Funding PLC, Series 2023-1, Class F<sup>(e)</sup> | N/A<sup>(g)</sup> | 01/25/61 | £402000 | 564830 |
| &nbsp;&nbsp;&nbsp;&nbsp;Atlas Funding PLC, Series 2025-1, Class E<sup>(d)(e)</sup> | SONIA IR + 4.00% | 02/20/30 | 768000 | 1054098 |
| &nbsp;&nbsp;&nbsp;&nbsp;Banc of America Funding, Series 2007-5, Class CA8<sup>(e)(f)</sup> | 5.35% - 1M CME TERM SOFR | 07/25/37 | $2149624 | 156708 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bear Stearns Mortgage Funding Trust, Series 2006-AR5, <br> Class 2A2<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.57% | 01/25/37 | 828206 | 774621 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bear Stearns Mortgage Funding Trust, Series 2007-AR4, <br> Class 2A2A<sup>(e)</sup> | 1M CME TERM SOFR + 0.35% | 04/25/37 | 808957 | 735828 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bletchley Park Funding PLC, Series 2024-1, Class E<sup>(e)</sup> | SONIA IR + 4.12% | 07/27/28 | £430000 | 580918 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bletchley Park Funding PLC, Series 2024-1, Class X1<sup>(e)</sup> | SONIA IR + 4.12% | 07/27/28 | 50255 | 66950 |
| &nbsp;&nbsp;&nbsp;&nbsp;Braccan Mortgage Funding 2025-1 PLC, Series 2025-1A, <br> Class X<sup>(b)(d)(e)</sup> | SONIA IR + 3.93% | 02/17/29 | 778000 | 1036759 |
| &nbsp;&nbsp;&nbsp;&nbsp;Brants Bridge PLC, Series 2023-1, Class E<sup>(e)</sup> | SONIA IR + 4.25% | 09/14/26 | 915000 | 1221018 |
| &nbsp;&nbsp;&nbsp;&nbsp;Brean Asset Backed Securities Trust, Series 2025-RM11, <br> Class A1<sup>(b)(d)(e)</sup> | 4.75% | 05/25/65 | $612550 | 593316 |
| &nbsp;&nbsp;&nbsp;&nbsp;Brean Asset Backed Securities Trust, Series 2025-RM12, <br> Class A1<sup>(b)(d)(e)</sup> | 4.50% | 07/25/30 | 926000 | 898405 |
| &nbsp;&nbsp;&nbsp;&nbsp;Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1<sup>(e)</sup> | 1M CME TERM SOFR + 0.61% | 02/25/37 | 738592 | 577948 |
| &nbsp;&nbsp;&nbsp;&nbsp;Castell PLC, Series 2023-1, Class F<sup>(d)(e)</sup> | SONIA IR + 8.00% | 10/25/26 | £527000 | 739067 |
| &nbsp;&nbsp;&nbsp;&nbsp;Castell PLC, Series 2023-1, Class G<sup>(d)(e)</sup> | N/A<sup>(g)</sup> | 05/25/55 | 1014000 | 1425926 |
| &nbsp;&nbsp;&nbsp;&nbsp;Castell PLC, Series 2023-2, Class F<sup>(d)(e)</sup> | SONIA IR + 7.85% | 11/25/55 | 520000 | 741350 |
| &nbsp;&nbsp;&nbsp;&nbsp;Castell PLC, Series 2023-2, Class G<sup>(e)</sup> | SONIA IR + 9.90% | 11/25/55 | 407000 | 576913 |
| &nbsp;&nbsp;&nbsp;&nbsp;Castell PLC, Series 2025-1, Class X1<sup>(d)(e)</sup> | SONIA IR + 4.15% | 01/27/29 | 663267 | 883954 |
| &nbsp;&nbsp;&nbsp;&nbsp;C-BASS, Series 2007-CB4, Class A1B<sup>(e)</sup> | 1M CME TERM SOFR + 0.29% | 04/25/37 | $1678299 | 788465 |
| &nbsp;&nbsp;&nbsp;&nbsp;COLT Mortgage Loan Trust, Series 2022-2, Class B1<sup>(b)(d)(e)</sup> | 3.96% | 02/25/67 | 1042000 | 836934 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities, Series 2021-R02, Class 2B2<sup>(b)(e)</sup> | 30D US SOFR + 6.20% | 11/25/41 | 2926000 | 3068789 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B2<sup>(b)(e)</sup> | 30D US SOFR + 7.00% | 04/25/42 | 2060000 | 2238190 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2<sup>(b)(e)</sup> | 30D US SOFR + 10.60% | 05/25/42 | $644000 | $736414 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2022-R07, <br> Class 1B2<sup>(b)(d)(e)</sup> | 30D US SOFR + 12.00% | 06/25/42 | 1982000 | 2328850 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2023-R02, Class 1B2<sup>(b)(e)</sup> | 30D US SOFR + 7.90% | 01/25/43 | 1197000 | 1350455 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2023-R03, <br> Class 2B1<sup>(b)(d)(e)</sup> | 30D US SOFR + 6.35% | 04/25/43 | 626000 | 699367 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B2<sup>(b)(e)</sup> | 30D US SOFR + 5.90% | 07/25/43 | 687000 | 752746 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2024-R01, Class 1B2<sup>(b)(e)</sup> | 30D US SOFR + 4.00% | 01/25/44 | 1875000 | 1962937 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2024-R02, <br> Class 1B2<sup>(b)(d)(e)</sup> | 30D US SOFR + 3.70% | 02/25/44 | 2655000 | 2749253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17 | 5.50% | 12/25/35 | 117597 | 99792 |
| &nbsp;&nbsp;&nbsp;&nbsp;CWABS Asset-Backed Certificates Trust, Series 2004-15, <br> Class MV7<sup>(e)</sup> | 1M CME TERM SOFR + 2.51% | 02/25/35 | 732464 | 553742 |
| &nbsp;&nbsp;&nbsp;&nbsp;CWABS Asset-Backed Certificates Trust, Series 2005-2, Class M6<sup>(d)(e)</sup> | 30D US SOFR + 2.03% | 08/25/35 | 542592 | 531577 |
| &nbsp;&nbsp;&nbsp;&nbsp;CWABS Asset-Backed Certificates Trust 2006-11, Series 2006-12,<br> Class M1<sup>(e)</sup> | 1M CME TERM SOFR + 0.56% | 12/25/36 | 686235 | 612945 |
| &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4,<br> Class 2A2<sup>(e)</sup> | 1M CME TERM SOFR + 0.75% | 08/25/47 | 899908 | 637135 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dilosk RMBS No 8 Sts DAC, Series 2024-STS, Class F<sup>(e)</sup> | 9.57% | 05/20/62 | 459000 | 557983 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dilosk RMBS No 8 Sts DAC, Series 2024-STS, Class X<sup>(e)</sup> | 11.92% | 05/20/62 | 325164 | 375219 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dilosk Rmbs NO 9 Dac, Series 2024-9, Class X2<sup>(e)</sup> | N/A<sup>(g)</sup> | 01/25/28 | 613000 | 653699 |
| &nbsp;&nbsp;&nbsp;&nbsp;Domi BV, Series 2021-1, Class E<sup>(d)(e)</sup> | 3M EUR L + 6.50% | 06/15/53 | 704000 | 809153 |
| &nbsp;&nbsp;&nbsp;&nbsp;Domi BV, Series 2024-1, Class E<sup>(e)</sup> | 3M EUR L + 5.65% | 09/17/29 | 463000 | 555914 |
| &nbsp;&nbsp;&nbsp;&nbsp;Domi BV, Series 2024-1, Class X<sup>(e)</sup> | 3M EUR L + 3.98% | 09/17/29 | 323643 | 372502 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dominion Mortgage Trust, Series 2025-RTL1, Class A2<sup>(b)(c)</sup> | 8.02% | 09/25/27 | $750000 | 755475 |
| &nbsp;&nbsp;&nbsp;&nbsp;Eagle RE, Ltd., Series 2023-1, Class M2<sup>(b)(e)</sup> | 30D US SOFR + 5.20% | 09/26/33 | 1383500 | 1467893 |
| &nbsp;&nbsp;&nbsp;&nbsp;East One PLC, Series 2024-1, Class E<sup>(e)</sup> | SONIA IR + 4.50% | 06/27/27 | £783000 | 1061745 |
| &nbsp;&nbsp;&nbsp;&nbsp;Easy Street Mortgage Loan Trust, Series 2025-RTL1, Class A1<sup>(b)(c)(d)</sup> | 6.46% | 05/25/40 | $2141000 | 2163695 |
| &nbsp;&nbsp;&nbsp;&nbsp;Elstree Funding No 5 PLC, Series 2024-5, Class F<sup>(e)</sup> | SONIA IR + 4.69% | 03/21/28 | £403998 | 548995 |
| &nbsp;&nbsp;&nbsp;&nbsp;E-MAC Program BV, Series 2007-NL3X, Class D<sup>(d)(e)</sup> | 3M EUR L + 0.50% | 07/25/47 | 501210 | 471593 |
| &nbsp;&nbsp;&nbsp;&nbsp;Eurohome UK Mortgages 2007 -1 PLC, Series 2007-1, Class B2<sup>(e)</sup> | SONIA IR + 3.22% | 06/15/44 | £430000 | 542543 |
| &nbsp;&nbsp;&nbsp;&nbsp;Eurohome UK Mortgages PLC, Series 2007-2, Class B1<sup>(d)(e)</sup> | SONIA IR + 1.52% | 09/15/44 | 550000 | 707476 |
| &nbsp;&nbsp;&nbsp;&nbsp;Eurosail 2006-2bl PLC, Series 2006-2X, Class D1C<sup>(d)(e)</sup> | SONIA IR + 0.92% | 12/15/44 | 1528000 | 1913374 |
| &nbsp;&nbsp;&nbsp;&nbsp;Eurosail 2006-3nc PLC, Series 2006-3X, Class D1A<sup>(d)(e)</sup> | 3M EUR L + 0.90% | 09/10/44 | 624000 | 650739 |
| &nbsp;&nbsp;&nbsp;&nbsp;Eurosail 2006-4np PLC, Series 2006-4X, Class D1C<sup>(d)(e)</sup> | SONIA IR + 0.92% | 12/10/44 | £645564 | 801637 |
| &nbsp;&nbsp;&nbsp;&nbsp;Eurosail-UK 2007-5np PLC, Series 2007-5X, Class B1C<sup>(e)</sup> | SONIA IR + 2.14% | 09/13/45 | 389132 | 476161 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exmoor Funding PLC, Series 2024-1, Class X<sup>(e)</sup> | 3M EUR L + 5.65% | 06/25/28 | 231058 | 307785 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fieldstone Mortgage Investment Trust, Series 2005-3, Class M2<sup>(e)</sup> | 1M CME TERM SOFR + 0.79% | 02/25/36 | $1626000 | 524385 |
| &nbsp;&nbsp;&nbsp;&nbsp;FIGRE Trust, Series 2025-HE1, Class A<sup>(b)(d)(e)</sup> | 5.83% | 01/25/55 | 1902801 | 1922019 |
| &nbsp;&nbsp;&nbsp;&nbsp;FIGRE Trust, Series 2025-HE2, Class A<sup>(b)(e)</sup> | 5.78% | 03/25/55 | 22737012 | 22900718 |
| &nbsp;&nbsp;&nbsp;&nbsp;FIGRE Trust, Series 2025-HE3, Class E<sup>(b)(d)(e)</sup> | 8.10% | 05/25/55 | 750000 | 779775 |
| &nbsp;&nbsp;&nbsp;&nbsp;FIGRE Trust, Series 2025-PF1, Class A<sup>(b)(e)</sup> | 5.76% | 06/25/55 | 1184409 | 1193411 |
| &nbsp;&nbsp;&nbsp;&nbsp;Finance Ireland RMBS NO 7 DAC, Series 2024-7, Class E<sup>(e)</sup> | 3M EUR L + 4.19% | 12/24/63 | 466000 | 539651 |
| &nbsp;&nbsp;&nbsp;&nbsp;Finance Ireland RMBS NO 7 DAC, Series 2024-7, Class X<sup>(e)</sup> | 3M EUR L + 3.72% | 12/24/63 | 74493 | 85271 |
| &nbsp;&nbsp;&nbsp;&nbsp;Finsbury Square PLC, Series 2025-1, Class E<sup>(d)(e)</sup> | SONIA IR + 3.00% | 06/16/75 | £3035000 | 4017540 |
| &nbsp;&nbsp;&nbsp;&nbsp;First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.86% | 11/25/36 | $1966539 | 1367924 |
| &nbsp;&nbsp;&nbsp;&nbsp;First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2<sup>(e)</sup> | 1M CME TERM SOFR + 0.71% | 01/25/36 | 549375 | 519764 |
| &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2020-DNA1, Class B2<sup>(b)(e)</sup> | 30D US SOFR + 5.36% | 01/25/50 | 838000 | 926577 |
| &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class B2<sup>(b)(e)</sup> | 30D US SOFR + 5.65% | 12/25/50 | 1789000 | 2029442 |
| &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2020-HQA3, Class B2<sup>(b)(e)</sup> | 30D US SOFR + 10.11% | 07/25/50 | 1806000 | 2405050 |
| &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2020-HQA4, Class B2<sup>(b)(e)</sup> | 30D US SOFR + 9.51% | 09/25/50 | 858000 | 1124237 |
| &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2023-DNA1, <br> Class B1<sup>(b)(d)(e)</sup> | 13.47% | 03/25/43 | 2292000 | 2628007 |
| &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2023-DNA2, Class B1<sup>(b)(e)</sup> | 30D US SOFR + 7.60% | 04/25/43 | 1021000 | 1162000 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust 2021-DNA2, Series 2020-DNA2, <br> Class B2<sup>(b)(e)</sup> | 30D US SOFR + 4.91% | 02/25/50 | $2575000 | $2840740 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fremont Home Loan Trust, Series 2004-C, Class M3<sup>(e)(h)</sup> | 1M CME TERM SOFR + 1.84% | 08/25/34 | 170 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FT RMBS Miravet, Series 2023-1, Class E<sup>(d)(e)</sup> | 3M EUR L + 3.00% | 11/26/66 | 600000 | 662876 |
| &nbsp;&nbsp;&nbsp;&nbsp;FT RMBS Miravet, Series 2023-1, Class F<sup>(d)(e)</sup> | 3M EUR L + 4.00% | 11/26/66 | 600000 | 666031 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fylde Funding PLC, Series 2024-1, Class E<sup>(e)</sup> | SONIA IR + 4.15% | 10/25/28 | £741000 | 983632 |
| &nbsp;&nbsp;&nbsp;&nbsp;GCAT, Series 2019-RPL1, Class B3<sup>(b)(e)</sup> | 3.75% | 10/25/68 | $988000 | 766194 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSAA Home Equity Trust, Series 2007-8, Class A4<sup>(e)</sup> | 1M CME TERM SOFR + 1.31% | 08/25/37 | 547743 | 294193 |
| &nbsp;&nbsp;&nbsp;&nbsp;Harben Finance, Series 2022-1RA, Class G<sup>(b)(e)</sup> | SONIA IR + 4.30% | 09/28/26 | £391000 | 519339 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hermitage 2024 PLC, Series 2024-1, Class E<sup>(e)</sup> | SONIA IR + 3.90% | 04/21/33 | 248354 | 329116 |
| &nbsp;&nbsp;&nbsp;&nbsp;Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2005-D, Class M2<sup>(e)</sup> | 1M CME TERM SOFR + 0.82% | 03/25/36 | $459094 | 336792 |
| &nbsp;&nbsp;&nbsp;&nbsp;Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-A, Class M1<sup>(e)</sup> | 1M CME TERM SOFR + 0.71% | 03/25/36 | 785663 | 585790 |
| &nbsp;&nbsp;&nbsp;&nbsp;Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-C, Class M1<sup>(e)</sup> | 1M CME TERM SOFR + 0.55% | 08/25/36 | 544322 | 580574 |
| &nbsp;&nbsp;&nbsp;&nbsp;Home RE, Ltd., Series 2022-1, Class M1C<sup>(b)(d)(e)</sup> | 30D US SOFR + 5.50% | 10/25/34 | 376190 | 386347 |
| &nbsp;&nbsp;&nbsp;&nbsp;Home RE, Ltd., Series 2023-1, Class M1B<sup>(b)(d)(e)</sup> | 30D US SOFR + 4.60% | 10/25/33 | 615959 | 633145 |
| &nbsp;&nbsp;&nbsp;&nbsp;Homeward Opportunities Fund Trust, Series 2024-RRTL2, <br> Class M1<sup>(b)(e)</sup> | 8.16% | 09/25/39 | 749000 | 754992 |
| &nbsp;&nbsp;&nbsp;&nbsp;Homeward Opportunities Fund Trust, Series 2025-RRTL1, <br> Class M1<sup>(b)(e)</sup> | 6.83% | 02/25/27 | 1393000 | 1392721 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hops Hill No2 PLC, Series 2022-2, Class E<sup>(e)</sup> | SONIA IR + 5.25% | 11/27/54 | £1072000 | 1437613 |
| &nbsp;&nbsp;&nbsp;&nbsp;HSI Asset Securitization Corp. Trust, Series 2007-HE1, Class 1A1<sup>(e)</sup> | 1M CME TERM SOFR + 0.25% | 01/25/37 | $957464 | 750269 |
| &nbsp;&nbsp;&nbsp;&nbsp;ICAP, Series 2025-RTL1, Class A1<sup>(b)(c)(d)</sup> | 6.47% | 01/25/28 | 2783000 | 2806377 |
| &nbsp;&nbsp;&nbsp;&nbsp;Jeronimo Funding DAC, Series 2025-1, Class B<sup>(e)</sup> | 3M EUR L + 2.00% | 10/25/64 | 1489000 | 1699322 |
| &nbsp;&nbsp;&nbsp;&nbsp;Jeronimo Funding DAC, Series 2025-1, Class C<sup>(e)</sup> | 3M EUR L + 2.50% | 10/25/64 | 739000 | 828267 |
| &nbsp;&nbsp;&nbsp;&nbsp;Jeronimo Funding DAC, Series 2025-1, Class D<sup>(e)</sup> | 3M EUR L + 3.00% | 10/25/64 | 757000 | 849652 |
| &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, <br> Class M3<sup>(e)</sup> | 1M CME TERM SOFR + 0.67% | 02/25/36 | $917775 | 649968 |
| &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, <br> Class M2<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.59% | 07/25/36 | 1140886 | 1122062 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2022-RPL 1 DAC, Series 2022-RPL1X, Class E<sup>(d)(e)</sup> | 1M EUR L + 4.50% | 09/25/62 | 2874000 | 3584761 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2022-RPL 1 DAC, Series 2022-RPL1X, Class F<sup>(e)</sup> | 1M EUR L + 5.50% | 09/25/62 | 1768000 | 2315359 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class D<sup>(e)</sup> | 1M EUR L + 3.25% | 01/26/65 | 557000 | 636822 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class E<sup>(e)</sup> | 1M EUR L + 4.25% | 01/26/65 | 557000 | 644016 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class F<sup>(e)</sup> | 1M EUR L + 5.25% | 01/26/65 | 749000 | 867123 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class D<sup>(d)(e)</sup> | 1M EUR L + 3.25% | 01/24/63 | 936000 | 1059653 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class E<sup>(d)(e)</sup> | 1M EUR L + 4.25% | 01/24/63 | 1310000 | 1485157 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class F<sup>(d)(e)</sup> | 1M EUR L + 5.25% | 01/24/63 | 2806000 | 3165150 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class C<sup>(d)(e)</sup> | 1M EUR L + 2.10% | 06/24/78 | 1343000 | 1522109 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class D<sup>(d)(e)</sup> | 1M EUR L + 3.00% | 06/24/78 | 1942000 | 2193893 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class E<sup>(d)(e)</sup> | 1M EUR L + 4.25% | 06/24/78 | 1798000 | 2022584 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class F<sup>(d)(e)</sup> | 1M EUR L + 5.50% | 06/24/78 | 687262 | 772164 |
| &nbsp;&nbsp;&nbsp;&nbsp;Landmark Mortgage Securities No 3 PLC, Series 2007-3, Class D<sup>(d)(e)</sup> | SONIA IR + 4.12% | 04/17/44 | £433305 | 580456 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, <br> Class M2<sup>(d)(e)</sup> | 3M EUR L + 0.84% | 06/15/45 | 500000 | 392341 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lehman Mortgage Trust, Series 2006-9, Class 1A5<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.71% | 01/25/37 | $668753 | 350159 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lehman Mortgage Trust, Series 2007-5, Class 6A1<sup>(e)</sup> | 1M CME TERM SOFR + 0.43% | 10/25/36 | 3300290 | 1275562 |
| &nbsp;&nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2024-RTL4, Class M1<sup>(b)(e)</sup> | 7.79% | 01/25/27 | 500000 | 502450 |
| &nbsp;&nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2024-RTL5, Class M1<sup>(b)(e)</sup> | 6.82% | 09/25/39 | 500000 | 500350 |
| &nbsp;&nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2025-RTL1, Class M1<sup>(b)(e)</sup> | 7.02% | 01/25/40 | 760000 | 757948 |
| &nbsp;&nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2025-RTL2, Class M1<sup>(b)(e)</sup> | 7.70% | 04/25/40 | 750000 | 748650 |
| &nbsp;&nbsp;&nbsp;&nbsp;London Bridge Mortgages PLC, Series 2025-1, Class F<sup>(d)(e)</sup> | SONIA IR + 4.38% | 04/20/30 | £1231000 | 1632774 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Long Beach Mortgage Loan Trust, Series 2006-10, Class 2A3<sup>(e)</sup> | 1M CME TERM SOFR + 0.43% | 11/25/36 | $2872441 | $877243 |
| &nbsp;&nbsp;&nbsp;&nbsp;Long Beach Mortgage Loan Trust, Series 2006-10, Class 2A4<sup>(e)</sup> | 1M CME TERM SOFR + 0.55% | 11/25/36 | 2487714 | 754773 |
| &nbsp;&nbsp;&nbsp;&nbsp;Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class D<sup>(e)</sup> | 1M EUR L + 3.25% | 06/24/27 | 475000 | 540520 |
| &nbsp;&nbsp;&nbsp;&nbsp;Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class E<sup>(e)</sup> | 1M EUR L + 4.25% | 06/24/27 | 811000 | 922217 |
| &nbsp;&nbsp;&nbsp;&nbsp;MFA, Series 2024-RTL3, Class A2<sup>(b)(c)</sup> | 6.54% | 05/25/28 | $752000 | 758918 |
| &nbsp;&nbsp;&nbsp;&nbsp;Miravet 2025-1 DAC, Series 2025-1X, Class C<sup>(d)(e)</sup> | 3M EUR L + 2.00% | 03/28/28 | 2109000 | 2359656 |
| &nbsp;&nbsp;&nbsp;&nbsp;Miravet 2025-1 DAC, Series 2025-1X, Class D<sup>(d)(e)</sup> | 3M EUR L + 2.50% | 03/28/28 | 1535000 | 1682701 |
| &nbsp;&nbsp;&nbsp;&nbsp;Miravet 2025-1 DAC, Series 2025-1X, Class E<sup>(d)(e)</sup> | 3M EUR L + 3.50% | 03/28/28 | 1147000 | 1232723 |
| &nbsp;&nbsp;&nbsp;&nbsp;Miravet 2025-1 DAC, Series 2025-1X, Class F<sup>(d)(e)</sup> | 3M EUR L + 4.00% | 03/28/28 | 1301000 | 1364184 |
| &nbsp;&nbsp;&nbsp;&nbsp;Molossus Btl PLC, Series 2024-1, Class F<sup>(e)</sup> | SONIA IR + 4.93% | 10/18/26 | £399000 | 535556 |
| &nbsp;&nbsp;&nbsp;&nbsp;Molossus Btl PLC, Series 2024-1, Class X<sup>(e)</sup> | SONIA IR + 4.83% | 10/18/26 | 227023 | 302110 |
| &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class M2<sup>(e)</sup> | 1M CME TERM SOFR + 0.65% | 02/25/36 | $846093 | 787205 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortimer 2024-Mix PLC, Series 2024-MIX, Class E<sup>(e)</sup> | SONIA IR + 5.92% | 06/22/28 | £815000 | 1143929 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortimer 2024-Mix PLC, Series 2024-MIX, Class X<sup>(e)</sup> | SONIA IR + 3.73% | 06/22/28 | 458389 | 609999 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mulcair Securities, Series 2025-4, Class C<sup>(e)</sup> | 3M EUR L + 2.00% | 07/24/28 | 813000 | 907024 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mulcair Securities, Series 2025-4, Class D<sup>(e)</sup> | 3M EUR L + 2.00% | 07/24/28 | 722000 | 782066 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nationstar Home Equity Loan Trust, Series 2007-B, Class M2<sup>(e)</sup> | 1M CME TERM SOFR + 0.58% | 04/25/37 | $1246668 | 1242055 |
| &nbsp;&nbsp;&nbsp;&nbsp;Newgate Funding PLC, Series 2006-2, Class DB<sup>(e)</sup> | 3M EUR L + 0.90% | 12/01/50 | 40364 | 43450 |
| &nbsp;&nbsp;&nbsp;&nbsp;Newgate Funding PLC, Series 2006-3X, Class CB<sup>(d)(e)</sup> | 3M EUR L + 0.45% | 12/01/50 | 2237004 | 2375301 |
| &nbsp;&nbsp;&nbsp;&nbsp;Newgate Funding PLC, Series 2007-1X, Class DB<sup>(e)</sup> | 3M EUR L + 0.75% | 12/01/50 | 539307 | 518780 |
| &nbsp;&nbsp;&nbsp;&nbsp;Newgate Funding PLC, Series 2007-2X, Class E<sup>(e)</sup> | SONIA IR + 3.87% | 12/15/50 | £419190 | 496260 |
| &nbsp;&nbsp;&nbsp;&nbsp;NYMT 2024-BPL2 M<sup>(b)</sup> | 8.41% | 05/25/39 | $3750000 | 3838125 |
| &nbsp;&nbsp;&nbsp;&nbsp;NYMT Loan Trust, Series 2025-CP1, Class A2<sup>(b)(d)(e)</sup> | 3.75% | 11/25/69 | 1048000 | 963845 |
| &nbsp;&nbsp;&nbsp;&nbsp;NYMT Loan Trust, Series 2025-CP1, Class M1<sup>(b)(d)(e)</sup> | 3.75% | 11/25/69 | 834000 | 754603 |
| &nbsp;&nbsp;&nbsp;&nbsp;NYMT Loan Trust, Series 2025-CP1, Class M2A<sup>(b)(d)(e)</sup> | 3.75% | 11/25/69 | 1326000 | 1176295 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ownit Mortgage Loan Trust, Series 2005-4, Class M1<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.94% | 08/25/36 | 862868 | 787971 |
| &nbsp;&nbsp;&nbsp;&nbsp;Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCW, Series 2005-WCW2, Class M5<sup>(e)</sup> | 1M CME TERM SOFR + 1.13% | 07/25/35 | 808491 | 834201 |
| &nbsp;&nbsp;&nbsp;&nbsp;Point Securitization Trust, Series 2025-1, Class A1<sup>(b)(d)</sup> | 6.25% | 05/25/28 | 1474104 | 1472924 |
| &nbsp;&nbsp;&nbsp;&nbsp;Polaris PLC, Series 2022-1, Class E<sup>(e)</sup> | SONIA IR + 3.40% | 10/23/59 | £553000 | 732465 |
| &nbsp;&nbsp;&nbsp;&nbsp;Polaris PLC, Series 2023-1, Class F<sup>(d)(e)</sup> | SONIA IR + 8.25% | 02/23/61 | 1499000 | 2066926 |
| &nbsp;&nbsp;&nbsp;&nbsp;Polaris PLC, Series 2023-2, Class F<sup>(e)</sup> | SONIA IR + 8.75% | 02/27/27 | 403000 | 568366 |
| &nbsp;&nbsp;&nbsp;&nbsp;Polaris PLC, Series 2024-1, Class F<sup>(e)</sup> | SONIA IR + 5.65% | 02/26/28 | 395000 | 542878 |
| &nbsp;&nbsp;&nbsp;&nbsp;Polaris PLC, Series 2024-1, Class X<sup>(e)</sup> | SONIA IR + 5.65% | 02/26/28 | 41744 | 55793 |
| &nbsp;&nbsp;&nbsp;&nbsp;Polaris PLC, Series 2025-1, Class X<sup>(d)(e)</sup> | SONIA IR + 3.68% | 02/26/68 | 2020441 | 2690826 |
| &nbsp;&nbsp;&nbsp;&nbsp;Polaris PLC, Series 2025-2, Class X1<sup>(d)(e)</sup> | SONIA IR + 3.45% | 08/25/68 | 6554000 | 8731226 |
| &nbsp;&nbsp;&nbsp;&nbsp;Popular ABS Mortgage Pass-Through Trust, Series 2005-5, <br> Class MF1<sup>(c)</sup> | 3.44% | 11/25/35 | $404873 | 284221 |
| &nbsp;&nbsp;&nbsp;&nbsp;Popular ABS Mortgage Pass-Through Trust, Series 2005-D, <br> Class M1<sup>(c)(d)</sup> | 3.51% | 01/25/36 | 386208 | 333761 |
| &nbsp;&nbsp;&nbsp;&nbsp;PRET LLC, Series 2025-NPL3, Class A1<sup>(b)(c)</sup> | 6.71% | 04/25/28 | 2564685 | 2575713 |
| &nbsp;&nbsp;&nbsp;&nbsp;PRPM LLC, Series 2025-2, Class A1<sup>(b)(c)</sup> | 6.47% | 05/25/30 | 1284949 | 1295358 |
| &nbsp;&nbsp;&nbsp;&nbsp;Radnor Re, Ltd., Series 2024-1, Class B1<sup>(b)(e)</sup> | 30D US SOFR + 5.15% | 09/25/34 | 150000 | 156390 |
| &nbsp;&nbsp;&nbsp;&nbsp;Radnor Re, Ltd., Series 2024-1, Class M1B<sup>(b)(e)</sup> | 30D US SOFR + 2.90% | 09/25/34 | 1750000 | 1764350 |
| &nbsp;&nbsp;&nbsp;&nbsp;Radnor Re, Ltd., Series 2024-1, Class M1C<sup>(b)(e)</sup> | 30D US SOFR + 3.50% | 09/25/34 | 500000 | 507650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;RALI, Series 2007-QS9, Class A33 | 6.50% | 07/25/37 | 4099334 | 3425403 |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.49% | 05/25/46 | 851158 | 806558 |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.76% | 07/25/36 | 350589 | 251057 |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.81% | 07/25/36 | 516865 | 371367 |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential Asset Securitization Trust, Series 2005-A15, Class 2A10<sup>(e)</sup> | 1M CME TERM SOFR + 0.56% | 02/25/36 | 1382775 | 409025 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;RMAC Securities No 1 PLC, Series 2006-NS4X, Class B1C<sup>(e)</sup> | 3M EUR L + 0.85% | 06/12/44 | 405689 | $427432 |
| &nbsp;&nbsp;&nbsp;&nbsp;Roc Mortgage Trust, Series 2024-RTL1, Class M1<sup>(b)(e)</sup> | 7.28% | 04/25/27 | $1046500 | 1045035 |
| &nbsp;&nbsp;&nbsp;&nbsp;Rochester Financing No 3 PLC, Series 2021-3, Class E<sup>(e)</sup> | SONIA IR + 2.50% | 12/18/44 | £404000 | 531959 |
| &nbsp;&nbsp;&nbsp;&nbsp;Rochester Financing No 3 PLC, Series 2021-3, Class F<sup>(e)</sup> | SONIA IR + 2.50% | 12/18/44 | 412000 | 541239 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shamrock Residential 2024-1 DAC, Series 2024-1A, Class E<sup>(b)(d)(e)</sup> | 1M EUR L + 4.25% | 01/24/28 | 712000 | 801097 |
| &nbsp;&nbsp;&nbsp;&nbsp;SMI Equity Release 2018-1 DAC, Series 2023-1, Class BRR<sup>(e)</sup> | 3M EUR L + 5.00% | 06/20/45 | 500000 | 518340 |
| &nbsp;&nbsp;&nbsp;&nbsp;Soundview Home Loan Trust, Series 2005-OPT4, Class M2<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.94% | 12/25/35 | $1775259 | 1540570 |
| &nbsp;&nbsp;&nbsp;&nbsp;Soundview Home Loan Trust, Series 2006-OPT2, Class M1<sup>(e)</sup> | 1M CME TERM SOFR + 0.56% | 05/25/36 | 629818 | 535030 |
| &nbsp;&nbsp;&nbsp;&nbsp;Soundview Home Loan Trust, Series 2007-OPT1, Class 2A3<sup>(e)</sup> | 1M CME TERM SOFR + 0.32% | 06/25/37 | 1739266 | 1230183 |
| &nbsp;&nbsp;&nbsp;&nbsp;Stratton Mortgage Funding 2024-1 PLC, Series 2024-1A, Class F<sup>(b)(e)</sup> | SONIA IR + 5.00% | 06/20/60 | £465000 | 614123 |
| &nbsp;&nbsp;&nbsp;&nbsp;Stratton Mortgage Funding 2024-2 PLC, Series 2024-2X, Class E<sup>(e)</sup> | SONIA IR + 3.75% | 06/28/50 | 400000 | 528331 |
| &nbsp;&nbsp;&nbsp;&nbsp;Stratton Mortgage Funding PLC, Series 2024-3, Class E<sup>(d)(e)</sup> | SONIA IR + 3.75% | 06/25/49 | 395000 | 522458 |
| &nbsp;&nbsp;&nbsp;&nbsp;Stratton Mortgage Funding PLC, Series 2024-3, Class F<sup>(e)</sup> | SONIA IR + 4.75% | 06/25/49 | 396000 | 520535 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Asset Investment Loan Trust, Series 2005-8, Class M2<sup>(e)</sup> | 1M CME TERM SOFR + 0.86% | 10/25/35 | $1671824 | 1410017 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Asset Investment Loan Trust, Series 2005-9, Class M2<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.79% | 11/25/35 | 1348999 | 1157171 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Asset Investment Loan Trust, Series 2006-BNC3, <br> Class A4<sup>(d)(e)</sup> | 1M CME TERM SOFR + 0.42% | 09/25/36 | 1907568 | 1057937 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC6, Class M1<sup>(e)</sup> | 1M CME TERM SOFR + 0.38% | 01/25/37 | 590334 | 527346 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Asset Securities Corp. Mortgage Loan Trust 2006-W1, Series 2006-W1A, Class M1<sup>(b)(e)</sup> | 1M CME TERM SOFR + 0.41% | 08/25/46 | 2117683 | 2061776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SYON, Series 2020-2, Class E | 6.27% | 12/17/27 | £769133 | 1035111 |
| &nbsp;&nbsp;&nbsp;&nbsp;Together Asset Backed Securitisation 2024-2nd1 PLC, Series 2024-2ND1A, Class E<sup>(b)(d)(e)</sup> | SONIA IR + 4.73% | 01/20/28 | 2009000 | 2759525 |
| &nbsp;&nbsp;&nbsp;&nbsp;Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class E<sup>(e)</sup> | SONIA IR + 3.50% | 01/20/27 | 833000 | 1106197 |
| &nbsp;&nbsp;&nbsp;&nbsp;Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class F<sup>(e)</sup> | SONIA IR + 4.50% | 01/20/27 | 556000 | 739379 |
| &nbsp;&nbsp;&nbsp;&nbsp;Triangle Re, Ltd., Series 2021-2, Class B1<sup>(b)(e)</sup> | 1M CME TERM SOFR + 7.61% | 10/25/33 | $469000 | 494373 |
| &nbsp;&nbsp;&nbsp;&nbsp;Triangle Re, Ltd., Series 2021-3, Class B1<sup>(b)(e)</sup> | 30D US SOFR + 4.95% | 02/25/34 | 591600 | 608638 |
| &nbsp;&nbsp;&nbsp;&nbsp;Triangle Re, Ltd., Series 2023-1, Class M1B<sup>(b)(d)(e)</sup> | 30D US SOFR + 5.25% | 11/25/33 | 1015000 | 1059355 |
| &nbsp;&nbsp;&nbsp;&nbsp;TVC Mortgage Trust, Series 2025-RRTL1, Class A2<sup>(b)(c)</sup> | 6.68% | 04/25/40 | 1005000 | 1009824 |
| &nbsp;&nbsp;&nbsp;&nbsp;TVC Mortgage Trust, Series 2025-RRTL1, Class M1<sup>(b)(c)</sup> | 7.65% | 04/25/40 | 750000 | 754050 |
| &nbsp;&nbsp;&nbsp;&nbsp;Twin Bridges PLC, Series 2022-1, Class X2<sup>(e)</sup> | SONIA IR + 5.00% | 12/01/55 | £128985 | 171168 |
| &nbsp;&nbsp;&nbsp;&nbsp;Twin Bridges PLC, Series 2022-2, Class E<sup>(e)</sup> | SONIA IR + 5.50% | 06/12/55 | 241000 | 321761 |
| &nbsp;&nbsp;&nbsp;&nbsp;Uropa Securities PLC, Series 2007-1, Class B1A<sup>(d)(e)</sup> | SONIA IR + 1.47% | 10/10/40 | 531032 | 639125 |
| &nbsp;&nbsp;&nbsp;&nbsp;Uropa Securities PLC, Series 2007-1, Class B1B<sup>(d)(e)</sup> | 3M EUR L + 1.35% | 10/10/40 | 514921 | 534338 |
| &nbsp;&nbsp;&nbsp;&nbsp;Uropa Securities PLC, Series 2007-1, Class B2A<sup>(e)</sup> | SONIA IR + 4.12% | 10/10/40 | £433748 | 523931 |
| &nbsp;&nbsp;&nbsp;&nbsp;Vecht Residential B.V., Series 2023-1, Class X2<sup>(d)(e)</sup> | 3M EUR L + 5.80% | 05/22/28 | 635000 | 857354 |
| &nbsp;&nbsp;&nbsp;&nbsp;VNTV 2025-RTL1 A2<sup>(b)(c)(d)</sup> | 8.01% | 03/25/30 | $750000 | 759750 |
| &nbsp;&nbsp;&nbsp;&nbsp;Vontive Mortgage Trust, Series 2025-RTL1, Class A1<sup>(b)(c)</sup> | 6.51% | 03/25/27 | 2354000 | 2381071 |
| &nbsp;&nbsp;&nbsp;&nbsp;WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, <br> Class A1C<sup>(e)</sup> | 12M US FED + 1.00% | 02/25/46 | 201824 | 292765 |
| &nbsp;&nbsp;&nbsp;&nbsp;Washington Mutual Asset-Backed Certificates WMABS, Series 2006-HE2, Class A3<sup>(e)</sup> | 1M CME TERM SOFR + 0.41% | 05/25/36 | 940202 | 755171 |
| Total Residential Mortgage Backed Securities |  |  |  | $244035913 |
| **Commercial (16.15%)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;20 Times Square Trust, Series 2018-20TS, Class E<sup>(e)</sup> | 3.10% | 05/15/23 | 2000000 | 1812800 |
| &nbsp;&nbsp;&nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class B<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.56% | 09/15/38 | 3207000 | 3041519 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, <br> Class C<sup>(b)(e)</sup> | 1M CME TERM SOFR + 2.11% | 09/15/38 | $2461000 | $2260428 |
| &nbsp;&nbsp;&nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, <br> Class D<sup>(b)(e)</sup> | 1M CME TERM SOFR + 2.86% | 09/15/38 | 667000 | 581691 |
| &nbsp;&nbsp;&nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, <br> Class E<sup>(b)(e)</sup> | 1M CME TERM SOFR + 3.86% | 09/15/23 | 1500000 | 1268250 |
| &nbsp;&nbsp;&nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, <br> Class F<sup>(b)(e)</sup> | 1M CME TERM SOFR + 5.11% | 09/15/38 | 2500000 | 1920750 |
| &nbsp;&nbsp;&nbsp;&nbsp;BBCMS Mortgage Trust, Series 2021-AGW, Class A<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.36% | 06/15/36 | 1560000 | 1515384 |
| &nbsp;&nbsp;&nbsp;&nbsp;BBCMS Mortgage Trust, Series 2021-AGW, Class E<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 3.26% | 06/15/26 | 2243000 | 2099224 |
| &nbsp;&nbsp;&nbsp;&nbsp;BBCMS Mortgage Trust, Series 2021-AGW, Class F<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 4.11% | 06/15/36 | 1361000 | 1256611 |
| &nbsp;&nbsp;&nbsp;&nbsp;BBSG Mortgage Trust, Series 2016-MRP, Class A<sup>(b)</sup> | 3.28% | 06/05/26 | 2000000 | 1803600 |
| &nbsp;&nbsp;&nbsp;&nbsp;BFLD Mortgage Trust, Series 2021-FPM, Class D<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 4.76% | 06/15/38 | 500000 | 501400 |
| &nbsp;&nbsp;&nbsp;&nbsp;BFLD Mortgage Trust, Series 2021-FPM, Class E<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 5.76% | 06/15/38 | 5533000 | 5548492 |
| &nbsp;&nbsp;&nbsp;&nbsp;BHMS, Series 2018-ATLS, Class D<sup>(b)(e)</sup> | 1M CME TERM SOFR + 2.55% | 07/15/35 | 1202000 | 1203202 |
| &nbsp;&nbsp;&nbsp;&nbsp;BPR Trust, Series 2021-WILL, Class C<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 4.11% | 06/15/38 | 500000 | 499200 |
| &nbsp;&nbsp;&nbsp;&nbsp;BPR Trust, Series 2021-WILL, Class E<sup>(b)(e)</sup> | 1M CME TERM SOFR + 6.86% | 06/15/38 | 500000 | 499250 |
| &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class E<sup>(b)</sup> | 3.30% | 10/10/47 | 564000 | 107555 |
| &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust, Series 2016-C1, Class E<sup>(b)(e)</sup> | 5.10% | 05/10/49 | 1364000 | 1294299 |
| &nbsp;&nbsp;&nbsp;&nbsp;COMM 2014-CCRE18 Mortgage Trust, Series 2014-CR18, Class E<sup>(b)</sup> | 3.60% | 07/15/47 | 895363 | 849073 |
| &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust, Series 2019-521F, Class A<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.05% | 06/15/34 | 2150000 | 2033040 |
| &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust, Series 2019-GC44, Class 180A<sup>(b)(e)</sup> | 3.40% | 11/15/24 | 429000 | 419648 |
| &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust, Series 2021-2400, Class B<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.86% | 12/15/38 | 3304000 | 3278229 |
| &nbsp;&nbsp;&nbsp;&nbsp;CSMC, Series 2020-FACT, Class B<sup>(b)(e)</sup> | 1M CME TERM SOFR + 2.61% | 10/15/25 | 1000000 | 989100 |
| &nbsp;&nbsp;&nbsp;&nbsp;CSMC, Series 2020-FACT, Class D<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 3.82% | 10/15/37 | 1159000 | 1138717 |
| &nbsp;&nbsp;&nbsp;&nbsp;CSMC Trust, Series 2017-PFHP, Class A<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.00% | 12/15/30 | 302369 | 300041 |
| &nbsp;&nbsp;&nbsp;&nbsp;CSMC Trust, Series 2017-PFHP, Class D<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 2.30% | 12/15/19 | 734000 | 690547 |
| &nbsp;&nbsp;&nbsp;&nbsp;DBWF Mortgage Trust, Series 2024-LCRS, Class E<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 4.19% | 04/15/29 | 2000000 | 2001000 |
| &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class G<sup>(b)(e)</sup> | 1M CME TERM SOFR + 4.11% | 12/15/36 | 774924 | 720912 |
| &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class A<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.41% | 05/15/26 | 538000 | 510239 |
| &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class B<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.86% | 05/15/26 | 1000000 | 887800 |
| &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class C<sup>(b)(e)</sup> | 1M CME TERM SOFR + 2.11% | 05/15/26 | 567000 | 486373 |
| &nbsp;&nbsp;&nbsp;&nbsp;HYT Commercial Mortgage Trust, Series 2024-RGCY, Class E<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 4.19% | 09/15/26 | 15054000 | 15085613 |
| &nbsp;&nbsp;&nbsp;&nbsp;HYT Commercial Mortgage Trust, Series 2024-RGCY, Class F<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 5.09% | 09/15/26 | 2303000 | 2307606 |
| &nbsp;&nbsp;&nbsp;&nbsp;ILPT Commercial Mortgage Trust, Series 2025-LPF2, Class E<sup>(b)(d)(e)</sup> | 8.20% | 07/13/30 | 3920000 | 4006240 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** | **Fair<br> Value** |
| **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** | **MORTGAGE-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class E<sup>(b)(e)</sup> | PRIME + 0.96% | 10/15/32 | $124980 | $| 122793 |
| &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.61% | 09/15/29 | 579351 |  | 559942 |
| &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C<sup>(b)(e)</sup> | 1M CME TERM SOFR + 2.21% | 09/15/29 | 135000 |  | 117788 |
| &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class D<sup>(b)(e)</sup> | 1M CME TERM SOFR + 2.46% | 09/15/29 | 1000000 |  | 862200 |
| &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust, Series 2013-C15,<br> Class E<sup>(b)</sup> | 3.50% | 11/15/45 | 1000000 |  | 704800 |
| &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, <br> Class F<sup>(b)</sup> | 3.59% | 11/15/45 | 1098000 |  | 237388 |
| &nbsp;&nbsp;&nbsp;&nbsp;JW Trust, Series 2024-BERY, Class E<sup>(b)(e)</sup> | 1M CME TERM SOFR + 3.54% | 11/15/29 | 1500000 |  | 1487700 |
| &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class E<sup>(b)(e)</sup> | 4.52% | 10/15/48 | 2660000 |  | 2390808 |
| &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G<sup>(b)(d)(e)</sup> | 4.52% | 10/15/48 | 1449060 |  | 886390 |
| &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Trust, Series 2017-ASHF, Class E<sup>(b)(e)</sup> | 1M CME TERM SOFR + 3.32% | 11/15/34 | 580000 |  | 554422 |
| &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Trust, Series 2018-H3, Class D<sup>(b)</sup> | 3.00% | 07/15/51 | 1000000 |  | 854900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust, Series 2019-FAME,<br> Class C<sup>(b)(e)</sup> | 4.25% | 08/15/36 | 946000 |  | 835034 |
| &nbsp;&nbsp;&nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust, Series 2022-JERI, <br> Class A<sup>(b)(e)</sup> | 1M CME TERM SOFR + 1.40% | 01/15/39 | 2084266 |  | 1904811 |
| &nbsp;&nbsp;&nbsp;&nbsp;SMR Mortgage Trust, Series 2022-IND, Class E<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 5.00% | 02/15/39 | 10530287 |  | 10556613 |
| &nbsp;&nbsp;&nbsp;&nbsp;SMRT, Series 2022-MINI, Class E<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 2.70% | 01/15/24 | 5740000 |  | 5668824 |
| &nbsp;&nbsp;&nbsp;&nbsp;SMRT, Series 2022-MINI, Class F<sup>(b)(d)(e)</sup> | 1M CME TERM SOFR + 3.35% | 01/15/24 | 1000000 |  | 980700 |
| &nbsp;&nbsp;&nbsp;&nbsp;VCP Tyler Pref, LLC<sup>(h)</sup> | 13.50% | 12/29/25 | 2241857 |  | 2241857 |
| &nbsp;&nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2024-2, Class M4<sup>(b)(d)(e)</sup> | 10.71% | 04/25/54 | 604277 |  | 614006 |
| &nbsp;&nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2024-6, Class M3<sup>(b)(e)</sup> | 6.92% | 06/25/34 | 743861 |  | 740588 |
| &nbsp;&nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2025-1, Class A<sup>(b)(e)</sup> | 6.03% | 07/25/32 | 7540899 |  | 7592177 |
| &nbsp;&nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2025-1, <br> Class M1<sup>(b)(d)(e)</sup> | 6.68% | 12/25/32 | 749041 |  | 756906 |
| &nbsp;&nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2025-3, <br> Class A<sup>(b)(d)(e)</sup> | 5.87% | 12/25/32 | 2627792 |  | 2645924 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, <br> Class E<sup>(b)</sup> | 3.15% | 09/15/57 | 1311000 |  | 1208611 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, <br> Class F<sup>(b)</sup> | 3.15% | 09/15/57 | 489500 |  | 417543 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, <br> Class G<sup>(b)</sup> | 3.15% | 09/15/57 | 814500 |  | 628794 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wilmot Plaza Mezz Loan, Class F<sup>(h)</sup> | 11.15% | 10/01/31 | 2000000 |  | 2000000 |
| Total Commercial Mortgage Backed Securities |  |  |  | $| 110489352 |
| **TOTAL MORTGAGE-BACKED SECURITIES (Cost $347,076,921)** |  |  |  | **$** | **354525265** |
| **ASSET-BACKED SECURITIES (47.48%)** | **ASSET-BACKED SECURITIES (47.48%)** | **ASSET-BACKED SECURITIES (47.48%)** | **ASSET-BACKED SECURITIES (47.48%)** | **ASSET-BACKED SECURITIES (47.48%)** | **ASSET-BACKED SECURITIES (47.48%)** |
| **Automobile (19.14%)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;ACC Trust, Series 2022-1, Class C<sup>(b)</sup> | 3.24% | 10/20/25 | 931402 |  | 257719 |
| &nbsp;&nbsp;&nbsp;&nbsp;ACM Auto Trust 2024-1, Series 2024-1A, Class B<sup>(b)(d)</sup> | 11.40% | 01/21/31 | 658482 |  | 670861 |
| &nbsp;&nbsp;&nbsp;&nbsp;ACM Auto Trust 2024-2, Series 2024-2A, Class B<sup>(b)</sup> | 9.21% | 04/20/26 | 500000 |  | 515750 |
| &nbsp;&nbsp;&nbsp;&nbsp;ACM Auto Trust 2025-1, Series 2025-1A, Class B<sup>(b)</sup> | 7.87% | 10/20/26 | 750000 |  | 768000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ares Lusitani-STC SA / Pelican Finance 2, Series 2021-2, Class E<sup>(e)</sup> | 6.40% | 01/25/35 | 98430 |  | 109689 |
| &nbsp;&nbsp;&nbsp;&nbsp;Arivo Acceptance Auto Loan Receivables Trust 2024-1, Series 2024-1A, Class D<sup>(b)</sup> | 12.55% | 01/15/28 | $1792000 |  | 2055782 |
| &nbsp;&nbsp;&nbsp;&nbsp;Arivo Acceptance Auto Loan Receivables Trust 2025-1, Series 2025-1A, Class E<sup>(b)</sup> | 7.30% | 07/15/29 | 795000 |  | 812569 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Asset-Backed European Securitisation Transaction Twenty-Three Sarl, Series 2024-23, Class M<sup>(e)</sup> | 1M EUR L + 6.20% | 03/21/34 | 700000 | $801675 |
| &nbsp;&nbsp;&nbsp;&nbsp;Auto ABS Spanish Loans Fondo Titulizacion, Series 2022-1, <br> Class D<sup>(e)</sup> | 1M EUR L + 4.25% | 02/28/32 | 240068 | 277324 |
| &nbsp;&nbsp;&nbsp;&nbsp;Auto ABS Spanish Loans FT, Series 2024-1, Class D<sup>(e)</sup> | 1M EUR L + 2.90% | 09/28/38 | 1382911 | 1587257 |
| &nbsp;&nbsp;&nbsp;&nbsp;Auto ABS Spanish Loans FT, Series 2024-1, Class E<sup>(e)</sup> | 1M EUR L + 4.00% | 09/28/38 | 396635 | 450893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AutoFlorence 2 Srl, Series 2021-2, Class F | 5.00% | 12/24/44 | 21925 | 24651 |
| &nbsp;&nbsp;&nbsp;&nbsp;Autonoria Spain 2021 FT, Series 2021-SP, Class G<sup>(e)</sup> | 5.25% | 01/31/39 | 172310 | 192238 |
| &nbsp;&nbsp;&nbsp;&nbsp;Autonoria Spain 2023 FT, Series 2023-SP, Class F<sup>(e)</sup> | 1M EUR L + 6.90% | 09/30/41 | 328523 | 394826 |
| &nbsp;&nbsp;&nbsp;&nbsp;Autonoria Spain 2025 FT, Series 2025-SP, Class F<sup>(d)(e)</sup> | 1M EUR L + 3.76% | 04/30/43 | 3400000 | 3917943 |
| &nbsp;&nbsp;&nbsp;&nbsp;Autonoria Spain 2025 FT, Series 2025-SP, Class G<sup>(d)(e)</sup> | 1M EUR L + 5.38% | 04/30/43 | 800000 | 916841 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bbva Consumer Auto Fondo De Titulizacion, Series 2022-1, <br> Class E<sup>(e)</sup> | 3M EUR L + 8.00% | 02/17/36 | 335760 | 403408 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bbva Consumer Auto FT, Series 2024-1, Class D<sup>(e)</sup> | 3M EUR L + 5.40% | 10/22/29 | 345060 | 403540 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bbva Consumer Auto FT, Series 2024-1, Class E<sup>(e)</sup> | 3M EUR L + 8.20% | 10/22/29 | 1449251 | 1735282 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bbva Consumer Auto FT, Series 2024-1, Class Z<sup>(e)</sup> | 3M EUR L + 7.90% | 10/22/29 | 517849 | 602240 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cardiff Auto Receivables Securitisation PLC, Series 2024-1,<br> Class E<sup>(e)</sup> | SONIA IR + 4.25% | 08/20/31 | £1976000 | 2641567 |
| &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, Series 2023-N1, Class E<sup>(b)</sup> | 10.46% | 03/10/28 | $1500000 | 1614750 |
| &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, Series 2023-N4, Class E<sup>(b)(d)</sup> | 9.56% | 11/10/28 | 2107000 | 2276824 |
| &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, Series 2024-N3, Class E<sup>(b)(d)</sup> | 7.66% | 09/10/29 | 1250000 | 1289000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, Series 2024-P4, Class R<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 06/10/30 | 2000 | 979895 |
| &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, Series 2025-P1, Class R<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 03/10/33 | 1400 | 774042 |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer Portfolio Services Auto Trust, Series 2025-A, Class E<sup>(b)</sup> | 7.65% | 03/15/29 | 1000000 | 1038800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Consumer Portfolio Services Auto Trust, Series 2025-B, Class E<sup>(b)</sup> | 7.95% | 06/15/29 | 2092000 | 2199738 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dowson PLC, Series 2024-1, Class E<sup>(e)</sup> | SONIA IR + 3.95% | 08/20/31 | £577000 | 759600 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dowson PLC, Series 2024-1, Class F<sup>(e)</sup> | SONIA IR + 6.95% | 08/20/31 | 1252000 | 1636957 |
| &nbsp;&nbsp;&nbsp;&nbsp;ECARAT DE, Series 2024-1, Class F<sup>(e)</sup> | 1M EUR L + 4.67% | 11/25/35 | 389231 | 449771 |
| &nbsp;&nbsp;&nbsp;&nbsp;ECARAT DE SA Compartment Lease, Series 2025-1, <br> Class E<sup>(d)(e)</sup> | 1M EUR L + 3.20% | 05/25/34 | 7700000 | 8881789 |
| &nbsp;&nbsp;&nbsp;&nbsp;ECARAT DE SA Compartment Lease, Series 2025-1, <br> Class F<sup>(d)(e)</sup> | 1M EUR L + 4.50% | 05/25/34 | 1900000 | 2184879 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust, Series 2025-3A, <br> Class E<sup>(b)(d)</sup> | 7.52% | 02/15/30 | $2157000 | 2232279 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust 2022-3, Series 2022-3A,<br> Class E<sup>(b)</sup> | 9.09% | 02/16/27 | 1396000 | 1328573 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust 2022-4, Series 2022-4A,<br> Class E<sup>(b)(d)</sup> | 8.23% | 03/15/30 | 4603000 | 4735566 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust 2022-5, Series 2022-5A, Class E<sup>(b)</sup> | 10.45% | 04/15/30 | 1989000 | 2107345 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust 2022-6, Series 2022-6A,<br> Class E<sup>(b)(d)</sup> | 11.61% | 06/17/30 | 2611000 | 2900038 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust 2024-2, Series 2024-2A,<br> Class E<sup>(b)</sup> | 7.98% | 11/15/28 | 1783000 | 1885879 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust 2025-1, Series 2025-1A, <br> Class E<sup>(b)</sup> | 7.48% | 09/15/29 | 1558000 | 1611128 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust 2025-2, Series 2025-2A, <br> Class E<sup>(b)</sup> | 7.81% | 10/15/32 | 1576000 | 1646605 |
| &nbsp;&nbsp;&nbsp;&nbsp;FCT Autonoria DE 2023, Series 2023-DE, Class F<sup>(e)</sup> | 1M EUR L + 7.50% | 01/26/43 | 217925 | 261558 |
| &nbsp;&nbsp;&nbsp;&nbsp;FCT Autonoria DE 2023, Series 2023-DE, Class G<sup>(e)</sup> | 1M EUR L + 10.50% | 01/26/43 | 217235 | 263164 |
| &nbsp;&nbsp;&nbsp;&nbsp;FinBe USA Trust 2025-1, Series 2025-1A, Class C<sup>(b)(d)</sup> | 8.74% | 06/15/28 | $6185000 | 6319215 |
| &nbsp;&nbsp;&nbsp;&nbsp;Flagship Credit Auto Trust, Series 2021-1, Class R<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 04/17/28 | 2740 | 115939 |
| &nbsp;&nbsp;&nbsp;&nbsp;Flagship Credit Auto Trust, Series 2022-2, Class E<sup>(b)</sup> | 8.20% | 06/15/29 | 926000 | 270022 |
| &nbsp;&nbsp;&nbsp;&nbsp;Flagship Credit Auto Trust, Series 2022-4, Class E<sup>(b)</sup> | 12.66% | 01/15/30 | 1879000 | 1827891 |
| &nbsp;&nbsp;&nbsp;&nbsp;Flagship Credit Auto Trust, Series 2023-3, Class E<sup>(b)</sup> | 9.74% | 06/17/30 | 1000000 | 935700 |
| &nbsp;&nbsp;&nbsp;&nbsp;FTA Santander Consumer Spain Auto, Series 2022-1, Class E<sup>(e)</sup> | 3M EUR L + 12.00% | 09/20/38 | 276862 | 329321 |
| &nbsp;&nbsp;&nbsp;&nbsp;FTA Santander Consumer Spain Auto, Series 2023-1, Class E<sup>(e)</sup> | 3M EUR L + 7.25% | 12/22/30 | 511484 | 625410 |
| &nbsp;&nbsp;&nbsp;&nbsp;GLS Auto Receivables Issuer Trust 2025-1, Series 2025-1A, <br> Class E<sup>(b)</sup> | 7.19% | 03/15/32 | $2200000 | 2241800 |
| &nbsp;&nbsp;&nbsp;&nbsp;GLS Auto Receivables Issuer Trust 2025-2, Series 2025-2A, <br> Class E<sup>(b)(d)</sup> | 7.73% | 12/15/29 | 2122000 | 2229373 |
| &nbsp;&nbsp;&nbsp;&nbsp;Golden Bar Securitisation Srl, Series 2021-1, Class E<sup>(d)</sup> | 2.75% | 09/22/41 | 150307 | 168515 |
| &nbsp;&nbsp;&nbsp;&nbsp;Golden Bar Securitisation Srl, Series 2023-2, Class D<sup>(d)(e)</sup> | 3M EUR L + 5.70% | 09/22/43 | 690676 | 817282 |
| &nbsp;&nbsp;&nbsp;&nbsp;Golden Bar Securitisation Srl, Series 2023-2, Class E<sup>(d)(e)</sup> | 3M EUR L + 8.50% | 09/22/43 | 900642 | 1086014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GRDN 2024-1 B | 4.49% | 12/31/49 | 28221452 | 2912290 |
| &nbsp;&nbsp;&nbsp;&nbsp;Merchants Fleet Funding LLC, Series 2024-1A, Class E<sup>(b)</sup> | 9.35% | 01/20/28 | $1000000 | 1009900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Metro Finance , Series 2025-1, Class E<sup>(d)(e)</sup> | 1M BBSW + 3.95% | 10/15/31 | 1170000 | 754258 |
| &nbsp;&nbsp;&nbsp;&nbsp;Octane Receivables Trust 2024-2, Series 2024-2A, Class E<sup>(b)</sup> | 9.04% | 07/20/32 | $750000 | 796050 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pony SA, Series 2024-1, Class E<sup>(e)</sup> | 1M EUR L + 3.75% | 08/14/28 | 500000 | 577654 |
| &nbsp;&nbsp;&nbsp;&nbsp;Prestige Auto Receivables Trust 2025-1, Series 2025-1A, Class E<sup>(b)</sup> | 8.45% | 05/15/29 | $888000 | 932666 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Red & Black Auto Germany 9 UG, Series 2022-9, Class D<sup>(e)</sup> | 1M EUR L + 5.60% | 12/15/26 | 254693 | $297800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Red & Black Auto Italy Srl, Series 2023-2, Class E<sup>(e)</sup> | 1M EUR L + 7.00% | 02/28/28 | 335847 | 400903 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust 2023-3, Series 2023-3A, Class C<sup>(b)</sup> | 9.00% | 01/26/32 | $549803 | 549199 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust 2023-4, Series 2023-4A, Class C<sup>(b)(d)</sup> | 9.00% | 01/25/27 | 549236 | 545502 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust 2023-4, Series 2024-3A, Class D<sup>(b)(d)</sup> | 9.04% | 03/25/33 | 3160000 | 3165372 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust 2025-1, Series 2025-1A, Class D<sup>(b)</sup> | 10.18% | 02/25/27 | 1357000 | 1374098 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust 2025-1, Series 2025-1A, Class E<sup>(b)</sup> | 12.00% | 03/25/26 | 530000 | 503712 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust 2025-3, Series 2025-3A, Class E<sup>(b)(d)</sup> | 11.09% | 12/25/26 | 5182000 | 5227602 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust 2025-3, Series 2025-3A, Class F<sup>(b)(d)</sup> | 12.00% | 11/25/26 | 5000000 | 4729500 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust 2025-4, Series 2025-4A, Class E<sup>(b)(d)</sup> | 10.74% | 07/25/27 | 3035000 | 3072634 |
| &nbsp;&nbsp;&nbsp;&nbsp;Research-Driven Pagaya Motor Asset Trust VII, Series 2022-3A, <br> Class C<sup>(b)</sup> | 10.04% | 11/25/30 | 2046336 | 2096471 |
| &nbsp;&nbsp;&nbsp;&nbsp;SAFCO Auto Receivables Trust 2024-1, Series 2024-1A, Class E<sup>(b)</sup> | 10.85% | 01/18/30 | 500000 | 523000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Santander Consumer Finance SA/NOMA, Series 2023-1, Class B<sup>(e)</sup> | 12.37% | 10/31/33 | 7563195 | 1174684 |
| &nbsp;&nbsp;&nbsp;&nbsp;Santander Drive Auto Receivables Trust, Series 2024-S3, <br> Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 10/16/28 | $4167 | 935158 |
| &nbsp;&nbsp;&nbsp;&nbsp;Satus PLC, Series 2024-1, Class D<sup>(e)</sup> | SONIA IR + 3.30% | 04/19/27 | £739000 | 979902 |
| &nbsp;&nbsp;&nbsp;&nbsp;Satus PLC, Series 2024-1, Class E<sup>(e)</sup> | SONIA IR + 5.30% | 04/19/27 | 670000 | 892750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SCF Rahoituspalvelut X DAC, Series 2021-10, Class D | 5.35% | 10/25/31 | 108863 | 121851 |
| &nbsp;&nbsp;&nbsp;&nbsp;SCF Rahoituspalvelut XIII DAC, Series 2024-13, Class E<sup>(e)</sup> | 1M EUR L + 7.72% | 02/25/29 | 500000 | 597711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class D | 7.25% | 02/25/35 | 152453 | 172263 |
| &nbsp;&nbsp;&nbsp;&nbsp;TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class F<sup>(e)</sup> | 1M EUR L + 5.49% | 09/20/38 | 156174 | 173771 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tricolor Auto Securitization Trust, Series 2025-2A, Class E<sup>(b)</sup> | 8.35% | 10/15/28 | $600000 | 629400 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tricolor Auto Securitization Trust, Series 2025-2A, Class F<sup>(b)</sup> | 11.23% | 10/15/28 | 941000 | 1011951 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tricolor Auto Securitization Trust 2024-2, Series 2024-2A, Class E<sup>(b)</sup> | 10.44% | 04/15/27 | 700000 | 731290 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tricolor Auto Securitization Trust 2024-2, Series 2024-2A, Class F<sup>(b)</sup> | 16.56% | 04/15/27 | 700000 | 753410 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tricolor Auto Securitization Trust 2024-3, Series 2024-3A, Class E<sup>(b)</sup> | 8.64% | 11/15/27 | 1400000 | 1426740 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tricolor Auto Securitization Trust 2024-3, Series 2024-3A, Class F<sup>(b)</sup> | 13.51% | 11/15/27 | 1320000 | 1365408 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tricolor Auto Securitization Trust 2025-1, Series 2025-1A, <br> Class D<sup>(b)(d)</sup> | 6.84% | 05/15/28 | 1660000 | 1700172 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tricolor Auto Securitization Trust 2025-1, Series 2025-1A, <br> Class E<sup>(b)(d)</sup> | 10.37% | 05/15/28 | 1000000 | 1075000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trustee for Metro Finance, Series 2023-1, Class E<sup>(e)</sup> | 1M BBSW + 7.00% | 02/18/29 | 486324 | 319429 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trustee for Metro Finance, Series 2023-1, Class F<sup>(e)</sup> | 1M BBSW + 8.75% | 02/18/29 | 315454 | 208252 |
| &nbsp;&nbsp;&nbsp;&nbsp;United Auto Credit Securitization Trust, Series 2022-1, Class E<sup>(b)(d)</sup> | 5.00% | 11/10/28 | $1559631 | 1537172 |
| &nbsp;&nbsp;&nbsp;&nbsp;United Auto Credit Securitization Trust, Series 2023-1, Class E<sup>(b)</sup> | 10.98% | 09/10/29 | 529000 | 569045 |
| &nbsp;&nbsp;&nbsp;&nbsp;United Auto Credit Securitization Trust, Series 2024-1, Class E<sup>(b)</sup> | 10.45% | 06/10/27 | 2554000 | 2668164 |
| &nbsp;&nbsp;&nbsp;&nbsp;United Auto Credit Securitization Trust, Series 2025-1, Class E<sup>(b)</sup> | 7.71% | 03/10/28 | 1185000 | 1208108 |
| &nbsp;&nbsp;&nbsp;&nbsp;USASF Receivables LLC, Series 2021-1A, Class D<sup>(b)</sup> | 4.36% | 03/15/27 | 1125000 | 33638 |
| &nbsp;&nbsp;&nbsp;&nbsp;Veros Auto Receivables Trust, Series 2025-1, Class D<sup>(b)(d)</sup> | 8.79% | 05/17/32 | 1583000 | 1654552 |
| Total Automobile |  |  |  | $130973149 |
| **Consumer (21.76%)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;ACHV ABS Trust, Series 2024-3AL, Class E<sup>(b)(d)</sup> | 7.00% | 12/26/31 | 837000 | 818251 |
| &nbsp;&nbsp;&nbsp;&nbsp;ACHV ABS TRUST, Series 2023-4CP, Class E<sup>(b)</sup> | 10.50% | 07/25/26 | 1260000 | 1292004 |
| &nbsp;&nbsp;&nbsp;&nbsp;Affirm Asset Securitization Trust, Series 2024-A, Class 1E<sup>(b)</sup> | 9.17% | 02/17/26 | 1500000 | 1500900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Affirm Asset Securitization Trust, Series 2024-B, Class E<sup>(b)(d)</sup> | 7.35% | 05/17/27 | 850000 | 854420 |
| &nbsp;&nbsp;&nbsp;&nbsp;Aurorus 2023 BV, Series 2023-1, Class E<sup>(e)</sup> | 1M EUR L + 5.35% | 10/12/26 | 591438 | 687686 |
| &nbsp;&nbsp;&nbsp;&nbsp;Aurorus 2023 BV, Series 2023-1, Class F<sup>(e)</sup> | 11.19% | 10/12/26 | 367809 | 430187 |
| &nbsp;&nbsp;&nbsp;&nbsp;Aurorus 2023 BV, Series 2023-1, Class G<sup>(e)</sup> | 12.94% | 10/12/26 | 378844 | 441881 |
| &nbsp;&nbsp;&nbsp;&nbsp;Brignole Co., Series 2024-2024, Class D<sup>(e)</sup> | 1M EUR L + 4.00% | 02/24/42 | 384470 | 445016 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Brignole Co., Series 2024-2024, Class E<sup>(e)</sup> | 1M EUR L + 5.75% | 02/24/42 | 296137 | $347477 |
| &nbsp;&nbsp;&nbsp;&nbsp;Brignole Co., Series 2024-2024, Class F<sup>(e)</sup> | 1M EUR L + 7.48% | 02/24/42 | 359686 | 420316 |
| &nbsp;&nbsp;&nbsp;&nbsp;Brignole CQ, Series 2024-2024, Class X<sup>(e)</sup> | 1M EUR L + 3.09% | 09/24/40 | 831900 | 953019 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cherry Securitization Trust 2025-1, Series 2025-1A, Class C<sup>(b)</sup> | 9.34% | 10/16/28 | $750000 | 760050 |
| &nbsp;&nbsp;&nbsp;&nbsp;Compartment BL Consumer Credit 2024, Series 2024-1, Class E<sup>(e)</sup> | 1M EUR L + 4.10% | 03/25/27 | 438000 | 511481 |
| &nbsp;&nbsp;&nbsp;&nbsp;Compartment BL Consumer Credit 2024, Series 2024-1, Class F<sup>(e)</sup> | 1M EUR L + 5.80% | 03/25/27 | 462000 | 539771 |
| &nbsp;&nbsp;&nbsp;&nbsp;Compartment BL Consumer Credit 2024, Series 2024-1, Class X1<sup>(e)</sup> | 1M EUR L + 6.80% | 03/25/27 | 62404 | 71883 |
| &nbsp;&nbsp;&nbsp;&nbsp;Equify ABS 2024-1 LLC, Series 2024-1A, Class D<sup>(b)</sup> | 7.77% | 05/15/28 | $500000 | 501100 |
| &nbsp;&nbsp;&nbsp;&nbsp;FCT Noria 2021, Series 2021-1, Class F<sup>(e)</sup> | 1M EUR L + 3.70% | 10/25/49 | 189034 | 214763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FCT Noria 2021, Series 2021-1, Class G | 5.95% | 10/25/49 | 330809 | 364757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FCT Pixel 2021, Series 2021-1, Class G | 5.50% | 02/25/38 | 62448 | 71418 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fortuna Consumer Loan Abs DAC, Series 2024-2, Class G<sup>(e)</sup> | 1M EUR L + 10.50% | 01/18/28 | 500000 | 573082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FTA Santander Consumo 4, Series 2021-4, Class E | 4.90% | 09/18/32 | 700431 | 797767 |
| &nbsp;&nbsp;&nbsp;&nbsp;FTA Santander Consumo 6, Series 2024-6, Class F<sup>(e)</sup> | 3M EUR L + 8.10% | 03/21/27 | 2456800 | 2836675 |
| &nbsp;&nbsp;&nbsp;&nbsp;GAMMA Sociedade de Titularizacao de Creditos, Series 2024-2,<br> Class D<sup>(e)</sup> | 3M EUR L + 3.40% | 02/25/34 | 451702 | 520306 |
| &nbsp;&nbsp;&nbsp;&nbsp;GAMMA Sociedade de Titularizacao de Creditos, Series 2024-2,<br> Class E<sup>(e)</sup> | 3M EUR L + 5.35% | 02/25/34 | 1626128 | 1879794 |
| &nbsp;&nbsp;&nbsp;&nbsp;GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 1, Series 2022-1, Class D<sup>(e)</sup> | 3M EUR L + 8.00% | 06/28/33 | 205431 | 259922 |
| &nbsp;&nbsp;&nbsp;&nbsp;GoodLeap Home Improvement Solutions Trust 2024-1, Series 2024-1A, Class C<sup>(b)</sup> | 8.94% | 04/20/33 | $897178 | 909380 |
| &nbsp;&nbsp;&nbsp;&nbsp;GoodLeap Home Improvement Solutions Trust 2025-1, Series 2025-1A, Class C<sup>(b)</sup> | 7.83% | 02/20/49 | 1283020 | 1292899 |
| &nbsp;&nbsp;&nbsp;&nbsp;GreenSky Home Improvement Issuer Trust, Series 2024-2, <br> Class E<sup>(b)(d)</sup> | 8.75% | 10/27/59 | 500000 | 520000 |
| &nbsp;&nbsp;&nbsp;&nbsp;GreenSky Home Improvement Issuer Trust 2025-1, Series 2025-1A, Class E<sup>(b)(d)</sup> | 8.65% | 03/25/60 | 1240000 | 1271744 |
| &nbsp;&nbsp;&nbsp;&nbsp;GreenSky Home Improvement Issuer Trust 2025-2, Series 2025-2A, Class E<sup>(b)(d)</sup> | 7.79% | 06/25/60 | 1000000 | 1011300 |
| &nbsp;&nbsp;&nbsp;&nbsp;Latitude Australia Credit Card Master Trust, Series 2024-2, Class E<sup>(e)</sup> | 1M BBSW + 4.20% | 03/22/29 | 879000 | 567848 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lendingpoint Asset Securitization Trust, Series 2022-B, Class C<sup>(b)</sup> | 8.45% | 10/15/29 | $517000 | 160270 |
| &nbsp;&nbsp;&nbsp;&nbsp;Marlette Funding Trust 2021-2, Series 2021-2A, Class R<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 09/15/31 | 1686 | 18685 |
| &nbsp;&nbsp;&nbsp;&nbsp;NewDay Funding, Series 2022-3A, Class E<sup>(b)(d)(e)</sup> | SONIA IR + 9.50% | 11/15/25 | £1165000 | 1574037 |
| &nbsp;&nbsp;&nbsp;&nbsp;Noria DE 2024, Series 2024-DE1, Class F<sup>(e)</sup> | 1M EUR L + 4.50% | 02/25/43 | 482445 | 549047 |
| &nbsp;&nbsp;&nbsp;&nbsp;Oportun Funding Trust, Series 2024-3, Class D<sup>(b)</sup> | 9.60% | 01/18/28 | $800000 | 826160 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2024-10, Class E<sup>(b)(d)</sup> | 10.41% | 10/15/26 | 3999661 | 4127250 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2024-11, Class E<sup>(b)(d)</sup> | 10.33% | 10/15/26 | 7199173 | 7400030 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2024-5, Class D<sup>(b)</sup> | 12.97% | 05/15/26 | 702588 | 739966 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2024-8, Class E<sup>(b)</sup> | 10.41% | 01/15/32 | 1165893 | 1205184 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2024-8, Class F<sup>(b)</sup> | 10.00% | 01/15/32 | 1504397 | 1464681 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2024-9, Class E<sup>(b)(d)</sup> | 10.11% | 07/15/26 | 1070500 | 1103365 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2024-9, Class F<sup>(b)(d)</sup> | 12.00% | 09/15/27 | 1399786 | 1371090 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2025-2, Class E<sup>(b)</sup> | 10.90% | 10/15/32 | 3999580 | 4096370 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2025-3, Class E<sup>(b)(d)</sup> | 12.63% | 01/15/27 | 1500000 | 1534950 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2025-5, Class E<sup>(b)(d)</sup> | 9.70% | 03/15/33 | 3097000 | 3141597 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust, Series 2025-5, Class F<sup>(b)(d)</sup> | 12.00% | 03/15/33 | 1200000 | 1156440 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Grantor Trust 2024-6 and Pagaya AI Debt Trust, Series 2024-6, Class D<sup>(b)</sup> | 11.35% | 06/15/26 | 703369 | 722993 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Selection Trust, Series 2024-7, Class D<sup>(b)(d)</sup> | 10.90% | 12/15/31 | 757350 | 784691 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT<sup>(b)(e)(f)(h)</sup> | N/A<sup>(g)</sup> | 05/17/27 | 510470 | 5981 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Selection Trust, Series 2021-1, Class C<sup>(b)</sup> | 4.09% | 11/15/27 | 80513 | 78846 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2023-5, Class D<sup>(b)</sup> | 9.00% | 04/15/31 | 2045000 | 2056452 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2023-6, Class D<sup>(b)(d)</sup> | 9.00% | 06/16/31 | 2749295 | 2777338 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2023-8, Class E<sup>(b)(d)</sup> | 11.50% | 06/16/31 | 2498395 | 2523129 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2024-1, Class C<sup>(b)</sup> | 8.34% | 07/15/31 | 281432 | 284640 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2024-1, Class E<sup>(b)(d)</sup> | 11.50% | 07/15/31 | 2499375 | 2556111 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2024-2, Class D<sup>(b)</sup> | 9.00% | 08/15/31 | 529580 | 535512 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2024-2, Class E<sup>(b)(d)</sup> | 11.50% | 08/15/31 | $2451910 | $2545818 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2024-3, Class D<sup>(b)</sup> | 9.00% | 03/15/26 | 776806 | 786438 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2024-3, Class E<sup>(b)</sup> | 11.50% | 12/15/26 | 5500000 | 5564900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2025-4, Class E<sup>(b)(d)</sup> | 11.60% | 01/17/33 | 15000000 | 15042000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2025-R1, Class E<sup>(b)</sup> | 12.11% | 06/15/32 | 1011000 | 1014336 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pagaya Point of Sale Holdings Grantor Trust, Series 2025-1, <br> Class E<sup>(b)(d)</sup> | 11.28% | 01/20/33 | 3000000 | 3056100 |
| &nbsp;&nbsp;&nbsp;&nbsp;Plenti PL-Green ABS Trust, Series 2024-1, Class E<sup>(e)</sup> | 1M BBSW + 5.80% | 06/11/35 | &nbsp;&nbsp;&nbsp;&nbsp;692507 | 447682 |
| &nbsp;&nbsp;&nbsp;&nbsp;Plenti PL-Green ABS Trust, Series 2024-1, Class F<sup>(e)</sup> | 1M BBSW + 7.80% | 06/11/35 | 526306 | 340543 |
| &nbsp;&nbsp;&nbsp;&nbsp;Plenti PL-Green ABS Trust, Series 2024-2, Class F<sup>(e)</sup> | 1M BBSW + 4.90% | 04/11/36 | 1130000 | 728908 |
| &nbsp;&nbsp;&nbsp;&nbsp;Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class D<sup>(b)</sup> | 11.24% | 11/15/26 | $500000 | 518950 |
| &nbsp;&nbsp;&nbsp;&nbsp;Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class E<sup>(b)</sup> | 15.49% | 11/15/26 | 1000000 | 1045400 |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchasing Power Funding LLC, Series 2024-A, Class E<sup>(b)</sup> | 10.18% | 08/15/28 | 500000 | 500200 |
| &nbsp;&nbsp;&nbsp;&nbsp;Quarzo Srl, Series 2024-1, Class D<sup>(e)</sup> | 3M EUR L + 3.70% | 06/15/41 | 409314 | 473118 |
| &nbsp;&nbsp;&nbsp;&nbsp;RCKT Trust 2025-PL1, Series 2025-1A, Class E<sup>(b)</sup> | 7.12% | 07/25/34 | $1750000 | 1757700 |
| &nbsp;&nbsp;&nbsp;&nbsp;RCKT Trust 2025-PL1, Series 2025-1A, Class R1<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 07/25/34 | 328000 | 3884209 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reach ABS Trust 2023-1, Series 2023-1A, Class D<sup>(b)</sup> | 12.27% | 02/18/31 | 2000000 | 2148800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reach ABS Trust 2024-1, Series 2024-1A, Class D<sup>(b)</sup> | 10.64% | 09/15/27 | 200000 | 214800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reach ABS Trust 2024-2, Series 2024-2A, Class D<sup>(b)(d)</sup> | 8.83% | 05/15/28 | 737000 | 754246 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reach ABS Trust 2025-2, Series 2025-2A, Class D<sup>(b)(d)</sup> | 7.31% | 06/15/29 | 1000000 | 1005500 |
| &nbsp;&nbsp;&nbsp;&nbsp;Republic Finance Issuance Trust, Series 2024-B, Class D<sup>(b)(d)</sup> | 8.83% | 10/22/29 | 2084000 | 2130265 |
| &nbsp;&nbsp;&nbsp;&nbsp;RRRR Repo Funding Trust, Series 2025-1 Pass-Through Certificates<sup>(h)</sup> | 14.00% | 07/25/26 | 10771379 | 10771379 |
| &nbsp;&nbsp;&nbsp;&nbsp;SABADELL CONSUMO 2 FDT, Series 2022-2, Class E<sup>(e)</sup> | 1M EUR L + 7.75% | 12/24/34 | 691741 | 824155 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sunbit Asset Securitization Trust, Series 2025-1, Class D<sup>(b)</sup> | 7.92% | 02/15/28 | $4140000 | 4196718 |
| &nbsp;&nbsp;&nbsp;&nbsp;TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 1, Series 2023-1, Class E<sup>(e)</sup> | 1M EUR L + 8.50% | 07/27/29 | 125179 | 149842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 1, Series 2023-1, Class F | 15.00% | 07/27/29 | 125179 | 153576 |
| &nbsp;&nbsp;&nbsp;&nbsp;TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class D<sup>(e)</sup> | 1M EUR L + 4.00% | 10/27/42 | 1300000 | 1503534 |
| &nbsp;&nbsp;&nbsp;&nbsp;TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class E<sup>(e)</sup> | 1M EUR L + 5.65% | 10/27/42 | 900000 | 1053663 |
| &nbsp;&nbsp;&nbsp;&nbsp;TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class F<sup>(e)</sup> | 1M EUR L + 8.50% | 10/27/42 | 900000 | 1048211 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upgrade Master Pass-Thru Trust, Series 2025-P1, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 01/15/30 | $2000000 | 1822232 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2022-ST2, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 04/20/30 | 2000000 | 508125 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2020-ST2, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 03/20/28 | 5000000 | 19249 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2020-ST4, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 11/20/26 | 1150718 | 36603 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2020-ST5, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 12/20/26 | 10000000 | 472989 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2021-ST1, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 02/20/27 | 8571429 | 577241 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2021-ST4, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 07/20/27 | 8621000 | 811561 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2021-ST7, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 09/20/29 | 7000000 | 1048847 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2021-ST8, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 10/20/29 | 2966000 | 590799 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, Series 2021-ST9, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 11/20/29 | 1000000 | 257243 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust Series 2020-ST5, Series 2021-ST5,<br> Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 07/20/27 | 5172000 | 532738 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Securitization Trust, Series 2024-1, Class C<sup>(b)</sup> | 8.68% | 11/20/34 | 1867000 | 1939440 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Securitization Trust, Series 2021-4, Class CERT<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 09/20/31 | 6175 | 579218 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Securitization Trust, Series 2022-1, Class C<sup>(b)</sup> | 5.71% | 03/20/32 | 500000 | 294250 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Securitization Trust, Series 2023-1, Class C<sup>(b)</sup> | 11.10% | 02/20/33 | 1251000 | 1279523 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Securitization Trust, Series 2023-2, Class C<sup>(b)(d)</sup> | 11.87% | 04/20/28 | 448000 | 477344 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Securitization Trust, Series 2023-2, Class C<sup>(b)(d)</sup> | 11.87% | 06/20/33 | 1119000 | 1192294 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Securitization Trust, Series 2025-1, Class C<sup>(b)</sup> | 9.27% | 04/20/35 | 1028000 | 1075802 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upstart Securitization Trust, Series 2025-2, Class D<sup>(b)(d)</sup> | 8.00% | 06/20/35 | 2433000 | 2465602 |
| &nbsp;&nbsp;&nbsp;&nbsp;Zip Master Trust, Series 2023-2, Class E<sup>(e)</sup> | 1M BBSW + 12.00% | 11/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;780000 | 520901 |
| &nbsp;&nbsp;&nbsp;&nbsp;Zip Master Trust, Series 2024-1, Class E<sup>(e)</sup> | 1M BBSW + 7.00% | 10/10/25 | 760000 | 498354 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** | **ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Zip Master Trust, Series 2024-1, Class F<sup>(e)</sup> | 1M BBSW + 8.00% | 10/10/25 | 760000 | $490923 |
| &nbsp;&nbsp;&nbsp;&nbsp;Zip Master Trust, Series 2024-2, Class E<sup>(e)</sup> | 1M BBSW + 6.00% | 09/10/27 | 740000 | 481431 |
| &nbsp;&nbsp;&nbsp;&nbsp;Zip Master Trust, Series 2025-1, Class E<sup>(d)(e)</sup> | 1M BBSW + 4.00% | 07/10/28 | 1140000 | 735212 |
| Total Consumer |  |  |  | $148830824 |
| **Other Asset-Backed Securities (6.58%)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Avant Loans Funding Trust, Series 2025-REV1, Class D<sup>(b)</sup> | 8.39% | 12/15/28 | $1500000 | 1500000 |
| &nbsp;&nbsp;&nbsp;&nbsp;BBVA Consumo FTA, Series 2025-1, Class E<sup>(e)</sup> | 3M EUR L + 6.00% | 11/21/31 | 1100000 | 1279513 |
| &nbsp;&nbsp;&nbsp;&nbsp;Business Mortgage Finance 7 PLC, Series 2007-7X, Class M1<sup>(e)</sup> | SONIA IR + 2.37% | 02/15/41 | £407541 | 469428 |
| &nbsp;&nbsp;&nbsp;&nbsp;CFG Investments, Ltd., Series 2025-1, Class B<sup>(b)(d)</sup> | 9.16% | 07/25/29 | $1982000 | 1996270 |
| &nbsp;&nbsp;&nbsp;&nbsp;Conn's Receivables Funding LLC, Series 2023-A, Class B<sup>(b)</sup> | 10.00% | 01/17/28 | 829210 | 836010 |
| &nbsp;&nbsp;&nbsp;&nbsp;Conn's Receivables Funding LLC, Series 2024-A, Class B<sup>(b)</sup> | 9.80% | 05/15/25 | 557240 | 554788 |
| &nbsp;&nbsp;&nbsp;&nbsp;Conn's Receivables Funding LLC, Series 2024-A, Class C<sup>(b)(h)</sup> | 10.34% | 08/15/25 | 1080000 | 696708 |
| &nbsp;&nbsp;&nbsp;&nbsp;FCT Ponant 1, Series 2025-1, Class F<sup>(e)</sup> | 1M EUR L + 3.99% | 09/27/38 | 700000 | 799196 |
| &nbsp;&nbsp;&nbsp;&nbsp;Flagstar Financial, Inc.<sup>(d)(e)</sup> | 3M CME TERM SOFR + 3.04% | 11/06/28 | $9000000 | 8495099 |
| &nbsp;&nbsp;&nbsp;&nbsp;Foundation Finance Trust 2025-2, Series 2025-2A, Class E<sup>(b)(d)</sup> | 8.35% | 04/15/52 | 1338000 | 1334120 |
| &nbsp;&nbsp;&nbsp;&nbsp;Island Finance Trust 2025-1, Series 2025-1A, Class B<sup>(b)</sup> | 7.95% | 03/19/35 | 750000 | 768900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Island Finance Trust 2025-1, Series 2025-1A, Class C<sup>(b)</sup> | 10.00% | 03/19/35 | 802000 | 804486 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mariner Finance Issuance Trust 2025-A, Series 2025-AA, Class E<sup>(b)(d)</sup> | 8.64% | 07/20/30 | 750000 | 764475 |
| &nbsp;&nbsp;&nbsp;&nbsp;MMP Capital LLC, Series 2025-A, Class C<sup>(b)</sup> | 8.41% | 12/15/31 | 750000 | 765750 |
| &nbsp;&nbsp;&nbsp;&nbsp;MPT Operating Partnership LP / MPT Finance Corp.<sup>(b)(h)</sup> | 8.50% | 02/15/32 | 471000 | 490229 |
| &nbsp;&nbsp;&nbsp;&nbsp;National Collegiate Student Loan Trust, Series 2005-3, Class B<sup>(e)</sup> | 1M CME TERM SOFR + 0.61% | 07/27/37 | 2143734 | 1785302 |
| &nbsp;&nbsp;&nbsp;&nbsp;Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 07/15/69 | 2514 | 755533 |
| &nbsp;&nbsp;&nbsp;&nbsp;NOW Trust, Series 2025-1, Class E<sup>(e)</sup> | 1M BBSW + 3.50% | 02/14/34 | 1190000 | 765467 |
| &nbsp;&nbsp;&nbsp;&nbsp;Oportun Funding Trust, Series 2025-1, Class D<sup>(b)</sup> | 8.27% | 08/16/32 | $750000 | 752400 |
| &nbsp;&nbsp;&nbsp;&nbsp;Oportun Issuance Trust, Series 2025-B, Class E<sup>(b)(d)</sup> | 9.40% | 05/09/33 | 2250000 | 2233350 |
| &nbsp;&nbsp;&nbsp;&nbsp;SBL Holdings, Inc.<sup>(b)(d)(e)(i)</sup> | 5Y US TI + 5.62% | 12/31/99 | 4250000 | 3963173 |
| &nbsp;&nbsp;&nbsp;&nbsp;Small Business Origination Loan Trust DAC, Series 2024-1, <br> Class D<sup>(e)</sup> | SONIA IR + 4.25% | 12/15/35 | £247965 | 334830 |
| &nbsp;&nbsp;&nbsp;&nbsp;Small Business Origination Loan Trust DAC, Series 2025-1, <br> Class B<sup>(d)(e)</sup> | SONIA IR + 2.60% | 12/15/36 | 661190 | 873056 |
| &nbsp;&nbsp;&nbsp;&nbsp;Small Business Origination Loan Trust DAC, Series 2025-1, <br> Class C<sup>(d)(e)</sup> | SONIA IR + 2.60% | 12/15/36 | 2152307 | 2832583 |
| &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program, Series 2020-A, Class R1<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 05/15/46 | $14661 | 195247 |
| &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program, Series 2018-D, Class R1<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 02/25/48 | 27236 | 164522 |
| &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program, Series 2020-A, Class R1<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 05/15/46 | 10720 | 142763 |
| &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program, Series 2020-B, Class R1<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 05/15/46 | 15664 | 366699 |
| &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program, Series 2021-A, Class R1<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 08/17/43 | 35142 | 325825 |
| &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program, Series 2021-B, Class R1<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 02/15/47 | 14625 | 399119 |
| &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC, Series 2019-A, Class R1<sup>(b)(h)</sup> | N/A<sup>(g)</sup> | 06/15/48 | 32016 | 150545 |
| &nbsp;&nbsp;&nbsp;&nbsp;Stream Innovations 2025-1 Issuer Trust, Series 2025-1A, Class D<sup>(b)(d)</sup> | 8.40% | 09/15/45 | 2350000 | 2404990 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upgrade Receivables Trust 2024-1, Series 2024-1A, Class D<sup>(b)</sup> | 8.90% | 03/15/28 | 3020000 | 3079192 |
| &nbsp;&nbsp;&nbsp;&nbsp;Upgrade Receivables Trust 2024-1, Series 2024-1A, Class E<sup>(b)(d)</sup> | 11.53% | 06/15/28 | 1322000 | 1334030 |
| &nbsp;&nbsp;&nbsp;&nbsp;Youni Italy Srl, Series 2025-1, Class X<sup>(e)</sup> | 1M EUR L + 4.00% | 04/25/35 | 506587 | 583180 |
| Total Other Asset-Backed Securities |  |  |  | $44996778 |
| **TOTAL ASSET-BACKED SECURITIES (Cost $329,231,632)** |  |  |  | $**324800751** |
| **COLLATERALIZED LOAN OBLIGATIONS (12.34%)(e)** | **COLLATERALIZED LOAN OBLIGATIONS (12.34%)(e)** | **COLLATERALIZED LOAN OBLIGATIONS (12.34%)(e)** | **COLLATERALIZED LOAN OBLIGATIONS (12.34%)(e)** | **COLLATERALIZED LOAN OBLIGATIONS (12.34%)(e)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Bain Capital Credit CLO 2018-2, Series 2018-2A, Class F<sup>(b)</sup> | 3M CME TERM SOFR + 7.86% | 07/19/31 | $1538000 | $1314375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bain Capital Credit CLO 2018-2, Series 2018-2X, Class F | 3M CME TERM SOFR + 7.86% | 07/19/31 | 192000 | 164083 |
| &nbsp;&nbsp;&nbsp;&nbsp;Benefit Street Partners CLO XXIII, Ltd., Series 2025-23A, <br> Class ER<sup>(b)</sup> | 3M CME TERM SOFR + 5.25% | 04/25/34 | 750000 | 750000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Brant Point CLO 2023-1, Ltd., Series 2025-1A, Class D1R<sup>(b)(h)</sup> | 3M CME TERM SOFR + 3.50% | 07/26/38 | 1454000 | 1454000 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **COLLATERALIZED LOAN OBLIGATIONS (continued)** | **COLLATERALIZED LOAN OBLIGATIONS (continued)** | **COLLATERALIZED LOAN OBLIGATIONS (continued)** | **COLLATERALIZED LOAN OBLIGATIONS (continued)** | **COLLATERALIZED LOAN OBLIGATIONS (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Brant Point CLO 2023-1, Ltd., Series 2025-1A, Class ER<sup>(b)(h)</sup> | 3M CME TERM SOFR + 7.10% | 07/26/38 | $750000 | $750000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Carlyle Global Market Strategies CLO 2015-5, Ltd., Series 2019-5A, Class DR<sup>(b)</sup> | 3M CME TERM SOFR + 6.96% | 01/20/32 | 1097000 | 1099852 |
| &nbsp;&nbsp;&nbsp;&nbsp;Chenango Park CLO, Ltd., Series 2025-1A, Class CR<sup>(b)</sup> | 3M CME TERM SOFR + 2.75% | 04/15/30 | 750000 | 754125 |
| &nbsp;&nbsp;&nbsp;&nbsp;Comvest Credit 2025-2 CLO LP, Series 2025-2A, Class A1<sup>(b)</sup> | 3M CME TERM SOFR + 1.67% | 10/15/37 | 6912000 | 6912000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Davis Park CLO, Ltd., Series 2025-1A, Class D1R<sup>(b)</sup> | 3M CME TERM SOFR + 3.10% | 07/20/38 | 750000 | 750000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Davis Park CLO, Ltd., Series 2025-1A, Class ER<sup>(b)</sup> | 3M CME TERM SOFR + 6.00% | 07/20/38 | 750000 | 750000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Elmwood CLO X, Ltd., Series 2025-3A, Class ER2<sup>(b)</sup> | 3M CME TERM SOFR + 5.95% | 07/20/38 | 750000 | 754650 |
| &nbsp;&nbsp;&nbsp;&nbsp;Flatiron CLO 19, Ltd., Series 2025-1A, Class DR2<sup>(b)</sup> | 3M CME TERM SOFR + 2.90% | 11/16/34 | 750000 | 754875 |
| &nbsp;&nbsp;&nbsp;&nbsp;Generate CLO 11, Ltd., Series 2024-11A, Class ER<sup>(b)</sup> | 3M CME TERM SOFR + 7.30% | 10/20/37 | 5287000 | 5292816 |
| &nbsp;&nbsp;&nbsp;&nbsp;Generate CLO 12, Ltd., Series 2025-12A, Class AR<sup>(h)</sup> | 3M CME TERM SOFR + 1.33% | 07/20/38 | 9919000 | 9919000 |
| &nbsp;&nbsp;&nbsp;&nbsp;ICG US Clo 2021-1, Ltd., Series 2021-1A, Class E<sup>(b)</sup> | 3M CME TERM SOFR + 6.59% | 04/17/34 | 1150000 | 1078815 |
| &nbsp;&nbsp;&nbsp;&nbsp;Madison Park Funding LXII, Ltd., Series 2025-62A, Class ER2<sup>(b)</sup> | 3M CME TERM SOFR + 6.75% | 07/16/38 | 856000 | 856000 |
| &nbsp;&nbsp;&nbsp;&nbsp;MCF CLO VII LLC, Series 2025-3A, Class BR2<sup>(b)</sup> | 3M CME TERM SOFR + 1.90% | 07/20/37 | 1138000 | 1138000 |
| &nbsp;&nbsp;&nbsp;&nbsp;MCF CLO VII LLC, Series 2025-3A, Class C1R2<sup>(b)</sup> | 3M CME TERM SOFR + 2.40% | 07/20/37 | 1076000 | 1076000 |
| &nbsp;&nbsp;&nbsp;&nbsp;MCF CLO VII LLC, Series 2025-3A, Class D1R2<sup>(b)</sup> | 3M CME TERM SOFR + 3.45% | 07/20/37 | 2057000 | 2057000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Neuberger Berman Loan Advisers CLO 34, Ltd., Series 2025-34A,<br> Class A1R2<sup>(b)</sup> | 3M CME TERM SOFR + 1.30% | 07/20/39 | 6346000 | 6346000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Northwoods Capital 27, Ltd., Series 2025-27A, Class A1R<sup>(b)</sup> | 3M CME TERM SOFR + 1.18% | 10/17/34 | 3313000 | 3313000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Northwoods Capital 27, Ltd., Series 2025-27A, Class CR<sup>(b)</sup> | 3M CME TERM SOFR + 2.00% | 10/17/34 | 1305000 | 1305000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Northwoods Capital XII-B, Ltd., Series 2018-12BA, Class D<sup>(b)</sup> | 3M CME TERM SOFR + 3.41% | 06/15/31 | 1264000 | 1263115 |
| &nbsp;&nbsp;&nbsp;&nbsp;OHA Credit Funding 4, Ltd., Series 2019-4A, Class SUB<sup>(b)</sup> | N/A<sup>(g)</sup> | 10/22/32 | 820000 | 688800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OZLM XI, Ltd., Series 2017-11X, Class ER | 3M CME TERM SOFR + 8.71% | 10/30/30 | 174010 | 17332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PLMRS 2021-3A BR | 3M CME TERM SOFR + 1.65% | 10/15/38 | 7779000 | 7779000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Rad CLO 12, Ltd., Series 2025-12A, Class A1AR<sup>(b)</sup> | 3M CME TERM SOFR + 1.32% | 07/30/40 | 2994000 | 2994000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Rad CLO 12, Ltd., Series 2025-12A, Class DR<sup>(b)</sup> | 3M CME TERM SOFR + 6.65% | 07/30/40 | 3179000 | 3179000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Riserva Clo, Ltd., Series 2021-3A, Class ERR<sup>(b)</sup> | 3M CME TERM SOFR + 6.76% | 01/18/34 | 1432000 | 1387322 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shackleton 2013-IV-R CLO, Ltd., Series 2018-4RA, Class D<sup>(b)</sup> | 3M CME TERM SOFR + 6.11% | 04/13/31 | 3175000 | 3143250 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shackleton 2013-IV-R CLO, Ltd., Series 2020-4RA, Class A2BR<sup>(b)</sup> | 2.78% | 04/13/31 | 1113000 | 1072598 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shackleton 2019-XIV Clo, Ltd., Series 2025-14A, Class CRR<sup>(b)</sup> | 3M CME TERM SOFR + 1.90% | 07/20/34 | 874000 | 874000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shackleton 2019-XIV Clo, Ltd., Series 2025-14A, Class DRR<sup>(b)</sup> | 3M CME TERM SOFR + 3.00% | 07/20/34 | 1193000 | 1193000 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date<sup>(a)</sup>** | **Principal<br> Amount** | **Fair<br> Value** |
| **COLLATERALIZED LOAN OBLIGATIONS (continued)** | **COLLATERALIZED LOAN OBLIGATIONS (continued)** | **COLLATERALIZED LOAN OBLIGATIONS (continued)** | **COLLATERALIZED LOAN OBLIGATIONS (continued)** | **COLLATERALIZED LOAN OBLIGATIONS (continued)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Symphony CLO XXIX, Ltd., Series 2025-29A, Class ER<sup>(b)</sup> | 3M CME TERM SOFR + 5.80% | 10/15/35 | $1077000 | $1077000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Symphony CLO XXXII, Ltd., Series 2025-32A, Class ER<sup>(b)</sup> | 3M CME TERM SOFR + 5.80% | 10/23/35 | 2739000 | 2739000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B<sup>(b)</sup> | 3M CME TERM SOFR + 1.16% | 11/05/35 | 529000 | 89930 |
| &nbsp;&nbsp;&nbsp;&nbsp;TCI-Flatiron Clo 2018-1, Ltd., Series 2025-1A, Class ER2<sup>(b)</sup> | 3M CME TERM SOFR + 5.15% | 07/29/35 | 3519000 | 3519000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Venture 35 CLO, Ltd., Series 2018-35A, Class D<sup>(b)</sup> | 3M CME TERM SOFR + 3.76% | 10/22/31 | 1896000 | 1823383 |
| &nbsp;&nbsp;&nbsp;&nbsp;Venture XXIX CLO, Ltd., Series 2017-29A, Class D<sup>(b)</sup> | 3M CME TERM SOFR + 4.16% | 09/07/30 | 2373000 | 2272622 |
| &nbsp;&nbsp;&nbsp;&nbsp;Whitebox CLO IV, Ltd., Series 2025-4A, Class D2R<sup>(b)</sup> | 3M CME TERM SOFR + 6.00% | 04/20/36 | 750000 | 751875 |
| **TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $84,194,942)** |  |  |  | $**84453818** |
| **PRIVATE SECURED DEBT (3.29%)** | **PRIVATE SECURED DEBT (3.29%)** | **PRIVATE SECURED DEBT (3.29%)** | **PRIVATE SECURED DEBT (3.29%)** | **PRIVATE SECURED DEBT (3.29%)** |
| &nbsp;&nbsp;&nbsp;&nbsp;BriteCap SPV 3 LLC, Loan Facility<sup>(e)(h)(j)</sup> | 1M CME TERM SOFR + 6.75% | 06/30/27 | $3438564 | 3438564 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bullock Legal Group, Loan Facility<sup>(h)(j)</sup> | 1M CME TERM SOFR + 13.00%, 18.00% | 03/28/28 | 1765818 | 1765818 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cherry SPV III (2023) LLC, Class B Facility<sup>(h)(j)</sup> | 1M CME TERM SOFR + 10.50% | 01/27/28 | 393064 | 393064 |
| &nbsp;&nbsp;&nbsp;&nbsp;Experity 2025-A 4(a)(2) Class B<sup>(h)</sup> | 12.00% | 06/22/37 | 2800000 | 2800000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Jonas Catalog Holdings I, LLC, Term Loan<sup>(h)(j)</sup> | 11.00% | 09/19/29 | 1960584 | 1960584 |
| &nbsp;&nbsp;&nbsp;&nbsp;Matthew R. Stubbs, LLC, Tranche B Facility Interest<sup>(h)</sup> | 12.00% | 03/23/26 | 5000000 | 5000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reach Consumer 2022-1, LLC, Class B Facility<sup>(e)(h)(j)</sup> | 1M CME TERM SOFR + 8.50% | 11/29/27 | 377751 | 377751 |
| &nbsp;&nbsp;&nbsp;&nbsp;RSD Funding 2025, LLC, Participation Interest<sup>(h)(j)</sup> | 12.00% | 09/13/27 | 2869063 | 2869063 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sandpiper Funding 2023, LLC, Participation Interest<sup>(h)</sup> | 12.00% | 12/06/26 | 1912914 | 1912915 |
| &nbsp;&nbsp;&nbsp;&nbsp;SWF Funding LLC, Loan Facility<sup>(e)(h)(j)</sup> | 1M CME TERM SOFR + 8.00% | 09/23/27 | 1979350 | 1979350 |
| **TOTAL PRIVATE SECURED DEBT (Cost $22,380,306)** |  |  |  | $**22497109** |

---

---

| | | | |
|:---|:---|:---|:---|
| | | **Shares** | **Fair<br> Value** |
| **PREFERRED STOCKS (1.43%)<sup>(e)(i)</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brighthouse Financial, Inc. | 6.60% | 18000 | $297720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brighthouse Financial, Inc. | 5.38% | 12000 | 161280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brighthouse Financial, Inc. | 4.63% | 16000 | 190400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Enstar Group, Ltd. Series D | 7.00% | 29298 | 673854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Enstar Group, Ltd. Series E | 7.00% | 56000 | 1122800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KKR Real Estate Finance Trust, Inc. | 6.50% | 108779 | 2250638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;New York Mortgage Trust, Inc. | 9.88% | 40000 | 998000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;New York Mortgage Trust, Inc., Series D | 8.00% | 26661 | 579344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;New York Mortgage Trust, Inc., Series E | 7.88% | 37020 | 916615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rithm Capital Corp. | 6.38% | 102405 | 2589822 |
| **TOTAL PREFERRED STOCKS (Cost $9,308,093)** |  |  | $**9780473** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Rate** | **Maturity<br> Date** | **Principal<br> Amount** | **Fair<br> Value** |
| **SHORT-TERM INVESTMENTS (10.92%)** | **SHORT-TERM INVESTMENTS (10.92%)** | **SHORT-TERM INVESTMENTS (10.92%)** | **SHORT-TERM INVESTMENTS (10.92%)** | **SHORT-TERM INVESTMENTS (10.92%)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Bill | 4.22% | 08/19/25 | $20000000 | $19957270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Bill | 4.24% | 08/21/25 | 30000000 | 29928669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Bill | 4.27% | 09/23/25 | 25000000 | 24842415 |
| **TOTAL SHORT-TERM INVESTMENTS (Cost $74,729,964)** |  |  |  | $**74728354** |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day<br> Yield** | **Shares** | **Fair<br> Value** |
| **MONEY MARKET FUNDS (9.10%)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Liquidity Funds T-Fund | 4.19% | 52671797 | $52671797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Liquidity Funds Treasury Trust Fund Portfolio | 4.18% | 2594545 | 2594545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BNY Mellon U.S. Treasury Fund, Institutional Class | 4.15% | 6960458 | 6960458 |
| **TOTAL MONEY MARKET FUNDS (Cost $62,226,800)** |  |  | $**62226800** |

---

---

| | |
|:---|:---|
| | **Fair<br> Value** |
| **TOTAL INVESTMENTS (136.38%) (Cost $929,148,658)** | 933012570 |
| **Liabilities in Excess of Other Assets (-36.38%)<sup>(k)</sup>** | (248861709) |
| **NET ASSETS (100.00%)** | $**684150861** |

---

*Percentages above are stated as a percentage of net assets as of July 31, 2025*

---

| |
|:---|
| **Investment Abbreviations:** |
| EURIBOR - Euro Interbank Offered Rate |
| SONIA IR - Sterling Over Night Index Average |
| BBSW - Bank Bill Swap Rate |
| SOFR - Secured Overnight Financing Rate |
| **Reference Rates as of July 31, 2025:** |
| 1M EUR L - 1 Month EURIBOR was 1.89% |
| 3M EUR L - 3 Month EURIBOR was 2.01% |
| 1M BBSW - 1 Month BBSW was 3.68% |
| 5Y US TI - US Treasury Yield was 3.96% |
| 30D US SOFR - 30 Day US SOFR was 4.34% |
| 12M US FED – 12 Month US FED was 4.15% |
| 1M CME TERM SOFR - CME Term SOFR 1 Month was 4.35% |
| 3M CME TERM SOFR - CME Term SOFR 3 Month was 4.30% |
| SONIA - SONIA Overnight Interest Rate was 4.22% |

---

*<sup>(a)</sup>* *The maturity date for credit investments represents the expected maturity. Many of the instruments are callable through cash flows on the underlying securities or other call features. Expected maturity may be earlier than legal maturity.*

*<sup>(b)</sup>* *Securities not registered under the Securities Act of 1933, as amended (the "Securities Act"). These securities generally involve certain transfer restrictions and may be sold in the ordinary course of business in transactions exempt from registration. As of July 31, 2025, the aggregate market value of those securities was $511,248,190, representing 74.73% of net assets.*

*<sup>(c)</sup>* *Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at July 31, 2025.*

*<sup>(d)</sup>* *On July 31, 2025, all or a portion of these securities were pledged as collateral for reverse repurchase agreements in the amount of $313,133,836.*

*<sup>(e)</sup>* *Floating or variable rate security. The Reference Rate is described above. Interest rate shown reflects the rate in effect at July 31, 2025. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.*

*<sup>(f)</sup>* *Interest only security.*

*<sup>(g)</sup>* *This security is a residual or equity position that does not have a stated interest rate. This residual or equity position is entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses.* 

*<sup>(h)</sup>* *This security has been classified as level 3 in accordance with ASC 820 as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.*

*<sup>(i)</sup>* *Perpetual maturity.*

*<sup>(j)</sup>* *Securities have associated unfunded commitments of $2,561,955 to Reach Consumer 2022-1, LLC, Class B Facility, $1,561,436 to BriteCap UniTranche Warehouse, $1,790,788 to SWF Funding LLC, Loan Facility, $1,406,936 to Cherry SPV III 2023 LLC, Class B Facility, $880,937 to RSD Funding 2025, LLC, Participation Interest, $1,234,182 to Bullock Legal Group, Loan Facility and $2,539,416 to Jonas Catalog Holdings I, Term Loan, respectively.*

*<sup>(k)</sup>* *Includes cash being held as collateral for derivatives and reverse repurchase agreements.*

**<u>DERIVATIVE INSTRUMENTS</u>**

**CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION (OVER THE COUNTER)<sup>(a)</sup>**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Obligations** | **Counterparty** | **Fixed Deal<br> Receive Rate** | **Currency** | **Maturity Date** | **Implied Credit Spread at July 31, 2025<sup>(b)</sup>** | **Notional Amount<sup>(c)</sup>** | **Value** | **Upfront Premiums Received/(Paid)** | **Unrealized Appreciation/ (Depreciation)** |
| Markit CMBX BBB- Index, Series 15 | Morgan Stanley | 3.00% | USD | 11/18/64 | 6.77% | $7000000 | $(1039500) | $1300625 | $261125 |
| Markit CMBX BB Index, Series 14 | Morgan Stanley | 5.00% | USD | 12/16/72 | 19.66% | 2000000 | (667917) | 808750 | 140833 |
|  |  |  |  |  |  |  | $(1707417) | $2109375 | $401958 |

---

**CREDIT DEFAULT SWAP CONTRACTS ON CREDIT INDICES ISSUE - SELL PROTECTION (CENTRALLY CLEARED)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Obligations** | **Fixed Deal<br> Receive Rate** | **Currency** | **Maturity Date** | **Implied Credit Spread at July 31, 2025<sup>(b)</sup>** | **Notional Amount<sup>(c)</sup>** | **Value** | **Upfront Premiums Received/(Paid)** | **Unrealized Appreciation/ (Depreciation)** |
| Markit CDX NA Investment Grade Index, Series 44 ICE | 1.00% | USD | 6/20/30 | 0.51% | $118350 | $2563 | $(1912) | $651 |
| Markit CDX NA High Yield Index, Series 44 ICE | 5.00% | USD | 6/20/30 | 3.23% | 31625440 | 2284072 | (1416139) | 867933 |
|  |  |  |  |  |  | $2286635 | $(1418051) | $868584 |

---

**CREDIT DEFAULT SWAP CONTRACTS ON CREDIT INDICES ISSUE - BUY PROTECTION (CENTRALLY CLEARED)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Obligations** | **Fixed Deal<br> Receive Rate** | **Currency** | **Maturity Date** | **Implied Credit Spread at July 31, 2025<sup>(b)</sup>** | **Notional Amount<sup>(c)</sup>** | **Value** | **Upfront Premiums Received/(Paid)** | **Unrealized Appreciation/ (Depreciation)** |
| Markit CDX NA High Yield Index, Series 41 ICE | 5.00% | USD | 12/20/28 | 2.65% | $5940 | $(424) | $307 | $(117) |
| Markit CDX NA High Yield Index, Series 43 ICE | 5.00% | USD | 12/20/29 | 3.13% | 1494 | (104) | 59 | (45) |
|  |  |  |  |  |  | $(528) | $366 | $(162) |

---

*Credit default swaps pay quarterly.* 

*<sup>(a)</sup>* *If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.*

*<sup>(b)</sup>* *Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.*

*<sup>(c)</sup>* *The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.*

**INTEREST RATE SWAP CONTRACTS (CENTRALLY CLEARED)**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Pay/Receive Floating Rate** | **Clearing House** | **Floating Rate** | **Expiration Date** | **Notional Amount** | **Currency** | **Fixed Rate** | **Unrealized<br> Appreciation/(Depreciation)** |
| Pay | LCH Ltd. | SOFR | 06/20/2030 | $45380000 | USD | 3.58% | $20536 |
| Pay | LCH Ltd. | SOFR | 06/20/2027 | 33775000 | USD | 3.59% | 96053 |
| Pay | LCH Ltd. | SOFR | 06/20/2032 | 1911000 | USD | 3.63% | 5395 |
| Pay | LCH Ltd. | SOFR | 06/20/2029 | 21700000 | USD | 4.01% | 338091 |
| Pay | LCH Ltd. | SOFR | 04/04/2030 | 48000 | USD | 4.06% | 836 |
| Pay | LCH Ltd. | SOFR | 04/04/2028 | 415000 | USD | 4.11% | 6036 |
| Pay | LCH Ltd. | SOFR | 04/05/2027 | 21000 | USD | 4.35% | 181 |
|  |  |  |  |  |  |  | $467128 |
| Receive | LCH Ltd. | SOFR | 06/20/2030 | $2390000 | USD | 3.97% | $(40371) |
| Receive | LCH Ltd. | SOFR | 06/20/2028 | 34306000 | USD | 4.08% | (445843) |
| Receive | LCH Ltd. | SOFR | 04/04/2029 | 29896000 | USD | 4.11% | (540166) |
| Receive | LCH Ltd. | SOFR | 06/20/2027 | 300000 | USD | 4.21% | (2531) |
|  |  |  |  |  |  |  | $(1028911) |

---

**FUTURES CONTRACTS - LONG (CENTRALLY CLEARED)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Position** | **Contracts** | **Expiration<br> Date** | **Notional<br> Amount** | **Unrealized<br> Appreciation/<br> (Depreciation)** |
| 2-YR U.S. TREASURY NOTE | Wells Fargo Securities, LLC | Long | 83 | September 2025 | $17179703 | $(25594) |
|  |  |  |  |  | $17179703 | $(25594) |

---

**FUTURES CONTRACTS - SHORT (CENTRALLY CLEARED)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Position** | **Contracts** | **Expiration<br> Date** | **Notional<br> Amount** | **Unrealized<br> Appreciation/<br> (Depreciation)** |
| 5-YR U.S. TREASURY NOTE | Wells Fargo Securities, LLC | Short | 498 | September 2025 | $(53869594) | $(54232) |
| 10-YR U.S. TREASURY NOTE | Wells Fargo Securities, LLC | Short | 59 | September 2025 | (6552687) | (32133) |
| AUD/USD CURRENCY | Wells Fargo Securities, LLC | Short | 117 | September 2025 | (7530705) | 119340 |
| EUR/BOB CURRENCY | Wells Fargo Securities, LLC | Short | 4 | September 2025 | (536088) | 3459 |
| EUR/USD CURRENCY | Wells Fargo Securities, LLC | Short | 415 | September 2025 | (59451344) | 1150794 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | | **Position** | **Contracts** | **Expiration<br> Date** | **Notional<br> Amount** | **Unrealized<br> Appreciation/<br> (Depreciation)** |
| GBP/USD CURRENCY | Wells Fargo Securities, LLC | Short | 487 | September 2025 | $(40250550) | $1217500 |
| SEK/USD CURRENCY | Wells Fargo Securities, LLC | Short | 16 | September 2025 | (3284000) | 140800 |
|  |  |  |  |  | (171474968) | $2545528 |

---

*See Notes to Quarterly Consolidated Schedule of Investments.*

**1WS CREDIT INCOME FUND**

**NOTES TO QUARTERLY CONSOLIDATED SCHEDULE OF INVESTMENTS**

JULY 31, 2025 (Unaudited)

**NOTE 1. ORGANIZATION**

1WS Credit Income Fund ("1WS Credit" or the "Fund") is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified, closed-end management investment company that continuously offers its shares of beneficial interest (''Shares''). 1WS Credit operates as an interval fund under Rule 23c-3 of the 1940 Act and, as such, has adopted a policy to make quarterly repurchase offers at a price equal to net asset value (''NAV'') per Share of at least 5% of outstanding Shares.

1WS Credit's investment objective is to seek attractive risk-adjusted total returns through generating income and capital appreciation. 1WS Credit will seek to achieve its investment objective by investing primarily in a wide array of structured credit and securitized debt instruments. There can be no assurance that the Fund's investment objective will be achieved.

1WS Credit was organized as a Delaware statutory trust on July 20, 2018 pursuant to an Agreement and Declaration of Trust governed by the laws of the State of Delaware. 1WS Credit had no operations from that date to March 4, 2019, commencement of operations, other than those related to organizational matters and the registration of its Shares under applicable securities laws. 1WS Credit wholly owns and consolidates 1WSCI Sub I, LLC (the "Cayman Islands SPV"), an exempted company incorporated in the Cayman Islands on February 22, 2019. The Cayman Islands SPV is an investment vehicle formed to make certain investments on behalf of 1WS Credit. 1WS Credit is the managing and sole member of the Cayman Islands SPV pursuant to a limited liability agreement dated March 1, 2019. 1WS Credit also wholly owns and consolidates 1WSCIF REIT, LLC (the "REIT SPV"), a Delaware limited liability company formed on February 21, 2024, to make certain real estate investments on behalf of 1WS Credit. 1WS Credit is the managing and sole member of the REIT SPV pursuant to a limited liability agreement dated February 21, 2024. The REIT SPV completed a private placement of 125 shares of Class A Non-Voting Preferred Units (the "Preferred Units") for aggregate gross proceeds of $125,000. The Preferred Units have a liquidation preference of $1,000 per share, plus an amount equal to accrued but unpaid dividends. The Preferred Units' dividends are cumulative at a rate of 12.0% per annum of the initial $1,000 purchase price. Where context requires, the "Fund" includes the Fund, the Cayman Islands SPV and the REIT SPV.

1WS Capital Advisors, LLC (the ''Adviser'' or ''1WS'') serves as the investment adviser of the Fund. 1WS is a Delaware limited liability company that is registered as an investment adviser with the Securities and Exchange Commission (the ''SEC'') under the Investment Advisers Act of 1940 (the ''Advisers Act''). The Adviser is controlled by its managing member, One William Street Capital Management, L.P. (''OWS''), which is also registered with the SEC as an investment adviser. The Fund's portfolio manager and other personnel of the Adviser have substantial experience in managing investments and investment funds, including funds which have investment programs similar to that of the Fund.

The Fund currently offers Institutional ("Class I") Shares and Brokerage Class ("Class A-2") Shares (collectively, the "Share Classes"). Both Share Classes of the Fund are being offered on a continuous basis at the NAV per Share calculated each day. Class A-2 Shares are offered subject to a maximum sales charge of 3.00% of their offering price and an asset-based distribution/shareholder servicing fee not to exceed 0.75% of its net assets and Class I shares are not subject to any sales load or asset-based distribution fee. Class A-2 Shares purchased without a sales charge may be subject to a 1.50% contingent deferred sales charge ("CDSC"). The Fund received exemptive relief from the SEC to issue multiple classes of Shares and to impose asset-based distribution fees as applicable. Class I and Class A-2 shares commenced operations on March 4, 2019 and May 1, 2021, respectively.

Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund's income, expenses (other than class specific service and distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

**NOTE 2. SIGNIFICANT ACCOUNTING POLICIES**

**Basis of Presentation:** The accompanying consolidated schedule of investments are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP") and are stated in United States dollars. The Fund is considered an investment company under GAAP and follows the accounting and reporting guidance for investment companies under Financial Accounting Standards Board's (''FASB'') Accounting Standards Codification (''ASC'') 946, *Financial Services-Investment Companies*, including accounting for investments at fair value.

The preparation of these consolidated schedule of investments in accordance with GAAP requires management to make certain estimates and assumptions that affect the amounts reported in the consolidated schedule and accompanying notes. The Adviser believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from such estimates and the differences could be material.

**Consolidation:** 1WS Credit consolidates its investment in the Cayman Islands SPV and its investment in the REIT SPV because 1WS Credit is the sole shareholder of these entities. In accordance with ASC 810, Consolidation, the accompanying consolidated financial statements include the Cayman Islands SPV's and REIT SPV's assets and liabilities and results of operations. All investments held by the Cayman Islands SPV and REIT SPV are disclosed in the Consolidated Schedule of Investments. All intercompany accounts and transactions have been eliminated upon consolidation.

**Investment Transactions:** Investment transactions are accounted for on a trade-date basis for financial reporting purposes and amounts payable or receivable for trades not settled at the time of year end are reflected as liabilities and assets, respectively. Interest is recorded on an accrual basis. Realized gains and losses on investment transactions reflected in the consolidated statement of operations are recorded on a first-in, first-out basis. Premiums on fixed-income securities and discounts on non-distressed fixed-income securities are amortized and recorded within interest income in the consolidated statement of operations.

The Fund may enter into derivative contracts for hedging purposes or to gain synthetic exposures to certain investments ("Derivatives"). Derivatives are financial instruments whose values are based on an underlying asset, index, or reference rate and include futures, swaps, swaptions, options, or other financial instruments with similar characteristics.

The Board of Trustees (the "Board") has adopted valuation policies and procedures for the Fund and has delegated the day-to-day responsibility for fair value determinations to the Adviser, the Fund's "Valuation Designee" (as such term is defined in Rule 2a-5 of the 1940 Act).

**Fund Valuation:** Class I and Class A-2 Shares are offered at NAV. The NAV per share of each class is determined daily. The Fund's NAV per share is calculated by subtracting liabilities (including accrued expenses and indebtedness) from the total assets of the Fund (the value of the investments plus cash or other assets, including interest accrued but not yet received). The Fund's NAV is then allocated pro-rata between the share classes, adjusting for share class specific liabilities. The NAV of each share class is then divided by the total number of Shares outstanding of each share class at each day's end.

**NOTE 3. PORTFOLIO VALUATION**

ASC 820 *Fair Value Measurement* defines fair value as an exit price representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. ASC 820 establishes a fair value hierarchy for inputs used in measuring fair value and maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing the use of the most observable input when available.

Valuation inputs broadly refer to the assumptions market participants would use in pricing the asset or liability, including assumptions about risk. ASC 820 distinguishes between: (i) observable inputs, which are based on market data obtained from parties independent of the reporting entity, and (ii) unobservable inputs, which reflect the Adviser's own assumptions about the judgments market participants would use. A financial instrument's level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the fair value measurement. When a valuation uses multiple inputs from varying levels of the fair value hierarchy, the hierarchy level is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

---

| | |
|:---|:---|
| Level 1— | Inputs that are unadjusted, quoted prices in active markets for identical assets or liabilities. |
| Level 2— | Inputs (other than quoted prices included in Level 1) that are observable, either directly or indirectly. |
| Level 3— | Inputs that are unobservable and reflect the Adviser's best estimate of what market participants would use in pricing the asset or liability. This includes situations where there is little, if any, market activity for the asset or liability. |

---

Generally, the Fund expects to be able to obtain pricing from independent third-party sources on many of its investments. However, in certain circumstances where such inputs are difficult or impractical to obtain, the Fund may fair value certain investments using internal manager marks. As of July 31, 2025, 4.44% of the investments held by the Fund were valued using internal manager marks.

The following factors may be pertinent in determining fair value: security covenants, call protection provisions and information rights; cash flows, the nature and realizable value of any collateral; the debt instrument's ability to make payments; the principal markets and financial environment in which the debt instrument operates; publicly available financial ratios of peer companies; changes in interest rates for similar debt instruments; and enterprise values, among other relevant factors.

Determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of investments that do not have readily available market quotations, the fair value of these investments may differ significantly from the values that would have been used had such market quotations existed for such investments, and any such differences could be material. Accordingly, under current accounting standards, the notes to the Fund's consolidated financial statements will refer to the uncertainty with respect to the possible effect of such valuations, and any change in such valuations, on the Fund's financial statements.

The following tables summarize the Fund's financial instruments classified as assets and liabilities measured at fair value by level within the fair value hierarchy as of July 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Fair Value** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Residential Mortgage-Backed Securities | $– | $244035913 | $– | $244035913 |
| Commercial Mortgage-Backed Securities |  | 106247495 | 4241857 | 110489352 |
| Asset-Backed Securities |  | 296371428 | 28429323 | 324800751 |
| Collateralized Loan Obligations |  | 72330818 | 12123000 | 84453818 |
| Private Secured Debt |  |  | 22497109 | 22497109 |
| Preferred Stocks | 9780473 |  |  | 9780473 |
| Short-Term Investments | 74728354 |  |  | 74728354 |
| Money Market Funds | 62226800 | – | – | 62226800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $146735627 | $718985654 | $67291289 | $933012570 |
| **Derivative Instruments** |  |  |  |  |
| **Assets:** | **Assets:** | **Assets:** | **Assets:** | **Assets:** |
| Credit Default Swap Contracts | $– | $1270542 | $– | $1270542 |
| Interest Rate Swap Contracts |  | 467128 |  | 467128 |
| Future Contracts | 2631893 |  |  | 2631893 |
| **Liabilities:** | **Liabilities:** | **Liabilities:** | **Liabilities:** | **Liabilities:** |
| Credit Default Swap Contracts | $– | $(162) | $– | $(162) |
| Interest Rate Swap Contracts |  | (1028911) | $– | (1028911) |
| Future Contracts | (111959) | – | $– | (111959) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $2519934 | $708597 | $– | $3228531 |

---

There were no changes in valuation technique.

The following table discloses the purchase of Level 3 portfolio investments as well as the value of transfers into or out of Level 3 for the period ended July 31, 2025 of the Fund's Level 3 portfolio investments:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Commercial Mortgage-<br> Backed Securities** | **Asset<br> Backed Securities** | **Collateralized Loan<br> Obligations** | **Private<br> Secured Debt** | **Total** |
| Balance as of October 31, 2024 | $4166784 | $10576071 | $- | $11942247 | $26685102 |
| &nbsp;&nbsp;&nbsp;Accrued discount/ premium |  | 1637393 |  | 51938 | 1695621 |
| &nbsp;&nbsp;&nbsp;Return of Capital |  |  |  |  | $- |
| &nbsp;&nbsp;&nbsp;Realized Gain/(Loss) |  | (137660) |  | 8280 | (141641) |
| &nbsp;&nbsp;&nbsp;Change in Unrealized Appreciation/(Depreciation) |  | (4317331) |  | 20260 | (4315497) |
| &nbsp;&nbsp;&nbsp;Purchases |  | 24886632 | 12123000 | 16019026 | 52367335 |
| &nbsp;&nbsp;&nbsp;Sales Proceeds<sup>(1)</sup> | 75073 | (4215782) |  | (5544642) | (8999631) |
| &nbsp;&nbsp;&nbsp;Transfer into Level 3 |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Transfer out of Level 3 | - | - | - | - | - |
| Balance as of July 31, 2025 | $4241857 | $28429323 | $12123000 | $22497109 | $67291289 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at July 31, 2025 | $- | $(4245908) | $- | $(3062) | $(4248970) |

---

<sup>(1)</sup> *Sales Proceeds include all sales of securities, maturities, paydowns and securities tendered in corporate actions.*

The following table presents additional information about the valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of July 31, 2025:

**Quantitative Information about Level 3 Fair Value Measurements**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Class** | **Fair Value** | **Valuation Technique** | **Unobservable Inputs** | **Value/Range** |
| Commercial Mortgage-Backed Securities | $4241857 | Internal Model | Loss Severity Analysis | $100<sup>(1)</sup> |
| Asset Backed Securities | $13773735 | Broker Pricing | Indicative Quotes | $0.39 - $55289<sup>(2)</sup> |
| Asset Backed Securities | $14655588 | Internal Model | Loss Severity Analysis | $100 - $1184<sup>(1)</sup> |
| Collateralized Loan Obligations | $12123000 | Broker Pricing | Indicative Quotes | $100 |
| Private Secured Debt | $22497109 | Internal Model | Loss Severity Analysis | $100<sup>(3)</sup> |

---

<sup>(1)</sup> Input is based on yields ranging from 11.77% - 15.00%.

<sup>(2)</sup> Input is based on the total market value of the outstanding position, of which the Fund owns 0.67% - 9.87%.

<sup>(3)</sup> Input is due to immaterial delinquencies on the underlying collateral.

**RISK DISCLOSURES**

*Holdings contained herein are subject to change.*

 

*Prior to investing, Investors should carefully consider the investment objectives, risks, charges and expenses of 1WS Credit Income Fund. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling (833) 834-4923 or visiting www.1wscapital.com. The prospectus should be read carefully before investing. Investing in the Fund may be considered speculative and involves a high degree of risk, including the risk of possible substantial loss of your investment.*

 

***1WS Credit Income Fund is distributed by ALPS Distributors, Inc. ALPS Distributors, Inc. is not affiliated with 1WS Capital Advisors, LLC or One William Street Capital Management, L.P.***

 ****

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10171

  - **Telephone number:** 2129703154

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-07-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $947921111.79

**Total Liabilities:** $265485749.72

**Net Assets:** $682435362.07

**Cash Not Reported:** $6776187.96

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 233.07378277 | **1-Year:** 8627.90613166 | **5-Year:** 8213.10115660 | **10-Year:** 1982.84169333 | **30-Year:** 49.23001019

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

- **3-Month:** 1570.70666744 | **1-Year:** 71079.90065198 | **5-Year:** 71108.47851718 | **10-Year:** 10462.76115522 | **30-Year:** 37.47078282

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.61%                | 1.13%                | 0.98%                |
| Class ID N/A | 1.55%                | 1.06%                | 0.96%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $313248.17               | $1441847.50                                |
| Month 2  | $799586.18               | $5411491.93                                |
| Month 3  | $-598710.39              | $-2900896.85                               |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                                    | Title                                                                                                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class E                    | CUSIP: BCC3HJWV1<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    900000 | PA      | $1053662.55   | 0.15%             | 2042-10-27      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2025-1, Series 2025-1A, Class B                                                                 | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $768000.00    | 0.11%             | 2026-10-20      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| Colt Funding Llc                                        | COLT Mortgage Loan Trust, Series 2022-2, Class B1                                                              | CUSIP: 19685EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042000 | PA      | $836934.40    | 0.12%             | 2067-02-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-3, Class A                                                 | CUSIP: 92262RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2627792 | PA      | $2645924.26   | 0.39%             | 2032-12-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-1, Class A                                                 | CUSIP: 922955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7540899 | PA      | $7592177.19   | 1.11%             | 2032-07-25      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Finsbury Square                                         | Finsbury Square PLC, Series 2025-1, Class E                                                                    | CUSIP: BCC3MH7H8<br>LEI: 635400QI3YH4EDHOX180 | Long             | ABS-MBS          | CORP              | GB        |   3035000 | PA      | $4017539.64   | 0.59%             | 2075-06-16      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class F                                          | CUSIP: 05493LAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1920750.00   | 0.28%             | 2038-09-15      | Floating      | 9.46%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class D                                | CUSIP: 46591JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $862200.00    | 0.13%             | 2029-09-15      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1056000 | NS      | $-1056000.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1707096<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1393264 | NS      | $-1842103.59  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54GAJ94<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1798000 | NS      | $-1798000.00  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class D                                                                        | CUSIP: BCC3G6JR4<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |      5984 | PA      | $6926.20      | 0.00%             | 2042-02-24      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP548AAE1<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1766000 | NS      | $-1766000.00  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class C                                                  | CUSIP: 36264YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    567000 | PA      | $486372.60    | 0.07%             | 2026-05-15      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-4np PLC, Series 2006-4X, Class D1C                                                               | CUSIP: BCC0UB5C1<br>LEI: 21380013477BR2UW8M54 | Long             | ABS-MBS          | CORP              | GB        |    645564 | PA      | $801637.02    | 0.12%             | 2044-12-10      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-2, Series 2024-2A, Class F                                             | CUSIP: 89616PAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $753410.00    | 0.11%             | 2027-04-15      | Fixed         | 16.56%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP445AC78<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -7323750 | NS      | $-7323750.00  | -1.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Shackleton Clo Ltd                                      | Shackleton 2019-XIV Clo, Ltd., Series 2025-14A, Class CRR                                                      | CUSIP: 81880XBA9<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |    874000 | PA      | $874000.00    | 0.13%             | 2034-07-20      | Floating      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class E                                           | CUSIP: 46640NAR9<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $704800.00    | 0.10%             | 2045-11-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2021 FT, Series 2021-SP, Class G                                                               | CUSIP: BCC30Y6B9<br>LEI: 959800PAVFGQ48YNAE06 | Long             | ABS-O            | CORP              | ES        |    172310 | PA      | $192237.75    | 0.03%             | 2039-01-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP07KAJ60<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -706000 | NS      | $-706000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54BAN47<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -365000 | NS      | $-365000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Hermitage Plc                                           | Hermitage 2024 PLC, Series 2024-1, Class E                                                                     | CUSIP: BCC3G92Q8<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-MBS          | CORP              | GB        |    248354 | PA      | $329116.01    | 0.05%             | 2033-04-21      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP89BAN29<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1602000 | NS      | $-1602000.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48QAA40<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -890390 | NS      | $-890390.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2021-3, Class B1                                                                     | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    591600 | PA      | $608638.08    | 0.09%             | 2034-02-25      | Floating      | 9.30%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI, Series 2007-QS9, Class A33                                                                               | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4099334 | PA      | $3425403.48   | 0.50%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class F                    | CUSIP: BCC3HJWW9<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    900000 | PA      | $1048211.15   | 0.15%             | 2042-10-27      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| Brighthouse Financial In                                | Brighthouse Financial, Inc.                                                                                    | CUSIP: 10922N301<br>LEI: 5493003T8SZSHOGGAW52 | Long             | EP               | CORP              | US        |     18000 | NS      | $297720.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Miravet Repack                                          | Miravet 2025-1 DAC, Series 2025-1X, Class C                                                                    | CUSIP: BCC3LRM07<br>LEI: 635400LFDEBKWXDYOS74 | Long             | ABS-MBS          | CORP              | IE        |   2109000 | PA      | $2359656.23   | 0.35%             | 2028-03-28      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Autonoria                                               | FCT Autonoria DE 2023, Series 2023-DE, Class G                                                                 | CUSIP: BCC38ZTS6<br>LEI: 549300XVWRQGZCNHXF23 | Long             | ABS-O            | CORP              | FR        |    217235 | PA      | $263163.66    | 0.04%             | 2043-01-26      | Floating      | 12.41%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2024-1, Class C                                                           | CUSIP: 91684NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1867000 | PA      | $1939439.60   | 0.28%             | 2034-11-20      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1B2                                                | CUSIP: 20755AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1197000 | PA      | $1350455.40   | 0.20%             | 2043-01-25      | Floating      | 12.25%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP17CAE12<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -696000 | NS      | $-696000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya Ai Debt Trust, Series 2025-R1, Class E                                                                  | CUSIP: 69548DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1011000 | PA      | $1014336.30   | 0.15%             | 2032-06-15      | Fixed         | 12.11%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP38KAA25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -758000 | NS      | $-758000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Together Asset Backed Securitisation                    | Together Asset Backed Securitisation 2024-2nd1 PLC, Series 2024-2ND1A, Class E                                 | CUSIP: BCC3D5F93<br>LEI: 635400IODF9CE3RX8L03 | Long             | ABS-MBS          | CORP              | GB        |   2009000 | PA      | $2759524.90   | 0.40%             | 2028-01-20      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B2                                                | CUSIP: 20754DAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2060000 | PA      | $2238190.00   | 0.33%             | 2042-04-25      | Floating      | 11.35%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP173AL70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1732000 | NS      | $-1732000.00  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797PP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29928669.00  | 4.39%             | 2025-08-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9173AJ2<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -8015000 | NS      | $-8015000.00  | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | New York Mortgage Trust, Inc., Series D                                                                        | CUSIP: 649604881<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |     26661 | NS      | $579343.53    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies CLO 2015-5, Ltd., Series 2019-5A, Class DR                                    | CUSIP: 14311QAN7<br>LEI: 5493007AYUHLOG0AMH17 | Long             | ABS-CBDO         | CORP              | KY        |   1097000 | PA      | $1099852.20   | 0.16%             | 2032-01-20      | Floating      | 11.03%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP3600986<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -2273063 | NS      | $-3005329.59  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-11, Class E                                                          | CUSIP: 69548EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7199173 | PA      | $7400029.93   | 1.08%             | 2026-10-15      | Fixed         | 10.33%                | Yes           |                  2 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2023-2, Class D                                                          | CUSIP: BCC3BVJ94<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |    690676 | PA      | $817282.27    | 0.12%             | 2043-09-22      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9458566<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1125622 | NS      | $-1286417.79  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C                                | CUSIP: 46591JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $117787.50    | 0.02%             | 2029-09-15      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans FT, Series 2024-1, Class E                                                              | CUSIP: BCC3HCN87<br>LEI: 9598007LTXPL84RD7W58 | Long             | ABS-O            | CORP              | ES        |    396635 | PA      | $450892.42    | 0.07%             | 2038-09-28      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0250834<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -211250 | NS      | $-241427.19   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust, Series 2004-15, Class MV7                                               | CUSIP: 126673UT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    732464 | PA      | $553742.42    | 0.08%             | 2035-02-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class E                                                                        | CUSIP: BCC3G6JS2<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    296137 | PA      | $347476.95    | 0.05%             | 2042-02-24      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5                                                   | CUSIP: 75115CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516865 | PA      | $371367.19    | 0.05%             | 2036-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP072DAA9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1183000 | NS      | $-1183000.00  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-3, Series 2025-3A, Class E                                       | CUSIP: 76091FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5182000 | PA      | $5227601.60   | 0.77%             | 2026-12-25      | Fixed         | 11.09%                | Yes           |                  2 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2023-1, Series 2023-1A, Class D                                                                | CUSIP: 75525AAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2148800.00   | 0.31%             | 2031-02-18      | Fixed         | 12.27%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-5, Class F                                                           | CUSIP: 69548XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1156440.00   | 0.17%             | 2033-03-15      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Wilmot Plaza Mezz Loan, Class F                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.29%             | 2031-10-01      | Fixed         | 11.50%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP688LAE3<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -706000 | NS      | $-706000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B1B                                                                 | CUSIP: BCC0Z8XK4<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    514921 | PA      | $534338.00    | 0.08%             | 2040-10-10      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST8, Class CERT                                                        | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2966000 | PA      | $590798.67    | 0.09%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE3, Class E                                                                          | CUSIP: 31684LAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $779775.00    | 0.11%             | 2055-05-25      | Variable      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP967AC13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4948000 | NS      | $-4948000.00  | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP85EAE14<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -662973 | NS      | $-662973.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Bbva Consumer Auto                                      | Bbva Consumer Auto Fondo De Titulizacion, Series 2022-1, Class E                                               | CUSIP: BCC36L7B0<br>LEI: 9598003A77F40Z8U8H86 | Long             | ABS-O            | CORP              | ES        |    335760 | PA      | $403408.04    | 0.06%             | 2036-02-17      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail-UK 2007-5np PLC, Series 2007-5X, Class B1C                                                            | CUSIP: BCC115Y32<br>LEI: 213800AQ88V7QQ6G1S18 | Long             | ABS-MBS          | CORP              | GB        |    389132 | PA      | $476161.50    | 0.07%             | 2045-09-13      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-a Securities Inc Mortgage Loan Trust       | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class 2A2                                      | CUSIP: 25151XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899908 | PA      | $637134.86    | 0.09%             | 2047-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Shamrock Residential                                    | Shamrock Residential 2024-1 DAC, Series 2024-1A, Class E                                                       | CUSIP: BCC3JLXM3<br>LEI: 635400DULOLZBZ1GY715 | Long             | ABS-MBS          | CORP              | IE        |    712000 | PA      | $801097.14    | 0.12%             | 2028-01-24      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust Series 2020-ST5, Series 2021-ST5, Class CERT                                        | CUSIP: 91679XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5172000 | PA      | $532737.93    | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Red & Black Auto Italy S.r.l                            | Red & Black Auto Italy Srl, Series 2023-2, Class E                                                             | CUSIP: BCC3C26S9<br>LEI: 8156003B1C9DCDE30892 | Long             | ABS-O            | CORP              | IT        |    335847 | PA      | $400902.59    | 0.06%             | 2028-02-28      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2024-2, Series 2024-2A, Class E                                            | CUSIP: 30166DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1783000 | PA      | $1885879.10   | 0.28%             | 2028-11-15      | Fixed         | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-PF1, Class A                                                                          | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1184409 | PA      | $1193410.78   | 0.17%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 3.9657 06/20/30                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-40370.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust                  | National Collegiate Student Loan Trust, Series 2005-3, Class B                                                 | CUSIP: 63543TAJ7<br>LEI: 635400WAVVCUCCIGH375 | Long             | ABS-O            | CORP              | US        |   2143734 | PA      | $1785301.98   | 0.26%             | 2037-07-27      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0099495<br>LEI: N/A                  | Short            | RA               | CORP              | AU        |   -712500 | NS      | $-458315.48   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust, Series 2025-RM12, Class A1                                                | CUSIP: 10638KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    926000 | PA      | $898405.20    | 0.13%             | 2030-07-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.0074 06/20/29                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $338090.97    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Enstar Group Ltd                                        | Enstar Group, Ltd.                                                                                             | CUSIP: 29359U109<br>LEI: 213800AMAL5QFXVUCN04 | Long             | EP               | CORP              | BM        |     29298 | NS      | $673854.00    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2017-ASHF, Class E                                                      | CUSIP: 61691KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $554422.00    | 0.08%             | 2034-11-15      | Floating      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Upgrade Receivables Trust                               | Upgrade Receivables Trust 2024-1, Series 2024-1A, Class E                                                      | CUSIP: 91533NAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1322000 | PA      | $1334030.20   | 0.20%             | 2028-06-15      | Fixed         | 11.53%                | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2025-3A, Class E                                                   | CUSIP: 30166XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2157000 | PA      | $2232279.30   | 0.33%             | 2030-02-15      | Fixed         | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Finbe Usa Trust                                         | FinBe USA Trust 2025-1, Series 2025-1A, Class C                                                                | CUSIP: 317967AC1<br>LEI: 4469000001BR51E83192 | Long             | ABS-O            | CORP              | US        |   6185000 | PA      | $6319214.50   | 0.93%             | 2028-06-15      | Fixed         | 8.74%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class E                                                              | CUSIP: BCC3L0D06<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |   1798000 | PA      | $2022584.33   | 0.30%             | 2078-06-24      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7421431<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -471391 | NS      | $-623249.47   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Business Mortgage Finance Plc                           | Business Mortgage Finance 7 PLC, Series 2007-7X, Class M1                                                      | CUSIP: BCC11CF61<br>LEI: 6354003XKCGEIVFGHI58 | Long             | ABS-O            | CORP              | GB        |    407541 | PA      | $469428.38    | 0.07%             | 2041-02-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                 | Fremont Home Loan Trust, Series 2004-C, Class M3                                                               | CUSIP: 35729PEV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       170 | PA      | $0.00         | 0.00%             | 2034-08-25      | Floating      | 6.19%                 | No            |                  3 | On Loan: No      |
| Miravet Repack                                          | Miravet 2025-1 DAC, Series 2025-1X, Class D                                                                    | CUSIP: BCC3LRM15<br>LEI: 635400LFDEBKWXDYOS74 | Long             | ABS-MBS          | CORP              | IE        |   1535000 | PA      | $1682701.24   | 0.25%             | 2028-03-28      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R                                      | CUSIP: 63942LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       649 | PA      | $195044.03    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust, Series 2025-CP1, Class M2A                                                                    | CUSIP: 67121VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1326000 | PA      | $1176294.60   | 0.17%             | 2069-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP533NAE4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -916146 | NS      | $-916146.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2024-1, Class F                                                                            | CUSIP: BCC3DT7X7<br>LEI: 635400SJNGQKQ4OKRU39 | Long             | ABS-MBS          | CORP              | GB        |    395000 | PA      | $542877.98    | 0.08%             | 2028-02-26      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP951AA23<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2277000 | NS      | $-2277000.00  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP28GAN25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1132000 | NS      | $-1132000.00  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP961AE25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1504000 | NS      | $-1504000.00  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Bl Consumer Issuance Platform Ii                        | Compartment BL Consumer Credit 2024, Series 2024-1, Class F                                                    | CUSIP: BCC3DNFS2<br>LEI: 549300BCEKCIKD7MN312 | Long             | ABS-O            | CORP              | LU        |    462000 | PA      | $539771.32    | 0.08%             | 2027-03-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17                                               | CUSIP: 12668AA47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117597 | PA      | $99792.46     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2025-1, Class E                                                | CUSIP: 90945JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1185000 | PA      | $1208107.50   | 0.18%             | 2028-03-10      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A4                                             | CUSIP: 86361KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1907568 | PA      | $1057937.21   | 0.16%             | 2036-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Now Trust                                               | NOW Trust, Series 2025-1, Class E                                                                              | CUSIP: BCC3L1ZX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |   1190000 | PA      | $765467.26    | 0.11%             | 2034-02-14      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2025-1, Series 2025-1A, Class E                                             | CUSIP: 89617CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1075000.00   | 0.16%             | 2028-05-15      | Fixed         | 10.37%                | Yes           |                  2 | On Loan: No      |
| Enstar Group Ltd                                        | Enstar Group, Ltd.                                                                                             | CUSIP: 29359U208<br>LEI: 213800AMAL5QFXVUCN04 | Long             | EP               | CORP              | BM        |     56000 | NS      | $1122800.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Acc Trust                                               | ACC Trust, Series 2022-1, Class C                                                                              | CUSIP: 00091HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931402 | PA      | $257719.05    | 0.04%             | 2025-10-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -339000 | NS      | $-339000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP78QAE35<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1674000 | NS      | $-1674000.00  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Mfra Trust                                              | MFA , Series 2024-RTL3, Class A2                                                                               | CUSIP: 59319PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752000 | PA      | $758918.40    | 0.11%             | 2028-05-25      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Icg Us Clo Ltd                                          | ICG US Clo 2021-1, Ltd., Series 2021-1A, Class E                                                               | CUSIP: 449289AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1078815.00   | 0.16%             | 2034-04-17      | Floating      | 10.91%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP58MAJ36<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -7771000 | NS      | $-7771000.00  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP571NAH9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -298000 | NS      | $-298000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.63094% IRS 06/20/2032                                                                 | CUSIP: SWP363093<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $5395.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0185196<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -743651 | NS      | $-983217.95   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Small Business Origination Loan Trust                   | Small Business Origination Loan Trust DAC, Series 2024-1, Class D                                              | CUSIP: BCC3FWX01<br>LEI: 635400AFAA26PESBRL15 | Long             | ABS-O            | CORP              | IE        |    247965 | PA      | $334830.05    | 0.05%             | 2035-12-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6210312<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -411000 | NS      | $-543403.53   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST4, Class CERT                                                        | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $31808.88     | 0.00%             | 2026-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-2, Class F                                                                            | CUSIP: BCC3CJHB7<br>LEI: 213800CJ485JV1GHRE37 | Long             | ABS-MBS          | CORP              | GB        |    520000 | PA      | $741350.50    | 0.11%             | 2055-11-25      | Floating      | 12.07%                | No            |                  2 | On Loan: No      |
| N/A                                                     | Jonas Catalog Holdings I, LLC, Term Loan                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1960584 | PA      | $1960584.21   | 0.29%             | 2029-09-19      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| Achv Abs Trust                                          | ACHV ABS Trust, Series 2024-3AL, Class E                                                                       | CUSIP: 00092KAE4<br>LEI: 549300V82ZKZDTAU0A46 | Long             | ABS-O            | CORP              | US        |    837000 | PA      | $818251.20    | 0.12%             | 2031-12-26      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71VAH15<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -758000 | NS      | $-758000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST SERIES 2024-BPL2                        | NYMT 2024-BPL2 M                                                                                               | CUSIP: 67120TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3838125.00   | 0.56%             | 2039-05-25      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP166BAG7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -758000 | NS      | $-758000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Brant Point Clo Ltd                                     | Brant Point CLO 2023-1, Ltd., Series 2025-1A, Class ER                                                         | CUSIP: 104923AA5<br>LEI: 2549008BD5ZNAI1AAM17 | Long             | ABS-CBDO         | CORP              | JE        |    750000 | PA      | $750000.00    | 0.11%             | 2038-07-26      | Floating      | 11.41%                | Yes           |                  3 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-A, Class R1                                                       | CUSIP: 83406T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10720 | PA      | $142763.08    | 0.02%             | 2046-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP554BAN4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3423000 | NS      | $-3423000.00  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2016-C1, Class E                                                   | CUSIP: 17290YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1364000 | PA      | $1294299.60   | 0.19%             | 2049-05-10      | Variable      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Mcf Clo Llc                                             | MCF CLO VII LLC, Series 2025-3A, Class C1R2                                                                    | CUSIP: 58039AAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1076000 | PA      | $1076000.00   | 0.16%             | 2037-07-20      | Floating      | 2.40%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP884AB18<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -529000 | NS      | $-529000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Gsaa Home Equity Trust                                  | GSAA Home Equity Trust, Series 2007-8, Class A4                                                                | CUSIP: 38144RAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547743 | PA      | $294192.68    | 0.04%             | 2037-08-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-3, Class E                                                           | CUSIP: 69547GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1534950.00   | 0.22%             | 2027-01-15      | Fixed         | 12.63%                | Yes           |                  2 | On Loan: No      |
| Smrt                                                    | SMRT, Series 2022-MINI, Class F                                                                                | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $980700.00    | 0.14%             | 2039-01-15      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M3                                                | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743861 | PA      | $740588.04    | 0.11%             | 2034-06-25      | Variable      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2023-3, Series 2023-3A, Class C                                       | CUSIP: 76090YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549803 | PA      | $549198.65    | 0.08%             | 2032-01-26      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Credit-based Asset Servicing And Securitization         | C-BASS , Series 2007-CB4, Class A1B                                                                            | CUSIP: 1248MEAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1678299 | PA      | $788464.85    | 0.12%             | 2037-04-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding Llc                             | Merchants Fleet Funding LLC, Series 2024-1A, Class E                                                           | CUSIP: 588926AK1<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1009900.00   | 0.15%             | 2028-01-20      | Fixed         | 9.35%                 | Yes           |                  2 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.59039% IRS 06/20/2027                                                                 | CUSIP: SWP359039<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $96052.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fct Ponant                                              | FCT Ponant 1, Series 2025-1, Class F                                                                           | CUSIP: BCC3KNBS8<br>LEI: 9695008GRD84DUQ99R64 | Long             | ABS-O            | CORP              | FR        |    700000 | PA      | $799195.43    | 0.12%             | 2038-09-27      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10yr T-Note                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -59 | NC      | $-6552687.50  | -0.96%            |  |  |  | No            |                  1 | On Loan: No      |
| Miravet Repack                                          | Miravet 2025-1 DAC, Series 2025-1X, Class E                                                                    | CUSIP: BCC3LRM23<br>LEI: 635400LFDEBKWXDYOS74 | Long             | ABS-MBS          | CORP              | IE        |   1147000 | PA      | $1232723.01   | 0.18%             | 2028-03-28      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6256709<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -932133 | NS      | $-1232419.38  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP25HAD26<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -560000 | NS      | $-560000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9504541<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1078028 | NS      | $-1232024.96  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2024-2, Series 2024-2A, Class D                                                                | CUSIP: 75525HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737000 | PA      | $754245.80    | 0.11%             | 2028-05-15      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program LLC, Series 2019-A, Class R1                                                    | CUSIP: 78471H108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32016 | PA      | $150545.22    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-1, Series 2025-1A, Class E                                       | CUSIP: 76100AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $503712.00    | 0.07%             | 2026-03-25      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class F                                                                 | CUSIP: 05493HAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1361000 | PA      | $1256611.30   | 0.18%             | 2036-06-15      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-8, Class F                                                           | CUSIP: 69548PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1504397 | PA      | $1464681.32   | 0.21%             | 2032-01-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2021-4, Class CERT                                                        | CUSIP: 91682NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6175 | PA      | $579218.11    | 0.08%             | 2031-09-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.20 04/04/28                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $6036.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2023-2, Class E                                                          | CUSIP: BCC3BVJB9<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |    900642 | PA      | $1086013.28   | 0.16%             | 2043-09-22      | Floating      | 10.54%                | No            |                  2 | On Loan: No      |
| N/A                                                     | RRRR Repo Funding Trust, Series 2025-1 Pass-Through Certificates                                               | CUSIP: 78108CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10771379 | PA      | $10771379.23  | 1.58%             | 2026-07-25      | Fixed         | 14.00%                | No            |                  3 | On Loan: No      |
| Generate Clo Ltd.                                       | Generate Clo 11, Ltd., Series 2024-11A, Class ER                                                               | CUSIP: 37149JAE2<br>LEI: 549300LO5FP76OLGQK93 | Long             | ABS-CBDO         | CORP              | KY        |   5287000 | PA      | $5292815.70   | 0.78%             | 2037-10-20      | Floating      | 11.62%                | Yes           |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2023-1, Class M1B                                                                    | CUSIP: 89589AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015000 | PA      | $1059355.50   | 0.16%             | 2033-11-25      | Floating      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Funding Trust, Series 2025-1, Class D                                                                  | CUSIP: 68377PAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $752400.00    | 0.11%             | 2032-08-16      | Fixed         | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Brants Bridge                                           | Brants Bridge PLC, Series 2023-1, Class E                                                                      | CUSIP: BCC3B9NL1<br>LEI: 213800NJ1MKTCTWHO378 | Long             | ABS-MBS          | CORP              | GB        |    915000 | PA      | $1221017.82   | 0.18%             | 2026-09-14      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Finance Sa                           | Santander Consumer Finance SA/NOMA, Series 2023-1, Class B                                                     | CUSIP: BCC3CVMG3<br>LEI: 5493000LM0MZ4JPMGM90 | Long             | ABS-O            | CORP              | DK        |   7563195 | PA      | $1174684.22   | 0.17%             | 2033-10-31      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class F                                               | CUSIP: 94989VBD0<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |    489500 | PA      | $417543.50    | 0.06%             | 2057-09-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP88XAA00<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -405000 | NS      | $-405000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48XAE13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -735000 | NS      | $-735000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Riserva Clo, Ltd.                                       | Riserva Clo, Ltd., Series 2021-3A, Class ERR                                                                   | CUSIP: 76761TAG0<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |   1432000 | PA      | $1387321.60   | 0.20%             | 2034-01-18      | Floating      | 11.09%                | Yes           |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class G                                                  | CUSIP: 36258BAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774924 | PA      | $720912.04    | 0.11%             | 2036-12-15      | Floating      | 8.61%                 | Yes           |                  2 | On Loan: No      |
| Jw Commercial Mortgage Trust 2024-mrco                  | JW Trust, Series 2024-BERY, Class E                                                                            | CUSIP: 46676AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1487700.00   | 0.22%             | 2029-11-15      | Floating      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding PLC, Series 2024-3, Class F                                                          | CUSIP: BCC3FZ9Z4<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |    396000 | PA      | $520534.57    | 0.08%             | 2049-06-25      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2019-GC44 Mortgage Trust, Class 180A                                                              | CUSIP: 12655TAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429000 | PA      | $419647.80    | 0.06%             | 2057-08-15      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2006-2, Class DB                                                                   | CUSIP: BCC0RB7K5<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |     40364 | PA      | $43450.15     | 0.01%             | 2050-12-01      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Generate Clo Ltd.                                       | Generate CLO 12, Ltd., Series 2025-12A, Class AR                                                               | CUSIP: 37147VAL1<br>LEI: 549300OPJWALMOKFT505 | Long             | ABS-CBDO         | CORP              | KY        |   9919000 | PA      | $9919000.00   | 1.45%             | 2038-07-20      | Floating      | 1.33%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -732000 | NS      | $-732000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Funding Trust, Series 2024-3, Class D                                                                  | CUSIP: 68377NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $826160.00    | 0.12%             | 2028-01-18      | Fixed         | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-3, Series 2025-3A, Class F                                       | CUSIP: 76091FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4729500.00   | 0.69%             | 2026-11-25      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-2, Class E                                                           | CUSIP: 69548YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3999580 | PA      | $4096369.70   | 0.60%             | 2032-10-15      | Fixed         | 10.89%                | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2005-8, Class M2                                                | CUSIP: 86358EXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1671824 | PA      | $1410016.63   | 0.21%             | 2035-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5904056<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |  -2390832 | NS      | $-2732363.82  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP92RAB50<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1182318 | NS      | $-1182318.00  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797QK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19957270.00  | 2.92%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2024-1, Class E                                                | CUSIP: 90945DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2554000 | PA      | $2668163.80   | 0.39%             | 2027-06-10      | Fixed         | 10.45%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0096657<br>LEI: N/A                  | Short            | RA               | CORP              | AU        |   -889518 | NS      | $-572182.28   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                             | Cherry Securitization Trust 2025-1, Series 2025-1A, Class C                                                    | CUSIP: 16473RAC8<br>LEI: 213800F9SQ753JQHSW24 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $760050.00    | 0.11%             | 2028-10-16      | Fixed         | 9.34%                 | Yes           |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797QV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24842415.00  | 3.64%             | 2025-09-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2022-1, Class E                                                                            | CUSIP: BCC34C524<br>LEI: 6354005CHPSGN94O7F86 | Long             | ABS-MBS          | CORP              | GB        |    553000 | PA      | $732464.86    | 0.11%             | 2059-10-23      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust, Series 2006-9, Class 1A5                                                                | CUSIP: 52521HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668753 | PA      | $350159.25    | 0.05%             | 2037-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust, Series 2025-CP1, Class M1                                                                     | CUSIP: 67121VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834000 | PA      | $754603.20    | 0.11%             | 2069-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2005-D, Class M2                             | CUSIP: 456606JQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459094 | PA      | $336791.65    | 0.05%             | 2036-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                          | Long Beach Mortgage Loan Trust, Series 2006-10, Class 2A4                                                      | CUSIP: 54251YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487714 | PA      | $754772.53    | 0.11%             | 2036-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust 2021-DNA2, Series 2020-DNA2, Class B2                                            | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |   2575000 | PA      | $2840740.00   | 0.42%             | 2050-02-25      | Floating      | 9.26%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2022-4, Class E                                                             | CUSIP: 33843XAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1879000 | PA      | $1827891.20   | 0.27%             | 2030-01-15      | Fixed         | 12.66%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP401NAQ2<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -467000 | NS      | $-467000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-4, Series 2025-4A, Class E                                       | CUSIP: 76089NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3035000 | PA      | $3072634.00   | 0.45%             | 2027-07-25      | Fixed         | 10.74%                | Yes           |                  2 | On Loan: No      |
| Rmac Securities Plc                                     | RMAC Securities No 1 PLC, Series 2006-NS4X, Class B1C                                                          | CUSIP: BCC0UJFT6<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    405689 | PA      | $427431.98    | 0.06%             | 2044-06-12      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2022-ST2, Class CERT                                                        | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $127031.40    | 0.02%             | 2030-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-2, Class G                                                                            | CUSIP: BCC3CJHC5<br>LEI: 213800CJ485JV1GHRE37 | Long             | ABS-MBS          | CORP              | GB        |    407000 | PA      | $576913.02    | 0.08%             | 2055-11-25      | Floating      | 14.12%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RPUS12639<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -323000 | NS      | $-323000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                     | Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M4                                                 | CUSIP: 03072SX75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711158 | PA      | $847558.18    | 0.12%             | 2036-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-through Trust                              | Upstart Pass-Through Trust, Series 2020-ST2, Class CERT                                                        | CUSIP: 91680BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $19249.55     | 0.00%             | 2028-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| E-carat                                                 | ECARAT DE SA Compartment Lease, Series 2025-1, Class E                                                         | CUSIP: BCC3M8ZN4<br>LEI: 213800XVRRHAZW7DS467 | Long             | ABS-O            | CORP              | LU        |   7700000 | PA      | $8881789.25   | 1.30%             | 2034-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust 2024-2, Series 2024-2A, Class E                                                       | CUSIP: 67578YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $796050.00    | 0.12%             | 2032-07-20      | Fixed         | 9.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP59PAE97<br>LEI: N/A                  | Short            | RA               | CORP              | US        |    -97759 | NS      | $-97759.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Pixel                                                   | FCT Pixel 2021, Series 2021-1, Class G                                                                         | CUSIP: BCC334978<br>LEI: 549300YL2EZ0WMNNP528 | Long             | ABS-O            | CORP              | FR        |     62448 | PA      | $71418.14     | 0.01%             | 2038-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Landmark Mortgage Securities Plc                        | Landmark Mortgage Securities No 3 PLC, Series 2007-3, Class D                                                  | CUSIP: BCC283ZV5<br>LEI: 213800S8KWEEVI3XTK68 | Long             | ABS-MBS          | CORP              | GB        |    433305 | PA      | $580456.18    | 0.09%             | 2044-04-17      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-B, Class R1                                                       | CUSIP: 83405F103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10000 | PA      | $234102.90    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-2, Series 2025-2A, Class E                                            | CUSIP: 30168JAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1576000 | PA      | $1646604.80   | 0.24%             | 2032-10-15      | Fixed         | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Noria                                                   | FCT Noria 2021, Series 2021-1, Class F                                                                         | CUSIP: BCC31BYT8<br>LEI: 5493003C5ECZD3NDSV63 | Long             | ABS-O            | CORP              | FR        |    189034 | PA      | $214762.64    | 0.03%             | 2049-10-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2025-1, Class C                                                           | CUSIP: 91684PAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1028000 | PA      | $1075802.00   | 0.16%             | 2035-04-20      | Fixed         | 9.27%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                        | Soundview Home Loan Trust, Series 2005-OPT4, Class M2                                                          | CUSIP: 83611MJM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775259 | PA      | $1540569.51   | 0.23%             | 2035-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2                                                   | CUSIP: 75114HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    851158 | PA      | $806557.42    | 0.12%             | 2046-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2024-7, Class D                                                         | CUSIP: 69548MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757350 | PA      | $784690.53    | 0.11%             | 2031-12-15      | Fixed         | 10.89%                | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M2                                                            | CUSIP: 034936AC8<br>LEI: 254900ZFKOWCY24MSQ94 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $768150.00    | 0.11%             | 2055-02-25      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-3, Class E                                                                   | CUSIP: 69547XAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5564900.00   | 0.82%             | 2026-12-15      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust 2021-2, Series 2021-2A, Class R                                                         | CUSIP: 57108T107<br>LEI: 549300GIOP3T7X23OV63 | Long             | ABS-O            | CORP              | US        |      1686 | PA      | $18685.10     | 0.00%             | 2031-09-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Domivest B.v.                                           | Domi BV, Series 2024-1, Class E                                                                                | CUSIP: BCC3FWSJ6<br>LEI: 724500Z3J4FCZQWYOM57 | Long             | ABS-MBS          | CORP              | NL        |    463000 | PA      | $555914.31    | 0.08%             | 2029-09-17      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Shackleton Clo Ltd                                      | Shackleton 2013-IV-R CLO, Ltd., Series 2018-4RA, Class D                                                       | CUSIP: 81882GAA5<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-CBDO         | CORP              | KY        |   3175000 | PA      | $3143250.00   | 0.46%             | 2031-04-13      | Floating      | 10.43%                | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE1, Class A                                                                          | CUSIP: 30191LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1902801 | PA      | $1922018.96   | 0.28%             | 2055-01-25      | Variable      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2024-2, Series 2024-2A, Class B                                                                 | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $515750.00    | 0.08%             | 2026-04-20      | Fixed         | 9.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP86FAA75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1835000 | NS      | $-1835000.00  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | Cherry SPV III (2023) LLC, Class B Facility                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    393064 | PA      | $393064.38    | 0.06%             | 2028-01-27      | Fixed         | 14.85%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP93HAN52<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1011000 | NS      | $-1011000.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk RMBS No 8 Sts DAC, Series 2024-STS, Class F                                                             | CUSIP: BCC3D8WH0<br>LEI: 635400TGDQ2OBCBXQK26 | Long             | ABS-MBS          | CORP              | IE        |    459000 | PA      | $557983.44    | 0.08%             | 2062-05-20      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Bpr Trust                                               | BPR Trust, Series 2021-WILL, Class E                                                                           | CUSIP: 05591VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499250.00    | 0.07%             | 2038-06-15      | Floating      | 11.21%                | Yes           |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust, Series 2022-JERI, Class A                                        | CUSIP: 63875LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2084266 | PA      | $1904810.70   | 0.28%             | 2039-01-15      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Brignole Cq                                             | Brignole CQ, Series 2024-2024, Class X                                                                         | CUSIP: BCC3HF8K0<br>LEI: 815600DF81C93A72F362 | Long             | ABS-O            | CORP              | IT        |    831900 | PA      | $953019.23    | 0.14%             | 2040-09-24      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | SWF Funding LLC, Loan Facility                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     20138 | PA      | $20138.32     | 0.00%             | 2027-09-23      | Fixed         | 15.00%                | No            |                  3 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk RMBS No 8 Sts DAC, Series 2024-STS, Class X                                                             | CUSIP: BCC3D8WK3<br>LEI: 635400TGDQ2OBCBXQK26 | Long             | ABS-MBS          | CORP              | IE        |    325164 | PA      | $375218.60    | 0.05%             | 2062-05-20      | Floating      | 10.10%                | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM 2014-CCRE18 Mortgage Trust, Series 2014-CR18, Class E                                                     | CUSIP: 12632QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895363 | PA      | $849072.79    | 0.12%             | 2047-07-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Popular Abs Mortgage Pass-through Trust                 | Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1                                               | CUSIP: 73316PHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386208 | PA      | $333760.88    | 0.05%             | 2036-01-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT                                                      | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510470 | PA      | $5981.44      | 0.00%             | 2027-05-17      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Rmbs Miravet                                            | FT RMBS Miravet, Series 2023-1, Class E                                                                        | CUSIP: BCC38Q5D5<br>LEI: 959800CJJTJ863UQ4H59 | Long             | ABS-MBS          | CORP              | ES        |    600000 | PA      | $662876.21    | 0.10%             | 2066-11-26      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust, Series 2025-CP1, Class A2                                                                     | CUSIP: 67121VAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048000 | PA      | $963845.60    | 0.14%             | 2069-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | Markit CDX NA High Yield Index, Series 41                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-423.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2021-B, Class R1                                                       | CUSIP: 83405N106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14625 | PA      | $399119.18    | 0.06%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2024-RTL5, Class M1                                                               | CUSIP: 50205WAC1<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500350.00    | 0.07%             | 2039-09-25      | Variable      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Smi Equity Release                                      | SMI Equity Release 2018-1 DAC, Series 2023-1, Class BRR                                                        | CUSIP: BCC394CQ6<br>LEI: 549300XI0B10EWKYLD45 | Long             | ABS-MBS          | CORP              | IE        |    500000 | PA      | $518339.90    | 0.08%             | 2045-06-20      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Harben Finance 2017-1 Plc                               | Harben Finance, Series 2022-1RA, Class G                                                                       | CUSIP: BCC34V1P5<br>LEI: 213800J7WLPUU61CJY65 | Long             | ABS-MBS          | CORP              | GB        |    391000 | PA      | $519338.55    | 0.08%             | 2026-09-28      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Usasf Receivables Llc                                   | USASF Receivables LLC, Series 2021-1A, Class D                                                                 | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125000 | PA      | $33637.50     | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Brighthouse Financial In                                | Brighthouse Financial, Inc.                                                                                    | CUSIP: 10922N707<br>LEI: 5493003T8SZSHOGGAW52 | Long             | EP               | CORP              | US        |     12000 | NS      | $161280.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class F                                           | CUSIP: 46640NAT5<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   1098000 | PA      | $237387.60    | 0.03%             | 2045-11-15      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2025-1, Class X                                                                            | CUSIP: BCC3KHV26<br>LEI: 635400MKPQQD5URNMC45 | Long             | ABS-MBS          | CORP              | GB        |   2020441 | PA      | $2690826.44   | 0.39%             | 2068-02-26      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust                              | Point Securitization Trust, Series 2025-1, Class A1                                                            | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1474104 | PA      | $1472924.31   | 0.22%             | 2028-05-25      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Youni Italy                                             | Youni Italy Srl, Series 2025-1, Class X                                                                        | CUSIP: BCC3LDFR7<br>LEI: 8156007164AD3ED53B97 | Long             | ABS-O            | CORP              | IT        |    506587 | PA      | $583179.57    | 0.09%             | 2035-04-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7534521<br>LEI: N/A                  | Short            | RA               | CORP              | NL        |   -538163 | NS      | $-615039.91   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC, Series 2020-FACT, Class D                                                                                | CUSIP: 126395AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159000 | PA      | $1138717.50   | 0.17%             | 2037-10-15      | Floating      | 8.67%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48EAA10<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3596144 | NS      | $-3596144.00  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| Bfld Trust                                              | BFLD, Series 2021-FPM Mortgage Trust, Class E                                                                  | CUSIP: 05554BAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5533000 | PA      | $5548492.40   | 0.81%             | 2038-06-15      | Floating      | 10.11%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP589AAB5<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -557000 | NS      | $-557000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | SWEDISH KRONA FUT Sep25                                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |       -16 | NC      | $-3284000.00  | -0.48%            |  |  |  | No            |                  1 | On Loan: No      |
| Safco Auto Receivables Trust                            | SAFCO Auto Receivables Trust 2024-1, Series 2024-1A, Class E                                                   | CUSIP: 78637EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $523000.00    | 0.08%             | 2030-01-18      | Fixed         | 10.85%                | Yes           |                  2 | On Loan: No      |
| Dowson                                                  | Dowson PLC, Series 2024-1, Class E                                                                             | CUSIP: BCC3HXVG4<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |    577000 | PA      | $759600.00    | 0.11%             | 2031-08-20      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Satus Plc                                               | Satus PLC, Series 2024-1, Class E                                                                              | CUSIP: BCC3FH0K6<br>LEI: 213800P7IESQH1HBW693 | Long             | ABS-O            | CORP              | GB        |    670000 | PA      | $892749.86    | 0.13%             | 2027-04-19      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| Ozlm Ltd                                                | OZLM XI, Ltd., Series 2017-11X, Class ER                                                                       | CUSIP: BCC2E69G3<br>LEI: 5493009CITK5BZZY6417 | Long             | ABS-CBDO         | CORP              | KY        |    174010 | PA      | $17331.42     | 0.00%             | 2030-10-30      | Floating      | 13.02%                | No            |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust, Series 2024-A, Class 1E                                                     | CUSIP: 00834BAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1500900.00   | 0.22%             | 2026-02-17      | Fixed         | 9.17%                 | Yes           |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2007-1X, Class DB                                                                  | CUSIP: BCC0W9FA7<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    539307 | PA      | $518779.88    | 0.08%             | 2050-12-01      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class F                                                              | CUSIP: BCC3L0D14<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |    687262 | PA      | $772163.62    | 0.11%             | 2078-06-24      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2021-1, Class E                                                          | CUSIP: BCC329WP2<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |    150307 | PA      | $168515.11    | 0.02%             | 2041-09-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-2, Class E                                                                   | CUSIP: 694961AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2451910 | PA      | $2545817.65   | 0.37%             | 2031-08-15      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1B2                                                | CUSIP: 20753UAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1875000 | PA      | $1962937.50   | 0.29%             | 2044-01-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP115CAE7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -235000 | NS      | $-235000.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class D                    | CUSIP: BCC3HJWT6<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |   1300000 | PA      | $1503534.27   | 0.22%             | 2042-10-27      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP97DAC20<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3136404 | NS      | $-3136404.00  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| Vontive Mortgage Trust 2025-rtl1                        | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                                                             | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354000 | PA      | $2381071.00   | 0.35%             | 2027-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP8050872<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -522145 | NS      | $-596733.73   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Roc Securities Trust                                    | Roc Mortgage Trust, Series 2024-RTL1, Class M1                                                                 | CUSIP: 77118UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046500 | PA      | $1045034.90   | 0.15%             | 2027-04-25      | Variable      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                             | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class F                                    | CUSIP: BCC3FHZW2<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    556000 | PA      | $739378.91    | 0.11%             | 2027-01-20      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                         | OHA Credit Funding 4, Ltd., Series 2019-4A, Class SUB                                                          | CUSIP: 67098EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $688800.00    | 0.10%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust, Series 2007-21CB, Class 2A3                                                            | CUSIP: 02151FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996231 | PA      | $282232.29    | 0.04%             | 2037-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Newday Funding                                          | NewDay Funding, Series 2022-3A, Class E                                                                        | CUSIP: BCC386606<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |   1165000 | PA      | $1574037.08   | 0.23%             | 2025-11-15      | Floating      | 13.72%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP092KAE4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -558000 | NS      | $-558000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7683291<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -316646 | NS      | $-361879.07   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP638GAA1<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -507000 | NS      | $-507000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Molossus Btl                                            | Molossus Btl PLC, Series 2024-1, Class F                                                                       | CUSIP: BCC3F95Q6<br>LEI: 635400TPGD2VZXFZMM69 | Long             | ABS-MBS          | CORP              | GB        |    399000 | PA      | $535556.31    | 0.08%             | 2026-10-18      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2023-A, Class B                                                         | CUSIP: 20824CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    829210 | PA      | $836009.94    | 0.12%             | 2028-01-17      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-1, Series 2025-1A, Class E                                            | CUSIP: 30167MAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1558000 | PA      | $1611127.80   | 0.24%             | 2029-09-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE2, Class A                                                                          | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22737012 | PA      | $22900718.32  | 3.36%             | 2055-03-25      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP15QAA76<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2365313 | NS      | $-2365313.00  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Molossus Btl                                            | Molossus Btl PLC, Series 2024-1, Class X                                                                       | CUSIP: BCC3F95S2<br>LEI: 635400TPGD2VZXFZMM69 | Long             | ABS-MBS          | CORP              | GB        |    227023 | PA      | $302110.07    | 0.04%             | 2026-10-18      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2024-1, Series 2024-1A, Class B                                                                 | CUSIP: 00161CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    658482 | PA      | $670861.27    | 0.10%             | 2031-01-21      | Fixed         | 11.40%                | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.35 04/05/27                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $181.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP64KS591<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1960863 | NS      | $-1960863.00  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2025-4, Class E                                                                   | CUSIP: 69548GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15042000.00  | 2.20%             | 2033-01-17      | Fixed         | 11.60%                | Yes           |                  2 | On Loan: No      |
| Atlas Funding                                           | Atlas Funding PLC, Series 2025-1, Class E                                                                      | CUSIP: BCC3LJ124<br>LEI: 635400YENQ7FY7ZJJS32 | Long             | ABS-MBS          | CORP              | GB        |    768000 | PA      | $1054098.14   | 0.15%             | 2030-02-20      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | BBVA Consumo FTA, Series 2025-1, Class E                                                                       | CUSIP: BCC3M7TF0<br>LEI: 959800QSA097WJABWP90 | Long             | ABS-O            | CORP              | ES        |   1100000 | PA      | $1279512.69   | 0.19%             | 2031-11-21      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP87WAG50<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -936000 | NS      | $-936000.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class E                                               | CUSIP: 94989VBB4<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |   1311000 | PA      | $1208610.90   | 0.18%             | 2057-09-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP104QQ78<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -369000 | NS      | $-369000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust, Series 2025-2A, Class E                                                    | CUSIP: 89617QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $629400.00    | 0.09%             | 2028-10-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| Noria                                                   | Noria DE 2024, Series 2024-DE1, Class F                                                                        | CUSIP: BCC3GDS40<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |    482445 | PA      | $549046.78    | 0.08%             | 2043-02-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Miravet Repack                                          | Miravet 2025-1 DAC, Series 2025-1X, Class F                                                                    | CUSIP: BCC3LRM31<br>LEI: 635400LFDEBKWXDYOS74 | Long             | ABS-MBS          | CORP              | IE        |   1301000 | PA      | $1364183.63   | 0.20%             | 2028-03-28      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Finance Ireland Rmbs                                    | Finance Ireland RMBS NO 7 DAC, Series 2024-7, Class E                                                          | CUSIP: BCC3G65K4<br>LEI: 635400IU9RIO17FMKE17 | Long             | ABS-MBS          | CORP              | IE        |    466000 | PA      | $539651.54    | 0.08%             | 2063-12-24      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2023-4, Series 2024-3A, Class D                                       | CUSIP: 76090GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3160000 | PA      | $3165372.00   | 0.46%             | 2033-03-25      | Fixed         | 9.04%                 | Yes           |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class Z                                                                  | CUSIP: BCC3FJX00<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |    517849 | PA      | $602240.28    | 0.09%             | 2029-10-22      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2022-RPL 1 DAC, Series 2022-RPL1X, Class F                                                             | CUSIP: BCC36T4W0<br>LEI: 635400VNYTGVRKAK3U86 | Long             | ABS-MBS          | CORP              | IE        |   1768000 | PA      | $2315359.57   | 0.34%             | 2062-09-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAD64<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -934841 | NS      | $-934841.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust, Series 2024-S3, Class CERT                                             | CUSIP: 80288CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4167 | PA      | $935158.06    | 0.14%             | 2028-10-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| New York Mortgage Trust                                 | New York Mortgage Trust, Inc.                                                                                  | CUSIP: 649604816<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |     40000 | NS      | $998000.00    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Hsi Asset Securitization Corporation Trust              | HSI Asset Securitization Corp. Trust, Series 2007-HE1, Class 1A1                                               | CUSIP: 40430FAA0<br>LEI: 2138004J9K5ER1VNP306 | Long             | ABS-MBS          | CORP              | US        |    957464 | PA      | $750269.08    | 0.11%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9503816<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -696899 | NS      | $-796451.45   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Acquisition Corp                     | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3                                               | CUSIP: 46626LHD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    917775 | PA      | $649967.96    | 0.10%             | 2036-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2022-RPL 1 DAC, Series 2022-RPL1X, Class E                                                             | CUSIP: BCC36T4V2<br>LEI: 635400VNYTGVRKAK3U86 | Long             | ABS-MBS          | CORP              | IE        |   2874000 | PA      | $3584760.77   | 0.53%             | 2062-09-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Brighthouse Financial In                                | Brighthouse Financial, Inc.                                                                                    | CUSIP: 10922N889<br>LEI: 5493003T8SZSHOGGAW52 | Long             | EP               | CORP              | US        |     16000 | NS      | $190400.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Bain Capital Credit Clo, Limited                        | Bain Capital Credit CLO 2018-2, Series 2018-2A, Class F                                                        | CUSIP: 05682WAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1538000 | PA      | $1314374.80   | 0.19%             | 2031-07-19      | Floating      | 12.19%                | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-2bl PLC, Series 2006-2X, Class D1C                                                               | CUSIP: BCC0T5HP4<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |   1528000 | PA      | $1913373.81   | 0.28%             | 2044-12-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Mulcair Securities Dac                                  | Mulcair Securities, Series 2025-4, Class D                                                                     | CUSIP: BCC3LRLS7<br>LEI: 635400WTZS4ESHSIT120 | Long             | ABS-MBS          | CORP              | IE        |    722000 | PA      | $782065.93    | 0.11%             | 2028-07-24      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                    | PRET LLC, Series 2025-NPL3, Class A1                                                                           | CUSIP: 74143HAA3<br>LEI: 254900UGRYVHG7BY6M45 | Long             | ABS-MBS          | CORP              | US        |   2564685 | PA      | $2575713.27   | 0.38%             | 2028-04-25      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class D                                                             | CUSIP: BCC3DXKX3<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    557000 | PA      | $636822.42    | 0.09%             | 2065-01-26      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2021-2400 Mortgage Trust, Class B                                                                 | CUSIP: 20048FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3304000 | PA      | $3278228.80   | 0.48%             | 2038-12-15      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners Clo Ltd                         | Benefit Street Partners CLO XXIII, Ltd., Series 2025-23A, Class ER                                             | CUSIP: 08186XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $750000.00    | 0.11%             | 2034-04-25      | Floating      | 9.57%                 | Yes           |                  2 | On Loan: No      |
| Vecht Residential B.v.                                  | Vecht Residential B.V., Series 2023-1, Class X2                                                                | CUSIP: BCC39SSS2<br>LEI: 7245009Q7KC3X5MJBI22 | Long             | ABS-MBS          | CORP              | NL        |    635000 | PA      | $857353.96    | 0.13%             | 2028-05-22      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2023 FT, Series 2023-SP, Class F                                                               | CUSIP: BCC3C1T23<br>LEI: 959800XCSR4Q127ENL67 | Long             | ABS-O            | CORP              | ES        |    328523 | PA      | $394825.84    | 0.06%             | 2041-09-30      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding 2024-2 PLC, Series 2024-2X, Class E                                                  | CUSIP: BCC3F2H62<br>LEI: 635400BEV82LZKPTAB28 | Long             | ABS-MBS          | CORP              | GB        |    400000 | PA      | $528331.02    | 0.08%             | 2050-06-28      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP24XAD75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1550000 | NS      | $-1550000.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Plenti Pl-green Abs Trust                               | Plenti PL-Green ABS Trust, Series 2024-2, Class F                                                              | CUSIP: BCC3J0QF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |   1130000 | PA      | $728907.52    | 0.11%             | 2036-04-11      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2023-DNA1, Class B1                                                      | CUSIP: 35564KS59<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | USGSE             | US        |   2292000 | PA      | $2628007.20   | 0.39%             | 2043-03-25      | Floating      | 12.50%                | Yes           |                  2 | On Loan: No      |
| Merrion Square Residential                              | Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class E                                                 | CUSIP: BCC3GCYP8<br>LEI: 635400PSAJTAIHKBHG80 | Long             | ABS-MBS          | CORP              | IE        |    811000 | PA      | $922217.59    | 0.14%             | 2027-06-24      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                      | Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class D                                      | CUSIP: 74390NAG7<br>LEI: 549300WV6NCA12RVBP15 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $518950.00    | 0.08%             | 2026-11-15      | Fixed         | 11.24%                | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust, Series 2007-5, Class 6A1                                                                | CUSIP: 52521RBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300290 | PA      | $1275562.00   | 0.19%             | 2036-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84LAE11<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -572288 | NS      | $-572288.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                          | Long Beach Mortgage Loan Trust, Series 2006-10, Class 2A3                                                      | CUSIP: 54251YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2872441 | PA      | $877243.38    | 0.13%             | 2036-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| E-mac Program B.v.                                      | E-MAC Program BV, Series 2007-NL3X, Class D                                                                    | CUSIP: BCC0YY222<br>LEI: 724500SKQP7E7072AD15 | Long             | ABS-MBS          | CORP              | NL        |    501210 | PA      | $471592.81    | 0.07%             | 2047-07-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Trust                       | Sunbit Asset Securitization Trust, Series 2025-1, Class D                                                      | CUSIP: 86709SAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4140000 | PA      | $4196718.00   | 0.61%             | 2028-02-15      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class D                                          | CUSIP: 05493LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667000 | PA      | $581690.70    | 0.09%             | 2038-09-15      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Gls Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2025-1, Series 2025-1A, Class E                                              | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2241800.00   | 0.33%             | 2032-03-15      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4989918<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -906948 | NS      | $-1199121.03  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Funding                                           | Atlas Funding PLC, Series 2023-1, Class F                                                                      | CUSIP: BCC398M03<br>LEI: 635400GE1FMJVQH5B467 | Long             | ABS-MBS          | CORP              | GB        |    402000 | PA      | $564829.50    | 0.08%             | 2061-01-25      | Floating      | 13.95%                | No            |                  2 | On Loan: No      |
| Equify Abs, Llc                                         | Equify ABS 2024-1 LLC, Series 2024-1A, Class D                                                                 | CUSIP: 29445TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $501100.00    | 0.07%             | 2028-05-15      | Fixed         | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Consumo Santander                                       | FTA Santander Consumo 6, Series 2024-6, Class F                                                                | CUSIP: BCC3FP598<br>LEI: 9845003Q6DEF3R087B56 | Long             | ABS-O            | CORP              | ES        |   2456800 | PA      | $2836675.08   | 0.42%             | 2027-03-21      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0711293<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -497678 | NS      | $-658004.82   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Venture Cdo Ltd                                         | Venture 35 CLO, Ltd., Series 2018-35A, Class D                                                                 | CUSIP: 92331XAN4<br>LEI: 549300NGP7BCR2JAC076 | Long             | ABS-CBDO         | CORP              | KY        |   1896000 | PA      | $1823383.20   | 0.27%             | 2031-10-22      | Floating      | 8.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP042GAD6<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1589000 | NS      | $-1589000.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class F                                                             | CUSIP: BCC3J9VR1<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |   2806000 | PA      | $3165149.91   | 0.46%             | 2063-01-24      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2007-2X, Class E                                                                   | CUSIP: BCC0Y5TF7<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    419190 | PA      | $496259.52    | 0.07%             | 2050-12-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class B1                                                                       | CUSIP: 75049AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $156390.00    | 0.02%             | 2034-09-25      | Floating      | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Scf Rahoituspalvelut Dac                                | SCF Rahoituspalvelut XIII DAC, Series 2024-13, Class E                                                         | CUSIP: BCC3FLNF3<br>LEI: 875500BJTX1DZ2QIPK23 | Long             | ABS-O            | CORP              | IE        |    500000 | PA      | $597710.87    | 0.09%             | 2029-02-25      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-3, Series 2024-3A, Class F                                             | CUSIP: 89617AAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1320000 | PA      | $1365408.00   | 0.20%             | 2027-11-15      | Fixed         | 13.51%                | Yes           |                  2 | On Loan: No      |
| Purchasing Power Funding                                | Purchasing Power Funding LLC, Series 2024-A, Class E                                                           | CUSIP: 745935AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500200.00    | 0.07%             | 2028-08-15      | Fixed         | 10.18%                | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC, Series 2020-FACT, Class B                                                                                | CUSIP: 126395AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $989100.00    | 0.14%             | 2025-10-15      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP493HAQ8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -829000 | NS      | $-829000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Re Ltd                                             | Home RE, Ltd., Series 2022-1, Class M1C                                                                        | CUSIP: 43730GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376190 | PA      | $386347.12    | 0.06%             | 2034-10-25      | Floating      | 9.85%                 | Yes           |                  2 | On Loan: No      |
| Prp Advisors, Llc                                       | PRPM LLC, Series 2025-2, Class A1                                                                              | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1284949 | PA      | $1295357.57   | 0.19%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Mcf Clo Llc                                             | MCF CLO VII LLC, Series 2025-3A, Class BR2                                                                     | CUSIP: 58039AAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1138000 | PA      | $1138000.00   | 0.17%             | 2037-07-20      | Floating      | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Smrt                                                    | SMRT, Series 2022-MINI, Class E                                                                                | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5740000 | PA      | $5668824.00   | 0.83%             | 2039-01-15      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Metro Finance Trust                                     | Metro Finance , Series 2025-1, Class E                                                                         | CUSIP: BCC3LCSL8<br>LEI: 984500JC8CA58B01AB40 | Long             | ABS-O            | CORP              | AU        |   1170000 | PA      | $754257.99    | 0.11%             | 2031-10-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | Matthew R. Stubbs, LLC, Tranche B Facility Interest                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.73%             | 2026-03-23      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Argent Securities Inc.                                  | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W5, Class M1                       | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355325 | PA      | $1353969.23   | 0.20%             | 2036-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2025-2, Series 2025-2A, Class D                                                                | CUSIP: 75525QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005500.00   | 0.15%             | 2029-06-15      | Fixed         | 7.31%                 | Yes           |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2024-1, Class E                                                                       | CUSIP: BCC3F5ZM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    760000 | PA      | $498353.92    | 0.07%             | 2025-10-10      | Floating      | 10.79%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4960AE5<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1766000 | NS      | $-1766000.00  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates       | First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2                                                 | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549375 | PA      | $519763.96    | 0.08%             | 2036-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Elstree Funding                                         | Elstree Funding No 5 PLC, Series 2024-5, Class F                                                               | CUSIP: BCC3HVPH3<br>LEI: 635400TQHOGQECGSLM58 | Long             | ABS-MBS          | CORP              | GB        |    403998 | PA      | $548994.53    | 0.08%             | 2028-03-21      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| Satus Plc                                               | Satus PLC, Series 2024-1, Class D                                                                              | CUSIP: BCC3FH0J9<br>LEI: 213800P7IESQH1HBW693 | Long             | ABS-O            | CORP              | GB        |    739000 | PA      | $979902.13    | 0.14%             | 2027-04-19      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Cardiff Automobile Receivables Securitisation           | Cardiff Auto Receivables Securitisation PLC, Series 2024-1, Class E                                            | CUSIP: BCC3GPMG2<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |   1976000 | PA      | $2641567.33   | 0.39%             | 2031-08-20      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                  | GreenSky Home Improvement Issuer Trust 2025-2, Series 2025-2A, Class E                                         | CUSIP: 39571VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1011300.00   | 0.15%             | 2060-06-25      | Fixed         | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class M1B                                                                      | CUSIP: 75049AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1764350.00   | 0.26%             | 2034-09-25      | Floating      | 7.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0556131<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -456839 | NS      | $-522098.73   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BNY Mellon U.S. Treasury Fund                           | BNY Mellon U.S. Treasury Fund, Institutional Class                                                             | CUSIP: G1206E136<br>LEI: N/A                  | Long             | STIV             | RF                | IE        |   6961414 | NS      | $6961413.73   | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Upgrade Receivables Trust                               | Upgrade Receivables Trust 2024-1, Series 2024-1A, Class D                                                      | CUSIP: 91533NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3020000 | PA      | $3079192.00   | 0.45%             | 2028-03-15      | Fixed         | 8.90%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-HQA4, Class B2                                                      | CUSIP: 35565RBE2<br>LEI: 5493000IT4TAVS1FNX06 | Long             | ABS-MBS          | USGSE             | US        |    858000 | PA      | $1124237.40   | 0.16%             | 2050-09-25      | Floating      | 13.86%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1075069<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -345951 | NS      | $-457399.01   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Bfld Trust                                              | BFLD, Series 2021-FPM Mortgage Trust, Class D                                                                  | CUSIP: 05554BAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501400.00    | 0.07%             | 2038-06-15      | Floating      | 9.11%                 | Yes           |                  2 | On Loan: No      |
| Metro Finance Trust                                     | Trustee for Metro Finance , Series 2023-1, Class E                                                             | CUSIP: BCC3983L8<br>LEI: 984500D1F362E8C1FF34 | Long             | ABS-O            | CORP              | AU        |    486324 | PA      | $319428.58    | 0.05%             | 2029-02-18      | Floating      | 10.76%                | No            |                  2 | On Loan: No      |
| Metro Finance Trust                                     | Trustee for Metro Finance , Series 2023-1, Class F                                                             | CUSIP: BCC3983M6<br>LEI: 984500D1F362E8C1FF34 | Long             | ABS-O            | CORP              | AU        |    315454 | PA      | $208252.09    | 0.03%             | 2029-02-18      | Floating      | 12.51%                | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                                  | Northwoods Capital XII-B, Ltd., Series 2018-12BA, Class D                                                      | CUSIP: 66858CAJ6<br>LEI: 549300R06FSYRU75ZW78 | Long             | ABS-CBDO         | CORP              | KY        |   1264000 | PA      | $1263115.20   | 0.19%             | 2031-06-15      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2022-1, Class C                                                           | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $294250.00    | 0.04%             | 2032-03-20      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-HQA3, Class B2                                                      | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | USGSE             | US        |   1806000 | PA      | $2405050.20   | 0.35%             | 2050-07-25      | Floating      | 14.46%                | Yes           |                  2 | On Loan: No      |
| Davis Park Clo                                          | Davis Park CLO, Ltd., Series 2025-1A, Class ER                                                                 | CUSIP: 239088AJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    750000 | PA      | $750000.00    | 0.11%             | 2038-07-20      | Floating      | 10.32%                | Yes           |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-1, Class G                                                                            | CUSIP: BCC39KFB0<br>LEI: 6354004KMSEMXJM3QR12 | Long             | ABS-MBS          | CORP              | GB        |   1014000 | PA      | $1425925.77   | 0.21%             | 2055-05-25      | Floating      | 14.72%                | No            |                  2 | On Loan: No      |
| Eurohome Uk Mortgages Plc                               | Eurohome UK Mortgages 2007 -1 PLC, Series 2007-1, Class B2                                                     | CUSIP: BCC0WBEC9<br>LEI: 2138009XX8M6MTY8SG15 | Long             | ABS-MBS          | CORP              | GB        |    430000 | PA      | $542542.81    | 0.08%             | 2044-06-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Fta Santander Consumo                                   | FTA Santander Consumo 4, Series 2021-4, Class E                                                                | CUSIP: BCC2QM3E6<br>LEI: 98450072AC11A1C80548 | Long             | ABS-O            | CORP              | ES        |    700431 | PA      | $797766.81    | 0.12%             | 2032-09-18      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Bpr Trust                                               | BPR Trust, Series 2021-WILL, Class C                                                                           | CUSIP: 05591VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499200.00    | 0.07%             | 2038-06-15      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP3618055<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -630990 | NS      | $-834263.25   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans Fondo Titulizacion, Series 2022-1, Class D                                              | CUSIP: BCC368QN2<br>LEI: 959800LZRYPFFESLNU74 | Long             | ABS-O            | CORP              | ES        |    240068 | PA      | $277324.39    | 0.04%             | 2032-02-28      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Autonoria                                               | AutoNoria Spain 2025 FT, Series 2025-SP, Class G                                                               | CUSIP: BCC3MHXT3<br>LEI: 9598003381JB7Z32LH47 | Long             | ABS-O            | CORP              | ES        |    800000 | PA      | $916840.48    | 0.13%             | 2043-04-30      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Finance Ireland Rmbs                                    | Finance Ireland RMBS NO 7 DAC, Series 2024-7, Class X                                                          | CUSIP: BCC3G65N8<br>LEI: 635400IU9RIO17FMKE17 | Long             | ABS-MBS          | CORP              | IE        |     74493 | PA      | $85270.71     | 0.01%             | 2063-12-24      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Cfg Investments Limited                                 | CFG Investments, Ltd., Series 2025-1, Class B                                                                  | CUSIP: 12528GAN2<br>LEI: 549300C3OD89QRWQ1Y92 | Long             | ABS-O            | CORP              | KY        |   1982000 | PA      | $1996270.40   | 0.29%             | 2029-07-25      | Fixed         | 9.16%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | VCP Tyler Pref, LLC                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2241857 | PA      | $2241856.75   | 0.33%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1695778<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -439450 | NS      | $-581018.69   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO (MRA)                                                                                             | CUSIP: RP161CAB4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -263000 | NS      | $-263000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrion Square Residential                              | Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class D                                                 | CUSIP: BCC3GCYN3<br>LEI: 635400PSAJTAIHKBHG80 | Long             | ABS-MBS          | CORP              | IE        |    475000 | PA      | $540519.77    | 0.08%             | 2027-06-24      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-3, Series 2022-3A, Class E                                            | CUSIP: 30166YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1396000 | PA      | $1328573.20   | 0.19%             | 2027-02-16      | Fixed         | 9.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP17CAD39<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1233000 | NS      | $-1233000.00  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Taberna Prefered Funding Ltd                            | Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B                                                    | CUSIP: 87330UAE1<br>LEI: 8Z9UQTNXEECO8ECQHB85 | Long             | ABS-CBDO         | CORP              | KY        |    529000 | PA      | $89930.00     | 0.01%             | 2035-11-05      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                 | Lendingpoint Asset Securitization Trust, Series 2022-B, Class C                                                | CUSIP: 52606WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    517000 | PA      | $160270.00    | 0.02%             | 2029-10-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Goodleap Home Improvement Solutions Trust               | GoodLeap Home Improvement Solutions Trust 2024-1, Series 2024-1A, Class C                                      | CUSIP: 381935AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    897178 | PA      | $909379.92    | 0.13%             | 2033-04-20      | Fixed         | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2023-2, Class F                                                                            | CUSIP: BCC3C2600<br>LEI: 6354009LRHDVGD1A8T64 | Long             | ABS-MBS          | CORP              | GB        |    403000 | PA      | $568365.85    | 0.08%             | 2027-02-27      | Floating      | 12.97%                | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust, Series 2025-2A, Class F                                                    | CUSIP: 89617QAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    941000 | PA      | $1011951.40   | 0.15%             | 2028-10-15      | Fixed         | 11.23%                | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class E                                                             | CUSIP: BCC3DXKY1<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    557000 | PA      | $644015.63    | 0.09%             | 2065-01-26      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAB09<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -842468 | NS      | $-842468.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Asset-backed European Securitisation Transaction        | Asset-Backed European Securitisation Transaction Twenty-Three Sarl, Series 2024-23, Class M                    | CUSIP: BCC3HDZG4<br>LEI: 213800WQKYRCMTF4FR47 | Long             | ABS-O            | CORP              | LU        |    700000 | PA      | $801675.42    | 0.12%             | 2034-03-21      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-thru Trust                          | Upgrade Master Pass-Thru Trust, Series 2025-P1, Class CERT                                                     | CUSIP: 91533LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1822231.46   | 0.27%             | 2030-01-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Prestige Auto Receivables Trust                         | Prestige Auto Receivables Trust 2025-1, Series 2025-1A, Class E                                                | CUSIP: 74113UAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    888000 | PA      | $932666.40    | 0.14%             | 2029-05-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Domivest B.v.                                           | Domi BV, Series 2024-1, Class X                                                                                | CUSIP: BCC3FWSK3<br>LEI: 724500Z3J4FCZQWYOM57 | Long             | ABS-MBS          | CORP              | NL        |    323643 | PA      | $372501.59    | 0.05%             | 2029-09-17      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| 20 Tsq Groundco Llc                                     | 20 Times Square Trust, Series 2018-20TS, Class E                                                               | CUSIP: 90137LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1812800.00   | 0.27%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Jeronimo Funding                                        | Jeronimo Funding DAC, Series 2025-1, Class B                                                                   | CUSIP: BCC3K2RH1<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |   1489000 | PA      | $1699322.18   | 0.25%             | 2064-10-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                  | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class E                                                 | CUSIP: 39571XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $520000.00    | 0.08%             | 2059-10-27      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                          | Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1                                                     | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    738592 | PA      | $577948.21    | 0.08%             | 2037-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust, Series 2024-B, Class E                                                      | CUSIP: 00835AAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $854420.00    | 0.13%             | 2027-05-17      | Fixed         | 7.35%                 | Yes           |                  2 | On Loan: No      |
| Symphony Clo Ltd                                        | Symphony CLO XXXII, Ltd., Series 2025-32A, Class ER                                                            | CUSIP: 87168QAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   2739000 | PA      | $2739000.00   | 0.40%             | 2035-10-23      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class D                                                              | CUSIP: BCC3L0CZ0<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |   1942000 | PA      | $2193892.61   | 0.32%             | 2078-06-24      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2021-1, Class R                                                             | CUSIP: 33843WAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2740 | PA      | $115938.72    | 0.02%             | 2028-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Mpt Oper Partnersp/finl                                 | MPT Operating Partnership LP / MPT Finance Corp.                                                               | CUSIP: 55342UAQ7<br>LEI: WUQXXXF7PXTUPGROE843 | Long             | ABS-O            | CORP              | US        |    471000 | PA      | $490229.19    | 0.07%             | 2032-02-15      | Fixed         | 8.50%                 | Yes           |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2024-P4, Class R                                                        | CUSIP: 14076LAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000 | PA      | $979895.20    | 0.14%             | 2030-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Eurohome Uk Mortgages Plc                               | Eurohome UK Mortgages PLC, Series 2007-2, Class B1                                                             | CUSIP: BCC0ZHX24<br>LEI: 213800B2HNVAOW7VZL10 | Long             | ABS-MBS          | CORP              | GB        |    550000 | PA      | $707475.70    | 0.10%             | 2044-09-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP89NAA19<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2429700 | NS      | $-2429700.00  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust, Series 2007-21CB, Class 2A4                                                            | CUSIP: 02151FAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920873 | PA      | $84904.52     | 0.01%             | 2037-09-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                  | Argent Securities Trust, Series 2006-W2, Class A2B                                                             | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173536 | PA      | $630306.42    | 0.09%             | 2036-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57JAQ58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -633750 | NS      | $-633750.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -504000 | NS      | $-504000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Shackleton Clo Ltd                                      | Shackleton 2013-IV-R CLO, Ltd., Series 2020-4RA, Class A2BR                                                    | CUSIP: 81882HAQ8<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-CBDO         | CORP              | KY        |   1113000 | PA      | $1072598.10   | 0.16%             | 2031-04-13      | Fixed         | 2.78%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-4, Series 2022-4A, Class E                                            | CUSIP: 30166BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4603000 | PA      | $4735566.40   | 0.69%             | 2030-03-15      | Fixed         | 8.23%                 | Yes           |                  2 | On Loan: No      |
| Tci-flatiron Clo Ltd                                    | TCI-Flatiron Clo 2018-1, Ltd., Series 2025-1A, Class ER2                                                       | CUSIP: 87232DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3519000 | PA      | $3519000.00   | 0.52%             | 2035-07-29      | Floating      | 9.46%                 | Yes           |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Trust                       | Nationstar Home Equity Loan Trust, Series 2007-B, Class M2                                                     | CUSIP: 63860LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1246668 | PA      | $1242055.51   | 0.18%             | 2037-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-1, Class C                                                           | CUSIP: 91679AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251000 | PA      | $1279522.80   | 0.19%             | 2033-02-20      | Fixed         | 11.10%                | Yes           |                  2 | On Loan: No      |
| Tagus Stc/ulisses Finance                               | TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class F                | CUSIP: BCC32DHS4<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    156174 | PA      | $173771.08    | 0.03%             | 2038-09-20      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Pagaya Point Of Sale Holdings Grantor Trust             | Pagaya Point of Sale Holdings Grantor Trust, Series 2025-1, Class E                                            | CUSIP: 694951AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3056100.00   | 0.45%             | 2033-01-20      | Fixed         | 11.28%                | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                         | Stream Innovations 2025-1 Issuer Trust, Series 2025-1A, Class D                                                | CUSIP: 86324XAD7<br>LEI: 7437000ZP669LKUTZ738 | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2404990.00   | 0.35%             | 2045-09-15      | Fixed         | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust VII, Series 2022-3A, Class C                                          | CUSIP: 76088TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2046336 | PA      | $2096470.83   | 0.31%             | 2030-11-25      | Fixed         | 10.04%                | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | New York Mortgage Trust, Inc., Series E                                                                        | CUSIP: 649604873<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |     37020 | NS      | $916615.20    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Tagus Sociedade De Titularizacao De Creditos            | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 1, Series 2023-1, Class E                    | CUSIP: BCC3BYVN3<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    125179 | PA      | $149841.82    | 0.02%             | 2029-07-27      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | Markit CDX NA High Yield Index, Series 43                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-104.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class E                                                                  | CUSIP: BCC3FJWZ4<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |   1449251 | PA      | $1735281.76   | 0.25%             | 2029-10-22      | Floating      | 10.22%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1815855<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -349673 | NS      | $-462320.06   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48XAA90<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2323000 | NS      | $-2323000.00  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Baml Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class E                                   | CUSIP: 61765TAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2660000 | PA      | $2390808.00   | 0.35%             | 2048-10-15      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R                                      | CUSIP: 63942LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1865 | PA      | $560488.62    | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2025-P1, Class R                                                        | CUSIP: 14689MAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1400 | PA      | $774041.95    | 0.11%             | 2033-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Dominion Mortgage Trust                                 | Dominion Mortgage Trust, Series 2025-RTL1, Class A2                                                            | CUSIP: 25746DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $755475.00    | 0.11%             | 2027-09-25      | Fixed         | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Sabadell Consumo Fdt                                    | SABADELL CONSUMO 2 FDT, Series 2022-2, Class E                                                                 | CUSIP: BCC33R605<br>LEI: 959800PUDN333GSZAY65 | Long             | ABS-O            | CORP              | ES        |    691741 | PA      | $824155.28    | 0.12%             | 2034-12-24      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71XAH70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -331000 | NS      | $-331000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Rckt Trust                                              | RCKT Trust 2025-PL1, Series 2025-1A, Class R1                                                                  | CUSIP: 74939RAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328000 | PA      | $3884208.80   | 0.57%             | 2034-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-3, Class D                                                                   | CUSIP: 69547XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    776806 | PA      | $786438.16    | 0.12%             | 2026-03-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2024-N3, Class E                                                        | CUSIP: 14687WAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1289000.00   | 0.19%             | 2029-09-10      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2025-1, Class E                                                                       | CUSIP: BCC3MN3W6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |   1140000 | PA      | $735211.37    | 0.11%             | 2028-07-10      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class E                              | CUSIP: 46648PAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124980 | PA      | $122792.72    | 0.02%             | 2032-10-15      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Issuance Trust, Series 2025-B, Class E                                                                 | CUSIP: 68378QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2233350.00   | 0.33%             | 2033-05-09      | Fixed         | 9.40%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Euro FX Currency                                                                                               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -415 | NC      | $-59451343.75 | -8.71%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust 2006-11, Series 2006-12, Class M1                                        | CUSIP: 12667AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686235 | PA      | $612945.09    | 0.09%             | 2036-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-A, Class M1                             | CUSIP: 456606KJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785663 | PA      | $585790.52    | 0.09%             | 2036-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST5, Class CERT                                                        | CUSIP: 91680WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $472988.90    | 0.07%             | 2026-12-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Morgan Stanley                                          | Markit CMBX BBB- Index, Series 15                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1039500.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities Plc                       | Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2                                                | CUSIP: BCC0PP486<br>LEI: 549300M5JCJD5NA85U45 | Long             | ABS-MBS          | CORP              | IE        |    500000 | PA      | $392340.62    | 0.06%             | 2045-06-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Chenango Park Clo, Ltd.                                 | Chenango Park CLO, Ltd., Series 2025-1A, Class CR                                                              | CUSIP: 16409TAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $754125.00    | 0.11%             | 2030-04-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9839855<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -2009884 | NS      | $-2296997.16  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                            | Eagle RE, Ltd., Series 2023-1, Class M2                                                                        | CUSIP: 26982EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1383500 | PA      | $1467893.50   | 0.22%             | 2033-09-26      | Floating      | 9.55%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91FAB22<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3142125 | NS      | $-3142125.00  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9458723<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1486564 | NS      | $-1698920.58  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2022-1, Class E                                                | CUSIP: 90944DAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1559631 | PA      | $1537172.22   | 0.23%             | 2028-11-10      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | AUD $ Currency Fut                                                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -117 | NC      | $-7530705.00  | -1.10%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP90CAC01<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -561994 | NS      | $-561994.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1946724<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -377104 | NS      | $-430973.54   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Blackrock Liquidity Funds T-fund                        | BlackRock Liquidity Funds T-Fund, Class Institutional                                                          | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |  49271603 | NS      | $49271603.31  | 7.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Re Ltd                                             | Home RE, Ltd., Series 2023-1, Class M1B                                                                        | CUSIP: 43731BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615959 | PA      | $633144.46    | 0.09%             | 2033-10-25      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loan Trust                   | Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class M2                                                 | CUSIP: 61744CYR1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-MBS          | CORP              | US        |    846093 | PA      | $787204.60    | 0.12%             | 2036-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.0822 06/20/28                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-445843.12   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Small Business Origination Loan Trust                   | Small Business Origination Loan Trust DAC, Series 2025-1, Class B                                              | CUSIP: BCC3LQT77<br>LEI: 635400ZO4NUYBCC9ZI87 | Long             | ABS-O            | CORP              | IE        |    661190 | PA      | $873056.06    | 0.13%             | 2036-12-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp                                      | Rithm Capital Corp.                                                                                            | CUSIP: 64828T508<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |    102405 | NS      | $2589822.45   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2023-4, Series 2023-4A, Class C                                       | CUSIP: 76088XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549236 | PA      | $545501.55    | 0.08%             | 2027-01-25      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class E                                                             | CUSIP: BCC3J9VQ3<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |   1310000 | PA      | $1485157.23   | 0.22%             | 2063-01-24      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5Yr T-Note Future                                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -498 | NC      | $-53869593.75 | -7.89%            |  |  |  | No            |                  1 | On Loan: No      |
| Noria                                                   | FCT Noria 2021, Series 2021-1, Class G                                                                         | CUSIP: BCC31BYV3<br>LEI: 5493003C5ECZD3NDSV63 | Long             | ABS-O            | CORP              | FR        |    330809 | PA      | $364757.31    | 0.05%             | 2049-10-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Pony                                                    | Pony SA, Series 2024-1, Class E                                                                                | CUSIP: BCC3G6M58<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |    500000 | PA      | $577653.84    | 0.08%             | 2028-08-14      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -257000 | NS      | $-257000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust            | Arivo Acceptance Auto Loan Receivables Trust 2025-1, Series 2025-1A, Class E                                   | CUSIP: 039962AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795000 | PA      | $812569.50    | 0.12%             | 2029-07-15      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class E                                          | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1268250.00   | 0.19%             | 2038-09-15      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7177353<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -6170472 | NS      | $-7051927.70  | -1.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                      | Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class E                                      | CUSIP: 74390NAJ1<br>LEI: 549300WV6NCA12RVBP15 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1045400.00   | 0.15%             | 2026-11-15      | Fixed         | 15.49%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5561300<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -559370 | NS      | $-639276.35   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1B2                                                | CUSIP: 20754MAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1982000 | PA      | $2328850.00   | 0.34%             | 2042-06-25      | Floating      | 16.35%                | Yes           |                  2 | On Loan: No      |
| Hops Hill                                               | Hops Hill No2 PLC, Series 2022-2, Class E                                                                      | CUSIP: BCC372Q04<br>LEI: 213800HS79HZG1YRY579 | Long             | ABS-MBS          | CORP              | GB        |   1072000 | PA      | $1437612.51   | 0.21%             | 2054-11-27      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                               | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCW, Series 2005-WCW2, Class M5 | CUSIP: 70069FLL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    808491 | PA      | $834200.56    | 0.12%             | 2035-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                             | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class E                                    | CUSIP: BCC3FHZV4<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    833000 | PA      | $1106196.65   | 0.16%             | 2027-01-20      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Twin Bridges                                            | Twin Bridges PLC, Series 2022-1, Class X2                                                                      | CUSIP: BCC34K278<br>LEI: 213800OFO3J9U3ZZGO47 | Long             | ABS-MBS          | CORP              | GB        |    128985 | PA      | $171168.01    | 0.03%             | 2055-12-01      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2024-A, Class B                                                         | CUSIP: 20824DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557240 | PA      | $554788.25    | 0.08%             | 2029-01-16      | Fixed         | 9.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1453788<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -5243200 | NS      | $-6932295.36  | -1.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0999963<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -675980 | NS      | $-772544.16   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Bletchley Park Funding                                  | Bletchley Park Funding PLC, Series 2024-1, Class X1                                                            | CUSIP: BCC3GPZH6<br>LEI: 635400MQ1CHOSPPF5277 | Long             | ABS-MBS          | CORP              | GB        |     50255 | PA      | $66949.39     | 0.01%             | 2028-07-27      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Rmbs Miravet                                            | FT RMBS Miravet, Series 2023-1, Class F                                                                        | CUSIP: BCC38Q5F0<br>LEI: 959800CJJTJ863UQ4H59 | Long             | ABS-MBS          | CORP              | ES        |    600000 | PA      | $666030.48    | 0.10%             | 2066-11-26      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-1, Class F                                                                            | CUSIP: BCC39KF95<br>LEI: 6354004KMSEMXJM3QR12 | Long             | ABS-MBS          | CORP              | GB        |    527000 | PA      | $739067.01    | 0.11%             | 2026-10-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-1, Class C                                                                   | CUSIP: 69548AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281432 | PA      | $284640.63    | 0.04%             | 2031-07-15      | Fixed         | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2005-9, Class M2                                                | CUSIP: 86358EYG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1348999 | PA      | $1157171.57   | 0.17%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                     | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs, Series 2005-R5, Class M7                  | CUSIP: 03072SE84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530075 | PA      | $630948.26    | 0.09%             | 2035-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Comvest Credit Clo                                      | Comvest Credit 2025-2 CLO LP, Series 2025-2A, Class A1                                                         | CUSIP: 205952AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6912000 | PA      | $6912000.00   | 1.01%             | 2037-10-15      | Floating      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2023-N1, Class E                                                        | CUSIP: 14688FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1614750.00   | 0.24%             | 2028-03-10      | Fixed         | 10.46%                | Yes           |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class F                                                                        | CUSIP: BCC3G6JT0<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    359686 | PA      | $420316.39    | 0.06%             | 2042-02-24      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP955AD13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -661793 | NS      | $-661793.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class E                                                                        | CUSIP: BCC3C9324<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    591438 | PA      | $687685.92    | 0.10%             | 2026-10-12      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC6, Class M1                               | CUSIP: 86362VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590334 | PA      | $527345.56    | 0.08%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2019-521F Mortgage Trust, Class A                                                                 | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $2033040.00   | 0.30%             | 2034-06-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Goodleap Home Improvement Solutions Trust               | GoodLeap Home Improvement Solutions Trust 2025-1, Series 2025-1A, Class C                                      | CUSIP: 38237EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1283020 | PA      | $1292899.22   | 0.19%             | 2049-02-20      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP955AJ74<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2940000 | NS      | $-2940000.00  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                  | GreenSky Home Improvement Issuer Trust 2025-1, Series 2025-1A, Class E                                         | CUSIP: 39571NAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1240000 | PA      | $1271744.00   | 0.19%             | 2060-03-25      | Fixed         | 8.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Experity 2025-A 4(a)(2) Class B                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2800000.00   | 0.41%             | 2037-06-22      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Ares Lusitani                                           | Ares Lusitani-STC SA / Pelican Finance 2, Series 2021-2, Class E                                               | CUSIP: BCC33MBL4<br>LEI: 213800WQJJDCAN4BCO57 | Long             | ABS-O            | CORP              | PT        |     98430 | PA      | $109689.48    | 0.02%             | 2035-01-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Bbsg Mortgage Trust                                     | BBSG, Series 2016-MRP Mortgage Trust, Class A                                                                  | CUSIP: 055287AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1803600.00   | 0.26%             | 2026-06-05      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST9, Class CERT                                                        | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $257242.80    | 0.04%             | 2029-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Republic Finance Issuance Trust                         | Republic Finance Issuance Trust, Series 2024-B, Class D                                                        | CUSIP: 76042GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2084000 | PA      | $2130264.80   | 0.31%             | 2029-10-22      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Mortimer Btl Plc                                        | Mortimer 2024-Mix PLC, Series 2024-MIX, Class E                                                                | CUSIP: BCC3J5ZN4<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |    815000 | PA      | $1143929.22   | 0.17%             | 2028-06-22      | Floating      | 10.15%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAC81<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -637176 | NS      | $-637176.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2021-A, Class R1                                                       | CUSIP: 83405Y102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35142 | PA      | $325825.55    | 0.05%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Easy 2025-rtl1                                          | Easy Street Mortgage Loan Trust, Series 2025-RTL1, Class A1                                                    | CUSIP: 27786FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2141000 | PA      | $2163694.60   | 0.32%             | 2040-05-25      | Variable      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Ace Securities Corp.                                    | ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2, Class M1                                         | CUSIP: 00441YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684237 | PA      | $525083.66    | 0.08%             | 2036-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP8169068<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -521136 | NS      | $-595580.60   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities, Series 2021-R02, Class 2B2                                                      | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2926000 | PA      | $3068788.80   | 0.45%             | 2041-11-25      | Floating      | 10.55%                | Yes           |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | MARKIT CDX IG S44 5Y 6/30 ICE                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $2562.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2023-N4, Class E                                                        | CUSIP: 14688LAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2107000 | PA      | $2276824.20   | 0.33%             | 2028-11-10      | Fixed         | 9.56%                 | Yes           |                  2 | On Loan: No      |
| Gls Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2025-2, Series 2025-2A, Class E                                              | CUSIP: 37989BAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2122000 | PA      | $2229373.20   | 0.33%             | 2029-12-15      | Fixed         | 7.73%                 | Yes           |                  2 | On Loan: No      |
| Fortuna Consumer Loan Abs                               | Fortuna Consumer Loan Abs DAC, Series 2024-2, Class G                                                          | CUSIP: BCC3H8842<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |    500000 | PA      | $573082.44    | 0.08%             | 2028-01-18      | Floating      | 12.38%                | No            |                  2 | On Loan: No      |
| Mcf Clo Llc                                             | MCF CLO VII LLC, Series 2025-3A, Class D1R2                                                                    | CUSIP: 58039AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2057000 | PA      | $2057000.00   | 0.30%             | 2037-07-20      | Floating      | 3.45%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP11BAD64<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1187000 | NS      | $-1187000.00  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2024-2, Class M4                                                | CUSIP: 92259PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    604277 | PA      | $614005.51    | 0.09%             | 2054-04-25      | Variable      | 10.72%                | Yes           |                  2 | On Loan: No      |
| Mmp Capital                                             | MMP Capital LLC, Series 2025-A, Class C                                                                        | CUSIP: 55317QAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $765750.00    | 0.11%             | 2031-12-15      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -164000 | NS      | $-164000.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                               | Avant Loans Funding Trust, Series 2025-REV1, Class D                                                           | CUSIP: 05352BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1500000.00   | 0.22%             | 2028-12-15      | Fixed         | 8.39%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst        | Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Series 2006-HE3, Class M1                    | CUSIP: 04541GXD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635076 | PA      | $558994.15    | 0.08%             | 2036-03-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Symphony Clo Ltd                                        | Symphony CLO XXIX, Ltd., Series 2025-29A, Class ER                                                             | CUSIP: 87168LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1077000 | PA      | $1077000.00   | 0.16%             | 2035-10-15      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Braccan Mortgage Funding                                | Braccan Mortgage Funding 2025-1 PLC, Series 2025-1A, Class X                                                   | CUSIP: BCC3M25N0<br>LEI: 6354003DBF3NI8QJRR63 | Long             | ABS-MBS          | CORP              | GB        |    778000 | PA      | $1036758.67   | 0.15%             | 2029-02-17      | Floating      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Fta Santander Consumer Spain                            | FTA Santander Consumer Spain Auto, Series 2023-1, Class E                                                      | CUSIP: BCC3C5XD5<br>LEI: 984500C579T4DF83FR05 | Long             | ABS-O            | CORP              | ES        |    511484 | PA      | $625409.74    | 0.09%             | 2030-12-22      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A                                | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579351 | PA      | $559942.35    | 0.08%             | 2029-09-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                            | Veros Auto Receivables Trust, Series 2025-1, Class D                                                           | CUSIP: 92511BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1583000 | PA      | $1654551.60   | 0.24%             | 2032-05-17      | Fixed         | 8.79%                 | Yes           |                  2 | On Loan: No      |
| E-carat                                                 | E-Carat DE, Series 2024-1, Class F                                                                             | CUSIP: BCC3G72M1<br>LEI: 213800XVRRHAZW7DS467 | Long             | ABS-O            | CORP              | LU        |    389231 | PA      | $449771.05    | 0.07%             | 2035-11-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5381046<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1617577 | NS      | $-2138678.96  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP2629881<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1739830 | NS      | $-1988365.78  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-1, Series 2025-1A, Class D                                       | CUSIP: 76100AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1357000 | PA      | $1374098.20   | 0.20%             | 2027-02-25      | Fixed         | 10.18%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-2, Class D                                                                   | CUSIP: 694961AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    529580 | PA      | $535511.67    | 0.08%             | 2031-08-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -581000 | NS      | $-581000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Latitude Australia Credit Card Loan Note Trust          | Latitude Australia Credit Card Master Trust, Series 2024-2, Class E                                            | CUSIP: BCC3HDXR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    879000 | PA      | $567847.87    | 0.08%             | 2029-03-22      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP683VAC8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -358000 | NS      | $-358000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class E                                                 | CUSIP: 17322YAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564000 | PA      | $107554.80    | 0.02%             | 2047-10-10      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7788382<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -412782 | NS      | $-545759.60   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP90GAB14<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1892000 | NS      | $-1892000.00  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP79EAE86<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1824385 | NS      | $-1824385.00  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Tvc Mortgage Trust                                      | TVC Mortgage Trust, Series 2025-RRTL1, Class A2                                                                | CUSIP: 900927AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005000 | PA      | $1009824.00   | 0.15%             | 2040-04-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP25SAG12<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -750000 | NS      | $-750000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-5, Class D                                                           | CUSIP: 69546WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    702588 | PA      | $739966.18    | 0.11%             | 2026-05-15      | Fixed         | 12.97%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5459265<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |   -104284 | NS      | $-119181.03   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Alba Plc                                                | Alba PLC, Series 2007-1, Class C                                                                               | CUSIP: BCC0XU0K3<br>LEI: 2138008XOOHJFP498784 | Long             | ABS-MBS          | CORP              | GB        |   1612431 | PA      | $2009931.92   | 0.29%             | 2039-03-17      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.                    | Fieldstone Mortgage Investment Trust, Series 2005-3, Class M2                                                  | CUSIP: 31659TEK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626000 | PA      | $524385.00    | 0.08%             | 2036-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP62RAA86<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2385000 | NS      | $-2385000.00  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP41YAF97<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -359000 | NS      | $-359000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-1, Class E                                                                   | CUSIP: 69548AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499375 | PA      | $2556110.86   | 0.37%             | 2031-07-15      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP168AAG7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -448000 | NS      | $-448000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M1                                                            | CUSIP: 034936AB0<br>LEI: 254900ZFKOWCY24MSQ94 | Long             | ABS-MBS          | CORP              | US        |    905000 | PA      | $922919.00    | 0.14%             | 2055-02-25      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Bl Consumer Issuance Platform Ii                        | Compartment BL Consumer Credit 2024, Series 2024-1, Class E                                                    | CUSIP: BCC3DNFR4<br>LEI: 549300BCEKCIKD7MN312 | Long             | ABS-O            | CORP              | LU        |    438000 | PA      | $511480.96    | 0.07%             | 2027-03-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| London Bridge Mortgages                                 | London Bridge Mortgages PLC, Series 2025-1, Class F                                                            | CUSIP: BCC3M9ZT9<br>LEI: 63540064LX89RJMR9I46 | Long             | ABS-MBS          | CORP              | GB        |   1231000 | PA      | $1632774.50   | 0.24%             | 2030-04-20      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M3                                                            | CUSIP: 034936AD6<br>LEI: 254900ZFKOWCY24MSQ94 | Long             | ABS-MBS          | CORP              | US        |   1077000 | PA      | $1103817.30   | 0.16%             | 2055-02-25      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Northwoods Capital Ltd                                  | Northwoods Capital 27, Ltd., Series 2025-27A, Class A1R                                                        | CUSIP: 66860XAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3313000 | PA      | $3313000.00   | 0.49%             | 2034-10-17      | Floating      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Sandpiper Funding 2023, LLC, Participation Interest                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1912914 | PA      | $1912914.46   | 0.28%             | 2026-12-06      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Autonoria                                               | FCT Autonoria DE 2023, Series 2023-DE, Class F                                                                 | CUSIP: BCC38ZTR8<br>LEI: 549300XVWRQGZCNHXF23 | Long             | ABS-O            | CORP              | FR        |    217925 | PA      | $261558.38    | 0.04%             | 2043-01-26      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class D                                                                        | CUSIP: BCC3G6JR4<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    378486 | PA      | $438089.68    | 0.06%             | 2042-02-24      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| VONTIVE MORTGAGE TRUST                                  | VNTV 2025-RTL1 A2                                                                                              | CUSIP: 928884AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $759750.00    | 0.11%             | 2030-03-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                        | Soundview Home Loan Trust, Series 2007-OPT1, Class 2A3                                                         | CUSIP: 83612TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1739266 | PA      | $1230183.01   | 0.18%             | 2037-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans FT, Series 2024-1, Class D                                                              | CUSIP: BCC3HCN79<br>LEI: 9598007LTXPL84RD7W58 | Long             | ABS-O            | CORP              | ES        |   1382911 | PA      | $1587257.12   | 0.23%             | 2038-09-28      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5694046<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -401789 | NS      | $-459184.80   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Shackleton Clo Ltd                                      | Shackleton 2019-XIV Clo, Ltd., Series 2025-14A, Class DRR                                                      | CUSIP: 81880XBC5<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   1193000 | PA      | $1193000.00   | 0.17%             | 2034-07-20      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Rochester Financing                                     | Rochester Financing No 3 PLC, Series 2021-3, Class E                                                           | CUSIP: BCC30T1X7<br>LEI: 213800SDJSX34JWBW675 | Long             | ABS-MBS          | CORP              | GB        |    404000 | PA      | $531958.47    | 0.08%             | 2044-12-18      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Icap 2025-rtl1 Trust                                    | ICAP , Series 2025-RTL1, Class A1                                                                              | CUSIP: 45115QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2783000 | PA      | $2806377.20   | 0.41%             | 2028-01-25      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4151436<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1838572 | NS      | $-2430867.44  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0778838<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -265834 | NS      | $-351472.35   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-C, Class M1                             | CUSIP: 43709BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544322 | PA      | $580573.74    | 0.09%             | 2036-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Tvc Mortgage Trust                                      | TVC Mortgage Trust, Series 2025-RRTL1, Class M1                                                                | CUSIP: 900927AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $754050.00    | 0.11%             | 2040-04-25      | Variable      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP46UAA79<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2565000 | NS      | $-2565000.00  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex                                                   | Euro-BOBL Future                                                                                               | CUSIP: N/A<br>LEI: 529900UT4DG0LG5R9O07       | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $-536088.36   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.57686% IRS 06/20/2030                                                                 | CUSIP: SWP357686<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $20535.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya Ai Debt Grantor Trust, Series 2024-9, Class E                                                           | CUSIP: 69548QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1070500 | PA      | $1103364.51   | 0.16%             | 2026-07-15      | Fixed         | 10.11%                | Yes           |                  2 | On Loan: No      |
| Bl Consumer Issuance Platform Ii                        | Compartment BL Consumer Credit 2024, Series 2024-1, Class X1                                                   | CUSIP: BCC3DNFV5<br>LEI: 549300BCEKCIKD7MN312 | Long             | ABS-O            | CORP              | LU        |     62404 | PA      | $71882.42     | 0.01%             | 2027-03-25      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Cps Auto Trust                                          | Consumer Portfolio Services Auto Trust, Series 2025-A, Class E                                                 | CUSIP: 12633SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1038800.00   | 0.15%             | 2029-03-15      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Blackrock Liquidity Funds Treasury Trust Fund Portfolio | BlackRock Liquidity Funds Treasury Trust Fund Portfolio                                                        | CUSIP: 09248U551<br>LEI: 549300U5PI8CHFJM7202 | Long             | STIV             | RF                | US        |   2594545 | NS      | $2594545.00   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54MAL19<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1623952 | NS      | $-1623952.00  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2024-2, Class E                                                                       | CUSIP: BCC3H2Y53<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    740000 | PA      | $481431.31    | 0.07%             | 2027-09-10      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.2131 06/20/27                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-2531.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | RSD Funding 2025, LLC, Participation Interest                                                                  | CUSIP: RSD000003<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2869063 | PA      | $2869063.00   | 0.42%             | 2027-09-13      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2021-1, Class C                                                         | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80513 | PA      | $78846.33     | 0.01%             | 2027-11-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Financial Inc                                  | Flagstar Financial, Inc.                                                                                       | CUSIP: 649445AC7<br>LEI: 529900HVXOTLY61GL030 | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8495099.10   | 1.24%             | 2028-11-06      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2006-3X, Class CB                                                                  | CUSIP: BCC0TTLX0<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |   2237004 | PA      | $2375301.19   | 0.35%             | 2050-12-01      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2023-3, Class E                                                             | CUSIP: 33846BAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $935700.00    | 0.14%             | 2030-06-17      | Fixed         | 9.74%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4350391<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -869004 | NS      | $-1148953.39  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Jeronimo Funding                                        | Jeronimo Funding DAC, Series 2025-1, Class D                                                                   | CUSIP: BCC3K2RK4<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |    757000 | PA      | $849651.94    | 0.12%             | 2064-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2018-H3, Class D                                                        | CUSIP: 61767YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $854900.00    | 0.13%             | 2051-07-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates       | First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3                                                 | CUSIP: 32027NXY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1966539 | PA      | $1367924.50   | 0.20%             | 2036-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -435000 | NS      | $-435000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                        | Soundview Home Loan Trust, Series 2006-OPT2, Class M1                                                          | CUSIP: 83611MMM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629818 | PA      | $535030.01    | 0.08%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Rad Clo 12 Ltd                                          | Rad CLO 12, Ltd., Series 2025-12A, Class DR                                                                    | CUSIP: 75009QAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3179000 | PA      | $3179000.00   | 0.47%             | 2040-07-30      | Floating      | 10.96%                | Yes           |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 1, Series 2022-1, Class D                       | CUSIP: BCC37NBG9<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |    205431 | PA      | $259921.51    | 0.04%             | 2033-06-28      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                             | Island Finance Trust 2025-1, Series 2025-1A, Class B                                                           | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $768900.00    | 0.11%             | 2035-03-19      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                     | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class M1                                                 | CUSIP: 437919AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1392721.40   | 0.20%             | 2027-02-25      | Variable      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit Clo, Limited                        | Bain Capital Credit CLO 2018-2, Series 2018-2X, Class F                                                        | CUSIP: BCC2GXZ65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    192000 | PA      | $164083.20    | 0.02%             | 2031-07-19      | Floating      | 12.19%                | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2024-RTL4, Class M1                                                               | CUSIP: 50205PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $502450.00    | 0.07%             | 2027-01-25      | Variable      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REPO                                                                                                           | CUSIP: RP753ACF9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -526000 | NS      | $-526000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2024-1, Class F                                                                       | CUSIP: BCC3F5ZN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    760000 | PA      | $490923.10    | 0.07%             | 2025-10-10      | Floating      | 11.79%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9504038<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -800124 | NS      | $-914422.20   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5694053<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -371412 | NS      | $-424468.43   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Jeronimo Funding                                        | Jeronimo Funding DAC, Series 2025-1, Class C                                                                   | CUSIP: BCC3K2RJ7<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |    739000 | PA      | $828266.47    | 0.12%             | 2064-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2022-2, Class E                                                             | CUSIP: 33844XAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    926000 | PA      | $270021.60    | 0.04%             | 2029-06-15      | Fixed         | 8.20%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP920AE33<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -572000 | NS      | $-572000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust 2025-A, Series 2025-AA, Class E                                                 | CUSIP: 567920AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $764475.00    | 0.11%             | 2030-07-20      | Fixed         | 8.64%                 | Yes           |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2021-2, Class B1                                                                     | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    469000 | PA      | $494372.90    | 0.07%             | 2033-10-25      | Floating      | 11.97%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP95KAG67<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -476550 | NS      | $-476550.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-2, Class C                                                           | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1119000 | PA      | $1192294.50   | 0.17%             | 2033-06-20      | Fixed         | 11.87%                | Yes           |                  2 | On Loan: No      |
| Hyt Commercial Mortgage Trust 2024-rgcy                 | HYT Commercial Mortgage Trust, Series 2024-RGCY, Class F                                                       | CUSIP: 449173AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2303000 | PA      | $2307606.00   | 0.34%             | 2026-09-15      | Floating      | 9.43%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST4, Class CERT                                                        | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8621000 | PA      | $811560.77    | 0.12%             | 2027-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -233000 | NS      | $-233000.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2025-RTL1, Class M1                                                               | CUSIP: 50205UAC5<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $757948.00    | 0.11%             | 2040-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9830915<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -298077 | NS      | $-394102.42   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B2A                                                                 | CUSIP: BCC0Z8XL2<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    433748 | PA      | $523931.48    | 0.08%             | 2040-10-10      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2022-ST2, Class CERT                                                        | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $381094.20    | 0.06%             | 2030-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C                                          | CUSIP: 05493LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2461000 | PA      | $2260428.50   | 0.33%             | 2038-09-15      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91FAA49<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3892000 | NS      | $-3892000.00  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class D                                                             | CUSIP: BCC3J9VP5<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |    936000 | PA      | $1059652.92   | 0.16%             | 2063-01-24      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Kkr Real Estate Fin                                     | KKR Real Estate Finance Trust, Inc., Series Series A                                                           | CUSIP: 48251K209<br>LEI: 549300K23AYZDZ2REL62 | Long             | EP               | CORP              | US        |    108779 | NS      | $2250637.51   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2025-1, Class X1                                                                           | CUSIP: BCC3LZFL1<br>LEI: 2138002O8DSFIQGKRU14 | Long             | ABS-MBS          | CORP              | GB        |    663267 | PA      | $883954.09    | 0.13%             | 2029-01-27      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Markit CMBX BB Index, Series 14                                                                                | CUSIP: CXNP9U6H0<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-667916.67   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2023-1, Class E                                                | CUSIP: 90945CAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    529000 | PA      | $569045.30    | 0.08%             | 2029-09-10      | Fixed         | 10.98%                | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2024-1, Class X                                                                            | CUSIP: BCC3DT808<br>LEI: 635400SJNGQKQ4OKRU39 | Long             | ABS-MBS          | CORP              | GB        |     41744 | PA      | $55793.22     | 0.01%             | 2028-02-26      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| Gcat                                                    | GCAT , Series 2019-RPL1, Class B3                                                                              | CUSIP: 36167CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988000 | PA      | $766194.00    | 0.11%             | 2068-10-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| East One                                                | East One PLC, Series 2024-1, Class E                                                                           | CUSIP: BCC3F2F80<br>LEI: 213800PCKNACOVV1MZ66 | Long             | ABS-MBS          | CORP              | GB        |    783000 | PA      | $1061745.45   | 0.16%             | 2027-06-27      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Baml Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G                                   | CUSIP: 61765TAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449060 | PA      | $886389.78    | 0.13%             | 2048-10-15      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                   | Anchor Mortgage Trust, Series 2025-RTL1, Class M1                                                              | CUSIP: 03290CAC0<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $758175.00    | 0.11%             | 2040-05-25      | Variable      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | SWF Funding LLC, Loan Facility                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1959212 | PA      | $1959211.88   | 0.29%             | 2027-09-23      | Variable      | 12.32%                | No            |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya Ai Debt Grantor Trust, Series 2024-9, Class F                                                           | CUSIP: 69548QAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1399786 | PA      | $1371090.28   | 0.20%             | 2027-09-15      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Bullock Legal Group, Loan Facility                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1765818 | PA      | $1765818.49   | 0.26%             | 2028-03-28      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk Rmbs NO 9 Dac, Series 2024-9, Class X2                                                                  | CUSIP: BCC3FNW93<br>LEI: 635400EER3OFDNYI7P30 | Long             | ABS-MBS          | CORP              | IE        |    613000 | PA      | $653699.46    | 0.10%             | 2028-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                     | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A2A                                               | CUSIP: 07401YAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    808957 | PA      | $735827.52    | 0.11%             | 2037-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91LAA70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1733000 | NS      | $-1733000.00  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class C                                        | CUSIP: 63873VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946000 | PA      | $835034.20    | 0.12%             | 2036-08-15      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-8, Class E                                                           | CUSIP: 69548PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1165893 | PA      | $1205183.56   | 0.18%             | 2032-01-15      | Fixed         | 10.41%                | Yes           |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class D                                                                  | CUSIP: BCC3FJWY7<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |    345060 | PA      | $403540.14    | 0.06%             | 2029-10-22      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | BP Currency Future                                                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -487 | NC      | $-40250550.00 | -5.90%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0999617<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1715587 | NS      | $-1960659.65  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-6, Series 2022-6A, Class E                                            | CUSIP: 30168AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2611000 | PA      | $2900037.70   | 0.42%             | 2030-06-17      | Fixed         | 11.61%                | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST1, Class CERT                                                        | CUSIP: 91681MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8571429 | PA      | $577240.91    | 0.08%             | 2027-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2023-2, Class E                                                                       | CUSIP: BCC3CM7Z8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    780000 | PA      | $520901.12    | 0.08%             | 2025-11-10      | Floating      | 15.79%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP42NAE58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -999000 | NS      | $-999000.00   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Venture Cdo Ltd                                         | Venture XXIX CLO, Ltd., Series 2017-29A, Class D                                                               | CUSIP: 92331EAE6<br>LEI: 549300ITFR7G25007V93 | Long             | ABS-CBDO         | CORP              | KY        |   2373000 | PA      | $2272622.10   | 0.33%             | 2030-09-07      | Floating      | 8.49%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7788200<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -399287 | NS      | $-527917.19   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Aims Home Loans                                         | AIMS , Series 2007-1, Class B                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | AU        |    732053 | PA      | $387592.05    | 0.06%             | 2038-07-10      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP548QAB2<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -877000 | NS      | $-877000.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Mulcair Securities Dac                                  | Mulcair Securities, Series 2025-4, Class C                                                                     | CUSIP: BCC3LRLR9<br>LEI: 635400WTZS4ESHSIT120 | Long             | ABS-MBS          | CORP              | IE        |    813000 | PA      | $907024.07    | 0.13%             | 2028-07-24      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1816150<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -341200 | NS      | $-389940.63   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B2                                                | CUSIP: 20754EAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687000 | PA      | $752745.90    | 0.11%             | 2043-07-25      | Floating      | 10.25%                | Yes           |                  2 | On Loan: No      |
| Smr 2022-ind Mortgage Trust                             | SMR, Series 2022-IND Mortgage Trust, Class E                                                                   | CUSIP: 78458MAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10530287 | PA      | $10556612.84  | 1.55%             | 2039-02-15      | Floating      | 9.34%                 | Yes           |                  2 | On Loan: No      |
| Flatiron Clo Ltd                                        | Flatiron CLO 19, Ltd., Series 2025-1A, Class DR2                                                               | CUSIP: 33883JBC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $754875.00    | 0.11%             | 2034-11-16      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-3nc PLC, Series 2006-3X, Class D1A                                                               | CUSIP: BCC0U2044<br>LEI: 21380051KSXNQVZ6KG27 | Long             | ABS-MBS          | CORP              | GB        |    624000 | PA      | $650739.14    | 0.10%             | 2044-09-10      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Red & Black Auto Germany Ug                             | Red & Black Auto Germany 9 UG, Series 2022-9, Class D                                                          | CUSIP: BCC37MGR2<br>LEI: 39120094MD75F1PA4Q70 | Long             | ABS-O            | CORP              | DE        |    254693 | PA      | $297800.08    | 0.04%             | 2026-12-15      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-backed Ctfs                     | Washington Mutual Asset-Backed Certificates WMABS, Series 2006-HE2, Class A3                                   | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940202 | PA      | $755170.51    | 0.11%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP31BAB71<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -490000 | NS      | $-490000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Whitebox Clo Ltd                                        | Whitebox CLO IV, Ltd., Series 2025-4A, Class D2R                                                               | CUSIP: 96467KAW9<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751875.00    | 0.11%             | 2036-04-20      | Floating      | 10.32%                | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-B, Class R1                                                       | CUSIP: 83405F103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5664 | PA      | $132595.88    | 0.02%             | 2046-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Silk Finance                                            | TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class D                    | CUSIP: BCC2P1JC0<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    152453 | PA      | $172262.75    | 0.03%             | 2035-02-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-10, Class E                                                          | CUSIP: 69546UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3999661 | PA      | $4127250.32   | 0.60%             | 2026-10-15      | Fixed         | 10.41%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2023-DNA2, Class B1                                                      | CUSIP: 35564KW70<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | USGSE             | US        |   1021000 | PA      | $1162000.10   | 0.17%             | 2043-04-25      | Floating      | 11.95%                | Yes           |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B1A                                                                 | CUSIP: BCC0Z8XJ7<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    531032 | PA      | $639124.88    | 0.09%             | 2040-10-10      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Exmoor Funding Plc                                      | Exmoor Funding PLC, Series 2024-1, Class X                                                                     | CUSIP: BCC3FWSV9<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |    231058 | PA      | $307784.58    | 0.05%             | 2028-06-25      | Floating      | 12.23%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5380824<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -547845 | NS      | $-724333.11   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class A                                                  | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538000 | PA      | $510239.20    | 0.07%             | 2026-05-15      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP66XAG97<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1636000 | NS      | $-1636000.00  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                     | Homeward Opportunities Fund Trust, Series 2024-RRTL2, Class M1                                                 | CUSIP: 43789GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749000 | PA      | $754992.00    | 0.11%             | 2039-09-25      | Variable      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class G                                                                        | CUSIP: BCC3C9340<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    378844 | PA      | $441880.81    | 0.06%             | 2026-10-12      | Floating      | 10.98%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP25QAD25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -752000 | NS      | $-752000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST4, Class CERT                                                        | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150718 | PA      | $4794.17      | 0.00%             | 2026-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class C                                                              | CUSIP: BCC3L0CY3<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |   1343000 | PA      | $1522109.13   | 0.22%             | 2078-06-24      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2023-1, Class F                                                                            | CUSIP: BCC39YWY1<br>LEI: 635400VADRWDQSM8BE46 | Long             | ABS-MBS          | CORP              | GB        |   1499000 | PA      | $2066926.03   | 0.30%             | 2061-02-23      | Floating      | 12.47%                | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class F                                                                        | CUSIP: BCC3C9332<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    367809 | PA      | $430187.50    | 0.06%             | 2026-10-12      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class B                                          | CUSIP: 05493LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3207000 | PA      | $3041518.80   | 0.45%             | 2038-09-15      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2025-2, Class D                                                           | CUSIP: 91679EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2433000 | PA      | $2465602.20   | 0.36%             | 2035-06-20      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2024-A, Class C                                                         | CUSIP: 20824DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080000 | PA      | $696708.00    | 0.10%             | 2025-08-15      | Fixed         | 10.34%                | Yes           |                  3 | On Loan: No      |
| Chicago Board of Trade                                  | US 2Yr Note Future                                                                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        83 | NC      | $17179703.21  | 2.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Asset Based Lending Llc                                 | ABL, Series 2025-RTL1, Class A2                                                                                | CUSIP: 00092RAB5<br>LEI: 254900C9FQN3N2YOSF41 | Long             | ABS-MBS          | CORP              | US        |   1574000 | PA      | $1597767.40   | 0.23%             | 2030-06-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Ilpt Commercial Mortgage Trust                          | ILPT Commercial Mortgage Trust, Series 2025-LPF2, Class E                                                      | CUSIP: 451955AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3920000 | PA      | $4006240.00   | 0.59%             | 2030-07-13      | Variable      | 8.20%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-DNA1, Class B2                                                      | CUSIP: 35565HBE4<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |    838000 | PA      | $926576.60    | 0.14%             | 2050-01-25      | Floating      | 9.71%                 | Yes           |                  2 | On Loan: No      |
| Scf Rahoituspalvelut Dac                                | SCF Rahoituspalvelut X DAC, Series 2021-10, Class D                                                            | CUSIP: BCC32NQ29<br>LEI: 875500WTQ56BZWOYTK26 | Long             | ABS-O            | CORP              | IE        |    108863 | PA      | $121851.18    | 0.02%             | 2031-10-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16                                                  | CUSIP: 75115CAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350589 | PA      | $251057.08    | 0.04%             | 2036-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust, Series 2017-PFHP, Class D                                                                          | CUSIP: 12595KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734000 | PA      | $690547.20    | 0.10%             | 2030-12-15      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class B                                                  | CUSIP: 36264YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $887800.00    | 0.13%             | 2026-05-15      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-2, Class C                                                           | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448000 | PA      | $477344.00    | 0.07%             | 2028-04-20      | Fixed         | 11.87%                | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding PLC, Series 2024-3, Class E                                                          | CUSIP: BCC3FZ9Y7<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |    395000 | PA      | $522458.03    | 0.08%             | 2049-06-25      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Fylde Funding Plc                                       | Fylde Funding PLC, Series 2024-1, Class E                                                                      | CUSIP: BCC3H9HR9<br>LEI: 635400MPOQMXSXWK5E32 | Long             | ABS-MBS          | CORP              | GB        |    741000 | PA      | $983631.79    | 0.14%             | 2028-10-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP47UAD00<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1933000 | NS      | $-1933000.00  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2024-1, Series 2024-1A, Class D                                                                | CUSIP: 75526PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $214800.00    | 0.03%             | 2027-09-15      | Fixed         | 10.64%                | Yes           |                  2 | On Loan: No      |
| Plenti Pl-green Abs Trust                               | Plenti PL-Green ABS Trust, Series 2024-1, Class F                                                              | CUSIP: BCC3D9KP3<br>LEI: 9845000D4O8B5S3BD736 | Long             | ABS-O            | CORP              | AU        |    526306 | PA      | $340543.38    | 0.05%             | 2035-06-11      | Floating      | 11.59%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0999708<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1064902 | NS      | $-1217023.90  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP173AJ25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4051000 | NS      | $-4051000.00  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71NAH98<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -564000 | NS      | $-564000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Autonoria                                               | AutoNoria Spain 2025 FT, Series 2025-SP, Class F                                                               | CUSIP: BCC3MHXS5<br>LEI: 9598003381JB7Z32LH47 | Long             | ABS-O            | CORP              | ES        |   3400000 | PA      | $3917943.33   | 0.57%             | 2043-04-30      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Rochester Financing                                     | Rochester Financing No 3 PLC, Series 2021-3, Class F                                                           | CUSIP: BCC30T1Y5<br>LEI: 213800SDJSX34JWBW675 | Long             | ABS-MBS          | CORP              | GB        |    412000 | PA      | $541239.44    | 0.08%             | 2044-12-18      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST7, Class CERT                                                        | CUSIP: 91683KAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $1048846.89   | 0.15%             | 2029-09-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-8, Class E                                                                   | CUSIP: 694960AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2498395 | PA      | $2523129.34   | 0.37%             | 2031-06-16      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2025-2, Class X1                                                                           | CUSIP: BCC3N2D67<br>LEI: 6354008SKUHLCPHT7N63 | Long             | ABS-MBS          | CORP              | GB        |   6554000 | PA      | $8731226.00   | 1.28%             | 2068-08-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1000050<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -626186 | NS      | $-715637.05   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding 2024-1 PLC, Series 2024-1A, Class F                                                  | CUSIP: BCC3D0ZK7<br>LEI: 635400189QMSKAUNA660 | Long             | ABS-MBS          | CORP              | GB        |    465000 | PA      | $614123.34    | 0.09%             | 2060-06-20      | Floating      | 9.23%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust            | Arivo Acceptance Auto Loan Receivables Trust 2024-1, Series 2024-1A, Class D                                   | CUSIP: 039943AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1792000 | PA      | $2055782.40   | 0.30%             | 2028-01-15      | Fixed         | 12.55%                | Yes           |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos, Series 2024-2, Class D                                           | CUSIP: BCC3H2L81<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |    451702 | PA      | $520306.48    | 0.08%             | 2034-02-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP121PAY9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -566000 | NS      | $-566000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-5, Series 2022-5A, Class E                                            | CUSIP: 30167FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1989000 | PA      | $2107345.50   | 0.31%             | 2030-04-15      | Fixed         | 10.45%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -643000 | NS      | $-643000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Dowson                                                  | Dowson PLC, Series 2024-1, Class F                                                                             | CUSIP: BCC3HXVH2<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |   1252000 | PA      | $1636957.26   | 0.24%             | 2031-08-20      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                             | Island Finance Trust 2025-1, Series 2025-1A, Class C                                                           | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    802000 | PA      | $804486.20    | 0.12%             | 2035-03-19      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class B2                                                      | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |   1789000 | PA      | $2029441.60   | 0.30%             | 2050-12-25      | Floating      | 10.00%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-6, Class D                                                                   | CUSIP: 69547UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2749295 | PA      | $2777337.70   | 0.41%             | 2031-06-16      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP47GAA76<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1050000 | NS      | $-1050000.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Popular Abs Mortgage Pass-through Trust                 | Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1                                              | CUSIP: 73316PGL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404873 | PA      | $284220.81    | 0.04%             | 2035-11-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9459457<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -426512 | NS      | $-487439.50   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding LXII, Ltd., Series 2025-62A, Class ER2                                                    | CUSIP: 55817JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    856000 | PA      | $856000.00    | 0.13%             | 2038-07-16      | Floating      | 11.07%                | Yes           |                  2 | On Loan: No      |
| Cps Auto Trust                                          | Consumer Portfolio Services Auto Trust, Series 2025-B, Class E                                                 | CUSIP: 12630SAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2092000 | PA      | $2199738.00   | 0.32%             | 2029-06-15      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5904064<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -482811 | NS      | $-551780.85   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Domivest B.v.                                           | Domi BV, Series 2021-1, Class E                                                                                | CUSIP: BCC30J4T5<br>LEI: 724500GC0MQI1HTJVG97 | Long             | ABS-MBS          | CORP              | NL        |    704000 | PA      | $809152.86    | 0.12%             | 2053-06-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1                                                | CUSIP: 20753ACF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    626000 | PA      | $699367.20    | 0.10%             | 2043-04-25      | Floating      | 10.70%                | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class A                                                                 | CUSIP: 05493HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560000 | PA      | $1515384.00   | 0.22%             | 2036-06-15      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust, Series 2017-PFHP, Class A                                                                          | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302369 | PA      | $300040.76    | 0.04%             | 2030-12-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class E                                                                 | CUSIP: 05493HAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2243000 | PA      | $2099223.70   | 0.31%             | 2026-06-15      | Floating      | 7.61%                 | Yes           |                  2 | On Loan: No      |
| Sbl Holdings Inc                                        | SBL Holdings, Inc.                                                                                             | CUSIP: 78397DAC2<br>LEI: 635400MJW3QDSBJRKQ59 | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $3963172.60   | 0.58%             | 9999-12-31      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP68AAG76<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -595000 | NS      | $-595000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc Of America Funding Corporation                     | Banc of America Funding , Series 2007-5, Class CA8                                                             | CUSIP: 059523BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2149624 | PA      | $156707.58    | 0.02%             | 2037-07-25      | Floating      | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP2449171<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1564527 | NS      | $-2068538.92  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Davis Park Clo                                          | Davis Park CLO, Ltd., Series 2025-1A, Class D1R                                                                | CUSIP: 239086AU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    750000 | PA      | $750000.00    | 0.11%             | 2038-07-20      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class G                                               | CUSIP: 94989VBF5<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |    814500 | PA      | $628794.00    | 0.09%             | 2057-09-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | BriteCap SPV 3 LLC, Loan Facility                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3438564 | PA      | $3438563.73   | 0.50%             | 2027-06-30      | Variable      | 11.08%                | No            |                  3 | On Loan: No      |
| Quarzo Srl                                              | Quarzo Srl, Series 2024-1, Class D                                                                             | CUSIP: BCC3G2GS4<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |    409314 | PA      | $473118.07    | 0.07%             | 2041-06-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos, Series 2024-2, Class E                                           | CUSIP: BCC3H2L99<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |   1626128 | PA      | $1879793.62   | 0.28%             | 2034-02-25      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Bhms Mortgage Trust                                     | BHMS, Series 2018-ATLS, Class D                                                                                | CUSIP: 05549GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1202000 | PA      | $1203202.00   | 0.18%             | 2035-07-15      | Floating      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M1                                                | CUSIP: 922955AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749041 | PA      | $756905.88    | 0.11%             | 2032-12-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP673ZH84<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -351000 | NS      | $-351000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -563000 | NS      | $-563000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Autoflorence                                            | AutoFlorence 2 Srl, Series 2021-2, Class F                                                                     | CUSIP: BCC31J357<br>LEI: 815600C91B7AF7C88210 | Long             | ABS-O            | CORP              | IT        |     21925 | PA      | $24650.54     | 0.00%             | 2044-12-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| E-carat                                                 | ECARAT DE SA Compartment Lease, Series 2025-1, Class F                                                         | CUSIP: BCC3M8ZP9<br>LEI: 213800XVRRHAZW7DS467 | Long             | ABS-O            | CORP              | LU        |   1900000 | PA      | $2184878.94   | 0.32%             | 2034-05-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Achv Abs Trust                                          | ACHV ABS TRUST, Series 2023-4CP, Class E                                                                       | CUSIP: 00092CAE2<br>LEI: 549300V82ZKZDTAU0A46 | Long             | ABS-O            | CORP              | US        |   1260000 | PA      | $1292004.00   | 0.19%             | 2026-07-25      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.058 04/04/30                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $835.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2019-6, Class B2                                                              | CUSIP: 03464VAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    846000 | PA      | $785088.00    | 0.12%             | 2059-11-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Brant Point Clo Ltd                                     | Brant Point CLO 2023-1, Ltd., Series 2025-1A, Class D1R                                                        | CUSIP: 104922AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1454000 | PA      | $1454000.00   | 0.21%             | 2038-07-26      | Floating      | 7.81%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0271946<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |    -75472 | NS      | $-86253.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class M1C                                                                      | CUSIP: 75049AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507650.00    | 0.07%             | 2034-09-25      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | MARKIT CDX HY S44 5Y 6/30 ICE                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $2284072.53   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Plenti Pl-green Abs Trust                               | Plenti PL-Green ABS Trust, Series 2024-1, Class E                                                              | CUSIP: BCC3D9KN8<br>LEI: 9845000D4O8B5S3BD736 | Long             | ABS-O            | CORP              | AU        |    692507 | PA      | $447682.48    | 0.07%             | 2035-06-11      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-3, Series 2024-3A, Class E                                             | CUSIP: 89617AAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1426740.00   | 0.21%             | 2027-11-15      | Fixed         | 8.64%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp. Mortgage Loan Trust 2006-W1, Series 2006-W1A, Class M1                       | CUSIP: 86361CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2117683 | PA      | $2061776.34   | 0.30%             | 2046-08-25      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Elmwood Clo X Ltd                                       | Elmwood CLO X, Ltd., Series 2025-3A, Class ER2                                                                 | CUSIP: 29002WAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $754650.00    | 0.11%             | 2038-07-20      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Ownit Mortgage Loan Asset-backed Certificates           | Ownit Mortgage Loan Trust, Series 2005-4, Class M1                                                             | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    862868 | PA      | $787971.37    | 0.12%             | 2036-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-through Certificates                 | WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1C                                            | CUSIP: 92925CDC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201824 | PA      | $292765.42    | 0.04%             | 2046-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program, Series 2020-A, Class R1                                                        | CUSIP: 83406T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14661 | PA      | $195247.15    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48GAA67<br>LEI: N/A                  | Short            | RA               | CORP              | US        | -11250000 | NS      | $-11250000.00 | -1.65%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                  | Residential Asset Securitization Trust, Series 2005-A15, Class 2A10                                            | CUSIP: 45660L4A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382775 | PA      | $409024.78    | 0.06%             | 2036-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2                                                | CUSIP: 20754NAR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644000 | PA      | $736414.00    | 0.11%             | 2042-05-25      | Floating      | 14.95%                | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | Lhome Mortgage Trust 2025-Rtl2, Series 2025-RTL2, Class M1                                                     | CUSIP: 50206RAC1<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $748650.00    | 0.11%             | 2040-04-25      | Variable      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | GRDN 2024-1 B                                                                                                  | CUSIP: BCC3JLXT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | SE        |  28221452 | PA      | $2912289.56   | 0.43%             | 2049-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust 2025-2, Series 2025-2A, Class E                                                       | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1338000 | PA      | $1334119.80   | 0.20%             | 2052-04-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Reach Consumer 2022-1, LLC, Class B Facility                                                                   | CUSIP: REACHCAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    377751 | PA      | $377750.74    | 0.06%             | 2027-11-29      | Variable      | 13.33%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91VAE56<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -423000 | NS      | $-423000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                                  | Northwoods Capital 27, Ltd., Series 2025-27A, Class CR                                                         | CUSIP: 66860XAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1305000 | PA      | $1305000.00   | 0.19%             | 2034-10-17      | Floating      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1B2                                                | CUSIP: 20754GAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2655000 | PA      | $2749252.50   | 0.40%             | 2044-02-25      | Floating      | 8.05%                 | Yes           |                  2 | On Loan: No      |
| Small Business Origination Loan Trust                   | Small Business Origination Loan Trust DAC, Series 2025-1, Class C                                              | CUSIP: BCC3LQT85<br>LEI: 635400ZO4NUYBCC9ZI87 | Long             | ABS-O            | CORP              | IE        |   2152307 | PA      | $2832582.32   | 0.42%             | 2036-12-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust, Series 2005-2, Class M6                                                 | CUSIP: 126673ZH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542592 | PA      | $531576.97    | 0.08%             | 2035-08-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fta Santander Consumer Spain                            | FTA Santander Consumer Spain Auto, Series 2022-1, Class E                                                      | CUSIP: BCC37VYS0<br>LEI: 9845003BH55E866D9D45 | Long             | ABS-O            | CORP              | ES        |    276862 | PA      | $329321.70    | 0.05%             | 2038-09-20      | Floating      | 14.01%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7719138<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -576463 | NS      | $-762170.39   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57JAN28<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4223205 | NS      | $-4223205.00  | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-2, Series 2024-2A, Class E                                             | CUSIP: 89616PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $731290.00    | 0.11%             | 2027-04-15      | Fixed         | 10.44%                | Yes           |                  2 | On Loan: No      |
| Jp Morgan Mortgage Acquisition Corp                     | JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2                                                | CUSIP: 46625SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140886 | PA      | $1122061.53   | 0.16%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2025-1, Series 2025-1A, Class D                                             | CUSIP: 89617CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1660000 | PA      | $1700172.00   | 0.25%             | 2028-05-15      | Fixed         | 6.84%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48MAA36<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -576000 | NS      | $-576000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -374000 | NS      | $-374000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Syon Securities 2020-2 Designated Activity Company      | SYON, Series 2020-2, Class E                                                                                   | CUSIP: BCC2PP9E4<br>LEI: 5493000H7F78QNDVY831 | Long             | ABS-MBS          | CORP              | US        |    769133 | PA      | $1035111.10   | 0.15%             | 2027-12-17      | Floating      | 10.48%                | No            |                  2 | On Loan: No      |
| Hyt Commercial Mortgage Trust 2024-rgcy                 | HYT Commercial Mortgage Trust, Series 2024-RGCY, Class E                                                       | CUSIP: 449173AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15054000 | PA      | $15085613.40  | 2.21%             | 2026-09-15      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP35AAE82<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -636416 | NS      | $-636416.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Dbwf Mortgage Trust                                     | DBWF, Series 2024-LCRS Mortgage Trust, Class E                                                                 | CUSIP: 23307KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2001000.00   | 0.29%             | 2029-04-15      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Rckt Trust                                              | RCKT Trust 2025-PL1, Series 2025-1A, Class E                                                                   | CUSIP: 74939RAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1757700.00   | 0.26%             | 2034-07-25      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Twin Bridges                                            | Twin Bridges PLC, Series 2022-2, Class E                                                                       | CUSIP: BCC36Y565<br>LEI: 2138009CPSZVO86ALM43 | Long             | ABS-MBS          | CORP              | GB        |    241000 | PA      | $321760.73    | 0.05%             | 2055-06-12      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class F                                                             | CUSIP: BCC3DXKZ8<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    749000 | PA      | $867123.05    | 0.13%             | 2065-01-26      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.108 04/04/29                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-540165.57   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Bletchley Park Funding                                  | Bletchley Park Funding PLC, Series 2024-1, Class E                                                             | CUSIP: BCC3GPZD5<br>LEI: 635400MQ1CHOSPPF5277 | Long             | ABS-MBS          | CORP              | GB        |    430000 | PA      | $580918.21    | 0.09%             | 2028-07-27      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-5, Class D                                                                   | CUSIP: 69546PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2045000 | PA      | $2056452.00   | 0.30%             | 2031-04-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Mortimer Btl Plc                                        | Mortimer 2024-Mix PLC, Series 2024-MIX, Class X                                                                | CUSIP: BCC3J5ZP9<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |    458389 | PA      | $609998.43    | 0.09%             | 2028-06-22      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust, Series 2025-RM11, Class A1                                                | CUSIP: 10638GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612550 | PA      | $593315.83    | 0.09%             | 2065-05-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7177601<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -1427993 | NS      | $-1631982.67  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust 2024-6 and Pagaya AI Debt Trust, Series 2024-6, Class D                           | CUSIP: 69548LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    703369 | PA      | $722993.28    | 0.11%             | 2026-06-15      | Fixed         | 11.35%                | Yes           |                  2 | On Loan: No      |
| Tagus Sociedade De Titularizacao De Creditos            | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 1, Series 2023-1, Class F                    | CUSIP: BCC3BYVP8<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    125179 | PA      | $153575.67    | 0.02%             | 2029-07-27      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-5, Class E                                                           | CUSIP: 69548XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3097000 | PA      | $3141596.80   | 0.46%             | 2033-03-15      | Fixed         | 9.70%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                     | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2                                                | CUSIP: 07401NAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828206 | PA      | $774621.10    | 0.11%             | 2037-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9459028<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1236990 | NS      | $-1413694.78  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2018-D, Class R1                                                       | CUSIP: 83401A108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27236 | PA      | $164521.78    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Neuberger Berman Clo Ltd                                | Neuberger Berman Loan Advisers CLO 34, Ltd., Series 2025-34A, Class A1R2                                       | CUSIP: 64132YBE1<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |   6346000 | PA      | $6346000.00   | 0.93%             | 2039-07-20      | Floating      | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Rad Clo 12 Ltd                                          | Rad CLO 12, Ltd., Series 2025-12A, Class A1AR                                                                  | CUSIP: 75009PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2994000 | PA      | $2994000.00   | 0.44%             | 2040-07-30      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-30

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

**Signature:** Stephanie Dolan

**Name of Signer:** Stephanie Dolan

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