# EDGAR Filing Document

**Accession Number:** 0001593547
**File Stem:** 0001752724-25-211266
**Filing Date:** 2025-8
**Character Count:** 338323
**Document Hash:** 8aa6a23131b2f6da3464c43d7d57c3af
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-211266.hdr.sgml**: 20250828

**ACCESSION NUMBER**: 0001752724-25-211266

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250828

**DATE AS OF CHANGE**: 20250828

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Advisors' Inner Circle Fund III
- **CENTRAL INDEX KEY:** 0001593547

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22920
- **FILM NUMBER:** 251270359

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FREEDOM VALLEY DRIVE
- **CITY:** OAKS
- **STATE:** PA
- **ZIP:** 19456
- **BUSINESS PHONE:** (800) 342-5734

**MAIL ADDRESS:**
- **STREET 1:** ONE FREEDOM VALLEY DRIVE
- **CITY:** OAKS
- **STATE:** PA
- **ZIP:** 19456

## Series and Classes Contracts Data

### FS Multi-Strategy Alternatives Fund (Series ID: S000075444)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000234545 | Class I      | FSMSX           |
| C000234546 | Class A      | FSMMX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** ADVISORS' INNER CIRCLE III

- **b. Investment Company Act file number:** 811-22920

- **c. CIK number of Registrant:** 0001593547

- **d. LEI of Registrant:** 549300TG800HOPJVWT31

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

  - **Street Address 1:** ONE FREEDOM VALLEY DRIVE

  - **City:** OAKS

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19456

  - **Telephone number:** 8774463863

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

- **a. Name of Series:** FS Multi-Strategy Alternatives Fund

- **b. EDGAR series identifier (if any):** S000075444

- **c. LEI of Series:** 549300E0668BUMX3FG88

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

- **a. Date of fiscal year-end:** 2025-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $5514020322.60

**Total Liabilities:** $3742730230.74

**Net Assets:** $1771290091.86

**Cash Not Reported:** $219617405.97

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000234545 | 0.63%                | 0.54%                | -0.54%               |
| Class ID C000234546 | -4.36%               | -4.55%               | -5.55%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3477948.57              | $33266214.65                               |
| Month 2  | $-2140009.70             | $-15439240.15                              |
| Month 3  | $-2270725.76             | $20638429.31                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 1261229 B.C. Ltd                                    | 1261229 BC LTD 144A 10.000000% 04/15/2032                                | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | NUSS              | US        |     955000 | PA      | $963375.32      | 0.05%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | 22v Credit Curve Quality Basket (Long) TRS                               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DE               |  | US        |     675180 | NC      | $220041.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | 22v Credit Curve Quality Basket (Short) TRS                              | CUSIP: TUCFH1000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |   69732889 | NC      | $-241066.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK AVENUE TRUST                                   | 245 PARK AVENUE TRUST 2017-245P PRKAV 2017-245P E                        | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1960000 | PA      | $1832119.21     | 0.10%             | 2037-06-05      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  DEC25 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -927 | NC      | $-223244775.00  | -12.60%           |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  DEC26 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -927 | NC      | $-224727975.00  | -12.69%           |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  JUN25 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -927 | NC      | $-221703637.50  | -12.52%           |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  JUN26 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -927 | NC      | $-224380350.00  | -12.67%           |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  MAR26 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -927 | NC      | $-223870500.00  | -12.64%           |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  MAR27 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -927 | NC      | $-224693212.50  | -12.69%           |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  SEP25 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -927 | NC      | $-222456825.00  | -12.56%           |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  SEP26 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -927 | NC      | $-224646862.50  | -12.68%           |  |  |  | No            |                  1 | On Loan: No      |
| A&D MORTGAGE TRUST                                  | A&D MORTGAGE TRUST 2023-NQM4 ADMT 2023-NQM4 B1                           | CUSIP: 00002MAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1500000 | PA      | $1504734.90     | 0.08%             | 2068-09-25      | Floating      | 8.06%                 | Yes           |                  2 | On Loan: No      |
| A&D MORTGAGE TRUST                                  | A&D MORTGAGE TRUST 2024-NQM1 ADMT 2024-NQM1 B1                           | CUSIP: 00039GAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4000000 | PA      | $4041491.60     | 0.23%             | 2069-02-25      | Floating      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| A&D MORTGAGE TRUST                                  | A&D MORTGAGE TRUST 2024-NQM2 ADMT 2024-NQM2 B1                           | CUSIP: 00002NAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1807000 | PA      | $1826782.49     | 0.10%             | 2069-04-25      | Floating      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| AB BSL CLO LTD                                      | AB BSL CLO 2 LTD ABBSL 2021-2A E                                         | CUSIP: 00037JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $234393.25      | 0.01%             | 2034-04-15      | Floating      | 11.23%                | Yes           |                  2 | On Loan: No      |
| ACCELERATED LLC                                     | ACCELERATED 2024-1 LLC AALLC 2024-1A A                                   | CUSIP: 00440MAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4659118 | PA      | $4632071.06     | 0.26%             | 2044-08-22      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| ACHM TRUST                                          | ACHM TRUST 2024-HE2 ACHM 2024-HE2 A                                      | CUSIP: 00112DAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    8635037 | PA      | $8622123.87     | 0.49%             | 2039-10-25      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| ACHM TRUST                                          | ACHM TRUST 2025-HE1 ACHM 2025-HE1 A                                      | CUSIP: 00449SAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3291543 | PA      | $3325477.53     | 0.19%             | 2055-03-25      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                      | ACHV ABS TRUST 2023-3PL ACHV 2023-3PL D                                  | CUSIP: 000876AD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1000000 | PA      | $1015312.70     | 0.06%             | 2030-08-19      | Fixed         | 8.36%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                      | ACHV ABS TRUST 2023-4CP ACHV 2023-4CP E                                  | CUSIP: 00092CAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     500000 | PA      | $515559.75      | 0.03%             | 2030-11-25      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                      | ACHV ABS TRUST 2024-2PL ACHV 2024-2PL D                                  | CUSIP: 00092HAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2398035 | PA      | $2404014.88     | 0.14%             | 2031-10-27      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| ACREC LTD                                           | ACREC 2021-FL1 LTD ACREC 2021-FL1 E                                      | CUSIP: 00500RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1030000 | PA      | $1013286.19     | 0.06%             | 2036-10-16      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| ACREC LTD                                           | ACREC 2025 FL 3 LLC ACREC 2025-FL3 A                                     | CUSIP: 00112HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $9962750.00     | 0.56%             | 2042-08-18      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| ACRISURE, LLC                                       | ACRISURE LLC / ACRISURE FINANCE INC 144A 6.750000% 07/01/2032            | CUSIP: 004961AA6<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | DBT              | CORP              | US        |     513000 | PA      | $520270.75      | 0.03%             | 2032-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ACRISURE, LLC                                       | ACRISURE LLC / ACRISURE FINANCE INC 144A 8.500000% 06/15/2029            | CUSIP: 00489LAM5<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | DBT              | CORP              | US        |    4173000 | PA      | $4351687.86     | 0.25%             | 2029-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH, LLC                                    | ADAPTHEALTH LLC 144A 5.125000% 03/01/2030                                | CUSIP: 00653VAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1106897.49     | 0.06%             | 2030-03-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH, LLC                                    | ADAPTHEALTH LLC 144A 6.125000% 08/01/2028                                | CUSIP: 00653VAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2310000 | PA      | $2307059.83     | 0.13%             | 2028-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| A&D MORTGAGE TRUST                                  | ADMT 2024-NQM6 ADMT 2024-NQM6 B1A                                        | CUSIP: 00249YAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1918000 | PA      | $1951021.82     | 0.11%             | 2070-01-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| A&D MORTGAGE TRUST                                  | ADMT 2024-NQM6 ADMT 2024-NQM6 B1B                                        | CUSIP: 00249YAH9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     400000 | PA      | $388777.72      | 0.02%             | 2070-01-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| A&D MORTGAGE TRUST                                  | ADMT 2024-NQM6 ADMT 2024-NQM6 B2                                         | CUSIP: 00249YAJ5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     410000 | PA      | $387340.94      | 0.02%             | 2070-01-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                   | AFFIRM ASSET SECURITIZATION TRUST 2023-X1 AFFRM 2023-X1 D                | CUSIP: 00834KAD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     110000 | PA      | $111859.65      | 0.01%             | 2028-11-15      | Fixed         | 9.55%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                   | AFFIRM ASSET SECURITIZATION TRUST 2024-A AFFRM 2024-A D                  | CUSIP: 00834BAD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1300000 | PA      | $1312026.69     | 0.07%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                   | AFFIRM ASSET SECURITIZATION TRUST 2024-B AFFRM 2024-B E                  | CUSIP: 00835AAE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2000000 | PA      | $1997288.60     | 0.11%             | 2029-09-15      | Fixed         | 7.35%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                 | AFFIRM MASTER TRUST AFRMT 2025-1A E                                      | CUSIP: 00833BAE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5000000 | PA      | $4985680.00     | 0.28%             | 2033-02-15      | Fixed         | 7.18%                 | Yes           |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES, INC.                           | AKAMAI TECHNOLOGIES INC 144A 0.250000% 05/15/2033                        | CUSIP: 00971TAP6<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |    5877000 | PA      | $6068002.50     | 0.34%             | 2033-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES, INC.                           | AKAMAI TECHNOLOGIES INC COMMON STOCK                                     | CUSIP: 00971T101<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Short            | EC               |  | US        |     -43745 | NS      | $-3489101.20    | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| ALBEMARLE CORPORATION                               | ALBEMARLE CORP COMMON STOCK                                              | CUSIP: 012653101<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Short            | EC               |  | US        |     -28748 | NS      | $-1801637.16    | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| ALBERTSONS COMPANIES, INC.                          | ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS 6.500000% 02/15/2028   | CUSIP: 01309QAA6<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    4023000 | PA      | $4118862.46     | 0.23%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alibaba Group Holding Limited                       | ALIBABA GROUP HOLDING LTD 0.500000% 06/01/2031                           | CUSIP: 01609WBG6<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | CN        |    4628000 | PA      | $5895258.49     | 0.33%             | 2031-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Alibaba Group Holding Limited                       | ALIBABA GROUP HOLDING-SP ADR DEPOSITARY RECEIPT                          | CUSIP: 01609W102<br>LEI: 5493001NTNQJDH60PM02 | Short            | EC               |  | CN        |     -35130 | NS      | $-3984093.30    | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| ALLIANT ENERGY CORPORATION                          | ALLIANT ENERGY CORP 3.875000% 03/15/2026                                 | CUSIP: 018802AC2<br>LEI: 5493009ML300G373MZ12 | Long             | DBT              | CORP              | US        |     793000 | PA      | $814411.00      | 0.05%             | 2026-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY CORPORATION                          | ALLIANT ENERGY CORP COMMON STOCK                                         | CUSIP: 018802108<br>LEI: 5493009ML300G373MZ12 | Short            | EC               |  | US        |      -5234 | NS      | $-316499.98     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES                  | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A ABCLN 2024-A G          | CUSIP: 02007G2A0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     369432 | PA      | $375565.36      | 0.02%             | 2032-05-17      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES                  | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B ABCLN 2024-B G          | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     483637 | PA      | $481689.43      | 0.03%             | 2032-09-15      | Fixed         | 11.39%                | Yes           |                  2 | On Loan: No      |
| ALTA EQUIPMENT GROUP INC.                           | ALTA EQUIPMENT GROUP INC 144A 9.000000% 06/01/2029                       | CUSIP: 02128LAC0<br>LEI: 549300DGOB28CLGS1X27 | Long             | DBT              | CORP              | US        |     735000 | PA      | $685405.14      | 0.04%             | 2029-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD.                          | AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD 14 5.500000% 04/20/2026  | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | NUSS              | US        |     309333 | PA      | $308623.51      | 0.02%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PARTNERS, L.P.                             | AMERIGAS PARTNERS LP / AMERIGAS FINANCE CORP 144A 9.375000% 06/01/2028   | CUSIP: 030981AM6<br>LEI: H36E1IF6YS0OBMHM6168 | Short            | DBT              | CORP              | US        |   -1046000 | PA      | $-1078570.35    | -0.06%            | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| AMERITEX HOLDCO INTERMEDIATE LLC                    | AMERITEX HOLDCO INTERMEDIATE LLC 144A 10.250000% 10/15/2028              | CUSIP: 030727AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2919000 | PA      | $3096452.58     | 0.17%             | 2028-10-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| AMSR TRUST                                          | AMSR 2023-SFR2 TRUST AMSR 2023-SFR2 F2                                   | CUSIP: 00178YAK7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     640000 | PA      | $571561.79      | 0.03%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD                           | ANCHORAGE CAPITAL CLO 17 LTD ANCHC 2021-17A ER                           | CUSIP: 03329DAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249839.25      | 0.01%             | 2038-02-15      | Floating      | 9.86%                 | Yes           |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD                           | ANCHORAGE CAPITAL CLO 21 LTD ANCHC 2021-21A ER                           | CUSIP: 03331LAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     470000 | PA      | $468180.63      | 0.03%             | 2034-10-20      | Floating      | 10.52%                | Yes           |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD                           | ANCHORAGE CAPITAL CLO 28 LTD ANCHC 2024-28A E                            | CUSIP: 03330VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1420000 | PA      | $1420336.54     | 0.08%             | 2037-04-20      | Floating      | 11.22%                | Yes           |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD                           | ANCHORAGE CAPITAL CLO 29 LTD ANCHC 2024-29A E                            | CUSIP: 03332RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1500705.00     | 0.08%             | 2037-07-20      | Floating      | 11.11%                | Yes           |                  2 | On Loan: No      |
| APIDOS CLO                                          | APIDOS CLO XV APID 2013-15A ERR                                          | CUSIP: 03764WAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $996143.00      | 0.06%             | 2031-04-20      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| APIDOS CLO                                          | APIDOS CLO XXII APID 2015-22A DR                                         | CUSIP: 03766AAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000366.00     | 0.06%             | 2031-04-20      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| APIDOS CLO                                          | APIDOS CLO XXIII APID 2015-23A ERR                                       | CUSIP: 03766QAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     150000 | PA      | $148880.70      | 0.01%             | 2033-04-15      | Floating      | 9.46%                 | Yes           |                  2 | On Loan: No      |
| APOLLO GLOBAL MANAGEMENT, INC.                      | APOLLO GLOBAL MANAGEMENT INC COMMON STOCK                                | CUSIP: 03769M106<br>LEI: 254900LMFT1CY9IYB476 | Short            | EC               |  | US        |     -17686 | NS      | $-2509112.82    | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| AQUA FINANCE TRUST                                  | AQUA FINANCE TRUST 2024-A AQFIT 2024-A A                                 | CUSIP: 03837DAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    7161582 | PA      | $7160837.46     | 0.40%             | 2050-04-18      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| ARBOR REALTY COMMERCIAL REAL ESTATE NOTES LTD       | ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2022-FL1 ARCLO 2022-FL1 D      | CUSIP: 03880XAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1580000 | PA      | $1571496.44     | 0.09%             | 2037-01-15      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| ARCOSA, INC.                                        | ARCOSA INC 144A 4.375000% 04/15/2029                                     | CUSIP: 039653AA8<br>LEI: 549300WFHLTCZV7D6V29 | Long             | DBT              | CORP              | US        |     471000 | PA      | $455618.84      | 0.03%             | 2029-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ARCOSA, INC.                                        | ARCOSA INC 144A 6.875000% 08/15/2032                                     | CUSIP: 039653AC4<br>LEI: 549300WFHLTCZV7D6V29 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $1048198.20     | 0.06%             | 2032-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ARDONAGH FINCO LIMITED                              | ARDONAGH FINCO LTD 144A 7.750000% 02/15/2031                             | CUSIP: 039853AA4<br>LEI: 254900D2T84O1K03BA28 | Long             | DBT              | NUSS              | GB        |    1179000 | PA      | $1232607.95     | 0.07%             | 2031-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| AREIT LTD.                                          | AREIT 2022-CRE6 TRUST AREIT 2022-CRE6 D                                  | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     270000 | PA      | $269602.83      | 0.02%             | 2037-01-20      | Floating      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION.                           | ARES CAPITAL CORP 2.875000% 06/15/2028                                   | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     397000 | PA      | $374106.38      | 0.02%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION.                           | ARES CAPITAL CORP 5.875000% 03/01/2029                                   | CUSIP: 04010LBF9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    1565000 | PA      | $1595763.97     | 0.09%             | 2029-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION.                           | ARES CAPITAL CORP 7.000000% 01/15/2027                                   | CUSIP: 04010LBE2<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    1022000 | PA      | $1054487.06     | 0.06%             | 2027-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD                                        | ARES LII CLO LTD ARES 2019-52A ERR                                       | CUSIP: 04009FAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     110000 | PA      | $110066.99      | 0.01%             | 2031-04-22      | Floating      | 9.77%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO LTD                                        | ARES XLV CLO LTD ARES 2017-45A ER                                        | CUSIP: 04015VAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1780000 | PA      | $1770564.22     | 0.10%             | 2030-10-15      | Floating      | 9.51%                 | Yes           |                  2 | On Loan: No      |
| ARKO CORP.                                          | ARKO CORP 144A 5.125000% 11/15/2029                                      | CUSIP: 041242AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1834000 | PA      | $1547528.03     | 0.09%             | 2029-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST                      | ASCENT EDUCATION FUNDING TRUST 2024-A ASCNT 2024-A C                     | CUSIP: 04362VAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     130000 | PA      | $133608.80      | 0.01%             | 2050-10-25      | Fixed         | 8.01%                 | Yes           |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST                           | AVANT LOANS FUNDING TRUST 2025-REV1 AVNT 2025-REV1 D                     | CUSIP: 05352BAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     725000 | PA      | $725939.46      | 0.04%             | 2034-05-15      | Fixed         | 8.39%                 | Yes           |                  2 | On Loan: No      |
| AVIENT CORPORATION                                  | AVIENT CORP 144A 6.250000% 11/01/2031                                    | CUSIP: 05368VAB2<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |    1335000 | PA      | $1347479.58     | 0.08%             | 2031-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR RENTAL, LLC                         | AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET FINANCE I 5.375000% 03/01/2029  | CUSIP: 053773BF3<br>LEI: XN8R4HH1TVC1XOCL5P21 | Short            | DBT              | CORP              | US        |   -2276000 | PA      | $-2193605.98    | -0.12%            | 2029-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING                      | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2023-8A D                 | CUSIP: 05377RJY1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     140000 | PA      | $142451.82      | 0.01%             | 2030-02-20      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| ALBEMARLE CORPORATION                               | Albemarle Corp PREFERRED STOCK                                           | CUSIP: 012653200<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | EP               |  | US        |      74489 | NS      | $2391096.90     | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| APOLLO GLOBAL MANAGEMENT, INC.                      | Apollo Global Management Inc PREFERRED STOCK                             | CUSIP: 03769M304<br>LEI: 254900LMFT1CY9IYB476 | Long             | EP               |  | US        |      37500 | NS      | $2806875.00     | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| B&G FOODS, INC.                                     | B&G FOODS INC 144A 8.000000% 09/15/2028                                  | CUSIP: 05508WAC9<br>LEI: 549300TRW1LZMDJZAQ78 | Short            | DBT              | CORP              | US        |   -1670000 | PA      | $-1607854.26    | -0.09%            | 2028-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bank of America                                     | BAML Commodity Vol TRS                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               |  | US        |     170315 | NC      | $-1424582.79    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch                                       | BAML FX Multi-Factor TRS                                                 | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DE               |  | US        |     450418 | NC      | $-605677.08     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST          | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-BP BAMLL 2019-BPR ANM    | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     116760 | PA      | $111471.43      | 0.01%             | 2032-11-05      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BANK OF AMERICA COLLATERAL BALANCE FS FUNDS                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    1700000 | PA      | $1700000.00     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BANK OF AMERICA COLLATERAL BALANCE FS FUNDS                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    1348717 | PA      | $1348717.34     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BANK OF AMERICA COLLATERAL BALANCE FS FUNDS                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    2710000 | PA      | $2710000.00     | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BANK OF AMERICA COLLATERAL BALANCE FS FUNDS                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    2428848 | PA      | $2428848.33     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | BARCLAYS BANK PLC 144A ZERO COUPON 12/29/2025                            | CUSIP: YS2761296<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | NUSS              | GB        |  148959685 | PA      | $158581735.85   | 8.95%             | 2025-12-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | BARCLAYS BANK PLC MTN ZERO COUPON 12/29/2025                             | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | Long             | DBT              | NUSS              | GB        |   50000000 | PA      | $50856050.00    | 2.87%             | 2025-12-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO DAC                                | BARINGS EURO CLO 2024-1 DAC BABSE 2024-1A D                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    1500000 | PA      | $1774547.37     | 0.10%             | 2037-07-20      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| Bausch + Lomb Corporation                           | BAUSCH + LOMB CORP 144A 8.375000% 10/01/2028                             | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | NUSS              | US        |    1506000 | PA      | $1571887.50     | 0.09%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BDS LTD                                             | BDS 2024-FL13 LLC BDS 2024-FL13 A                                        | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8000000 | PA      | $8019704.00     | 0.45%             | 2039-09-19      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| BEACON MOBILITY FINANCE CORP.                       | BEACON MOBILITY CORP 144A 7.250000% 08/01/2030                           | CUSIP: 073644AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1602000 | PA      | $1635692.69     | 0.09%             | 2030-08-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                               | BELRON UK FINANCE PLC 144A 5.750000% 10/15/2029                          | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | NUSS              | GB        |    2062000 | PA      | $2079203.88     | 0.12%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                            | BENCHMARK 2020-B18 MORTGAGE TRUST BMARK 2020-B18 AGNF                    | CUSIP: 08163ABR3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     378000 | PA      | $373644.53      | 0.02%             | 2053-07-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                            | BENCHMARK 2025-V13 MORTGAGE TRUST BMARK 2025-V13 HCD                     | CUSIP: 08164ABN1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2610000 | PA      | $2567888.43     | 0.14%             | 2058-02-15      | Floating      | 9.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | BLCKRCK CASH-TRSRY-INST MONEY MARKET                                     | CUSIP: 066922659<br>LEI: N/A                  | Long             | STIV             |  | US        |   10320580 | PA      | $10320579.98    | 0.58%             |  |  |  | No            |                  2 | On Loan: No      |
| BLOOM ENERGY CORPORATION                            | BLOOM ENERGY CORP 3.000000% 06/01/2028                                   | CUSIP: 093712AK3<br>LEI: 549300XB5J9BFW5JXV97 | Long             | DBT              | CORP              | US        |     767000 | PA      | $1134393.00     | 0.06%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BLOOM ENERGY CORPORATION                            | BLOOM ENERGY CORP- A COMMON STOCK                                        | CUSIP: 093712107<br>LEI: 549300XB5J9BFW5JXV97 | Short            | EC               |  | US        |     -31908 | NS      | $-763239.36     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BLUE OWL CAPITAL CORPORATION                        | BLUE OWL CAPITAL CORP 6.200000% 07/15/2030                               | CUSIP: 69121KAJ3<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |     265000 | PA      | $267696.89      | 0.02%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME CORP.                        | BLUE OWL CREDIT INCOME CORP 5.800000% 03/15/2030                         | CUSIP: 09581CAD3<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    2401000 | PA      | $2404913.27     | 0.14%             | 2030-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BLUE OWL TECHNOLOGY FINANCE CORP.                   | BLUE OWL TECHNOLOGY FINANCE CORP 6.750000% 04/04/2029                    | CUSIP: 69121JAB3<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |     959000 | PA      | $978021.83      | 0.06%             | 2029-04-04      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BNP COLLATERAL BALANCE FS FUNDS                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |     960000 | PA      | $960000.00      | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas                                         | BNP Paribas FX Mean Reversion G10 Selection USD Index TRS                | CUSIP: TFXMRGU01<br>LEI: 74KKBLHM4AWY05GPNY79 | N/A              | DE               |  | US        |     227073 | NC      | $14691.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOMBARDIER INC.                                     | BOMBARDIER INC 144A 7.875000% 04/15/2027                                 | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | NUSS              | CA        |    2709000 | PA      | $2724647.18     | 0.15%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BOYCE PARK CLO, LTD.                                | BOYCE PARK CLO LTD BOYCE 2022-1A E                                       | CUSIP: 103226AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $998601.00      | 0.06%             | 2035-04-21      | Floating      | 10.52%                | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                     | BRAVO RESIDENTIAL FUNDING TRUST 2024-CES2 BRAVO 2024-CES2 A1A            | CUSIP: 10570PAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    8885113 | PA      | $8916005.21     | 0.50%             | 2054-09-25      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                     | BRAVO RESIDENTIAL FUNDING TRUST 2024-NQM1 BRAVO 2024-NQM1 B2             | CUSIP: 10570FAF2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $99724.73       | 0.01%             | 2063-12-01      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                     | BRAVO RESIDENTIAL FUNDING TRUST 2024-NQM3 BRAVO 2024-NQM3 B2             | CUSIP: 10569LAF2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $100092.81      | 0.01%             | 2064-03-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| BREAD FINANCIAL HOLDINGS INC 144A                   | BREAD FINANCIAL HOLDINGS INC 144A 8.375000% 06/15/2035                   | CUSIP: 018581AQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     671000 | PA      | $675611.78      | 0.04%             | 2035-06-15      | Variable      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| BREAD FINANCIAL HOLDINGS, INC.                      | BREAD FINANCIAL HOLDINGS INC 144A 8.375000% 06/15/2035                   | CUSIP: 018581AQ1<br>LEI: 549300G8S4PO686J7H97 | Short            | DBT              | CORP              | US        |   -2253000 | PA      | $-2268484.87    | -0.13%            | 2035-06-15      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HOLDINGS, INC.                      | BREAD FINANCIAL HOLDINGS INC 144A 9.750000% 03/15/2029                   | CUSIP: 018581AP3<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |    7229000 | PA      | $7784208.89     | 0.44%             | 2029-03-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| BREX COMMERCIAL CHARGE CARD MASTER TRUST            | BREX COMMERCIAL CHARGE CARD MASTER TRUST BREX 2024-1 B                   | CUSIP: 05601DAG8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     500000 | PA      | $502305.50      | 0.03%             | 2027-07-15      | Fixed         | 11.59%                | Yes           |                  2 | On Loan: No      |
| THE BRINK'S COMPANY                                 | BRINK'S CO/THE 144A 6.500000% 06/15/2029                                 | CUSIP: 109696AC8<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |     985000 | PA      | $1015331.78     | 0.06%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: BANK OF AMERICA COL: 58004JAA0                                      | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -2024000 | PA      | $-2024000.00    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: BANK OF AMERICA COL: 67118KAA1                                      | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -3002000 | PA      | $-3002000.00    | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: CITIBANK NA COL: 500937AA5                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -1596000 | PA      | $-1596000.00    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: JP MORGAN CHASE BANK NA COL: 24380QAC6                              | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -3551000 | PA      | $-3551000.00    | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: JP MORGAN CHASE BANK NA COL: 34461WAA8                              | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -1999000 | PA      | $-1999000.00    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: JP MORGAN CHASE BANK NA COL: 34461WAA8                              | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -5985000 | PA      | $-5985000.00    | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: JP MORGAN CHASE BANK NA COL: 403945AC2                              | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -3629000 | PA      | $-3629000.00    | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: JP MORGAN CHASE BANK NA COL: 500937AA5                              | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -4749000 | PA      | $-4749000.00    | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: JP MORGAN CHASE BANK NA COL: 85520AAA7                              | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -7992000 | PA      | $-7992000.00    | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: JP MORGAN CHASE BANK NA COL: 85520CAA3                              | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -6400000 | PA      | $-6400000.00    | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 05555MAA7                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -2700000 | PA      | $-2700000.00    | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 05555MAA7                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -3972000 | PA      | $-3972000.00    | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 05613RAA6                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -4000000 | PA      | $-4000000.00    | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 05613RAA6                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -3972000 | PA      | $-3972000.00    | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 10570PAA1                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -7237000 | PA      | $-7237000.00    | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 12659VAA8                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -6344000 | PA      | $-6344000.00    | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 55284JAA7                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -6669000 | PA      | $-6669000.00    | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 66858CAQ0                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -8014000 | PA      | $-8014000.00    | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 67118KAA1                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -3002000 | PA      | $-3002000.00    | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BRK: MERRILL LYNCH, PIERCE, FENNER & SMITH COL: 749414AA6                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               |  | US        |   -3683000 | PA      | $-3683000.00    | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIGHTSPIRE CAPITAL                                 | BRSP 2024-FL2 LTD BRSP 2024-FL2 D                                        | CUSIP: 05613BAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $1990342.60     | 0.11%             | 2037-08-19      | Floating      | 9.16%                 | Yes           |                  2 | On Loan: No      |
| BRUNDAGE-BONE CONCRETE PUMPING HOLDINGS, INC.       | BRUNDAGE-BONE CONCRETE PUMPING HOLDINGS INC 144A 7.500000% 02/01/2032    | CUSIP: 66981QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1167000 | PA      | $1156719.86     | 0.07%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BSPRT ISSUER, LTD.                                  | BSPRT 2024-FL11 ISSUER LLC BSPRT 2024-FL11 A                             | CUSIP: 05613RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $10008350.00    | 0.57%             | 2039-07-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| BW REAL ESTATE, INC.                                | BW REAL ESTATE INC 144A 9.500000% MATURITY: PERPETUAL                    | CUSIP: 05614HAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1136000 | PA      | $1168783.82     | 0.07%             | 2174-06-30      | Variable      | 9.50%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                        | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT E                    | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    6776953 | PA      | $6745185.77     | 0.38%             | 2036-09-15      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                        | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT F                    | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    6941654 | PA      | $6909114.52     | 0.39%             | 2036-09-15      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                        | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT G                    | CUSIP: 05609VAS4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1855306 | PA      | $1827476.27     | 0.10%             | 2036-09-15      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                            | BX TRUST 2018-GW BX 2018-GW G                                            | CUSIP: 12433UAS4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2226823 | PA      | $2198521.19     | 0.12%             | 2035-05-15      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                            | BX TRUST 2018-GW MZ BX 2018-GWMZ MC                                      | CUSIP: 12433RAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1580000 | PA      | $1577548.47     | 0.09%             | 2037-05-15      | Floating      | 10.10%                | No            |                  2 | On Loan: No      |
| BX TRUST                                            | BX TRUST 2021-ARIA BX 2021-ARIA G                                        | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3000000 | PA      | $2975705.40     | 0.17%             | 2036-10-15      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                            | BX TRUST 2024-VLT4 BX 2024-VLT4 F                                        | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3750000 | PA      | $3736887.38     | 0.21%             | 2029-07-15      | Floating      | 8.25%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                            | BX TRUST 2025-VLT6 BX 2025-VLT6 D                                        | CUSIP: 12433KAG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3000000 | PA      | $2992500.00     | 0.17%             | 2042-03-15      | Floating      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                            | BX TRUST 2025-VLT6 BX 2025-VLT6 E                                        | CUSIP: 12433KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4300000 | PA      | $4286562.50     | 0.24%             | 2042-03-15      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| BXMT LTD.                                           | BXMT 2025-FL5 LTD BXMT 2025-FL5 A                                        | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4961030.00     | 0.28%             | 2042-10-18      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Property Preferred L.P.                  | Brookfield Property Preferred LP PREFERRED STOCK                         | CUSIP: G1624R107<br>LEI: 254900N07TR905Y0G344 | Long             | EP               |  | US        |      20460 | NS      | $304649.40      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CABLE ONE, INC.                                     | CABLE ONE INC 144A 4.000000% 11/15/2030                                  | CUSIP: 12685JAC9<br>LEI: 549300648QS85T0XSH18 | Short            | DBT              | CORP              | US        |   -1910000 | PA      | $-1504820.62    | -0.08%            | 2030-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC 144A                                  | CABLE ONE INC 144A 4.000000% 11/15/2030                                  | CUSIP: 12685JAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     637000 | PA      | $501869.50      | 0.03%             | 2030-11-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CABLE ONE, INC.                                     | CABLE ONE INC ZERO COUPON 03/15/2026                                     | CUSIP: 12685JAE5<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1523221.00     | 0.09%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE                           | CAFL 2021-RTL1 ISSUER LLC CAFL 2021-RTL1 A2                              | CUSIP: 12468RAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     176672 | PA      | $176565.30      | 0.01%             | 2029-03-28      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| CORNERSTONE BUILDING BRANDS, INC.                   | CAMELOT RETURN MERGER SUB INC 144A 8.750000% 08/01/2028                  | CUSIP: 13323NAA0<br>LEI: 549300IW41QEWQ6T0H29 | Long             | DBT              | CORP              | US        |    2095000 | PA      | $1932029.95     | 0.11%             | 2028-08-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD                                  | CARLYLE US CLO 2023-3 LTD CGMS 2023-3A E                                 | CUSIP: 14318TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     410000 | PA      | $411656.40      | 0.02%             | 2036-10-15      | Floating      | 12.66%                | Yes           |                  2 | On Loan: No      |
| CARNIVAL PLC                                        | CARNIVAL CORP 7.875000% 06/01/2027                                       | CUSIP: 693070AD6<br>LEI: 4DR1VPDQMHD3N3QW8W95 | Long             | DBT              | NUSS              | US        |    1565000 | PA      | $1650154.78     | 0.09%             | 2027-06-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD                                      | CARVAL CLO II LTD CARVL 2019-1A ER2                                      | CUSIP: 14686CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $990459.00      | 0.06%             | 2032-04-20      | Floating      | 10.77%                | Yes           |                  2 | On Loan: No      |
| CARVAL CLO LTD                                      | CARVAL CLO III LTD CARVL 2019-2A ER2                                     | CUSIP: 14686VAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     490000 | PA      | $485184.28      | 0.03%             | 2032-07-20      | Floating      | 10.27%                | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                      | CARVANA AUTO RECEIVABLES TRUST 2024-N3 CRVNA 2024-N3 E                   | CUSIP: 14687WAG5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2120000 | PA      | $2151338.69     | 0.12%             | 2032-04-12      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                      | CARVANA AUTO RECEIVABLES TRUST 2025-N1 CRVNA 2025-N1 E                   | CUSIP: 14688XAG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5058000 | PA      | $5139433.29     | 0.29%             | 2032-08-10      | Fixed         | 7.73%                 | Yes           |                  2 | On Loan: No      |
| CARVANA CO.                                         | CARVANA CO 144A 13.000000% 06/01/2030                                    | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1608563.07     | 0.09%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CARVANA CO.                                         | CARVANA CO 144A 9.000000% 12/01/2028                                     | CUSIP: 146869AL6<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    3806000 | PA      | $3903693.47     | 0.22%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CFMT ISSUER TRUST                                   | CASCADE FUNDING MORTGAGE TRUST 2021-FRR1 CFMT 2021-FRR1 CK98             | CUSIP: 12529YCA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     260000 | PA      | $178449.44      | 0.01%             | 2029-08-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CCO HOLDINGS, LLC                                   | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 144A 4.250000% 02/01/2031   | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $467086.74      | 0.03%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CD&R SMOKEY BUYER, INC.                             | CD&R SMOKEY BUYER INC / RADIO SYSTEMS CORP 144A 9.500000% 10/15/2029     | CUSIP: 12515KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2523000 | PA      | $2055973.58     | 0.12%             | 2029-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                            | CELANESE US HOLDINGS LLC 6.500000% 04/15/2030                            | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |   -1073000 | PA      | $-1098352.84    | -0.06%            | 2030-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CENTURY COMMUNITIES, INC.                           | CENTURY COMMUNITIES INC 144A 3.875000% 08/15/2029                        | CUSIP: 156504AM4<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |    1276000 | PA      | $1182319.91     | 0.07%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CENTURY COMMUNITIES, INC.                           | CENTURY COMMUNITIES INC 6.750000% 06/01/2027                             | CUSIP: 156504AL6<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |    1049000 | PA      | $1050510.56     | 0.06%             | 2027-06-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES, INC.                              | CHART INDUSTRIES INC COMMON STOCK                                        | CUSIP: 16115Q308<br>LEI: EM7QGKC1GYOF3LSZSL80 | Short            | EC               |  | US        |     -28706 | NS      | $-4726442.90    | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC               | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 6.100000% 06/01/2029  | CUSIP: 161175CQ5<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    2394000 | PA      | $2506384.34     | 0.14%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                   | CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-4 CHASE 2024-4 AX1         | CUSIP: 16159NAX2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    9020119 | PA      | $26484.87       | 0.00%             | 2055-03-25      | Floating      | 0.17%                 | Yes           |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                   | CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-5 CHASE 2024-5 AX1         | CUSIP: 16159QAX5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   12489323 | PA      | $55816.03       | 0.00%             | 2055-04-25      | Floating      | 0.26%                 | Yes           |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST                                | CHNGE MORTGAGE TRUST 2022-4 CHNGE 2022-4 B2                              | CUSIP: 12551SAD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     310000 | PA      | $296335.76      | 0.02%             | 2057-10-25      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                    | CIFC FUNDING 2017-IV LTD CIFC 2017-4A D                                  | CUSIP: 12551KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $697307.80      | 0.04%             | 2030-10-24      | Floating      | 10.64%                | No            |                  2 | On Loan: No      |
| CITGO PETROLEUM CORPORATION                         | CITGO PETROLEUM CORP 144A 6.375000% 06/15/2026                           | CUSIP: 17302XAM8<br>LEI: YX52P86PXMLYDOTUQ225 | Long             | DBT              | CORP              | US        |    2055000 | PA      | $2054009.90     | 0.12%             | 2026-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CLARIOS US FINANCE COMPANY, INC.                    | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 144A 8.500000% 05/15/2027      | CUSIP: 69867DAC2<br>LEI: 549300QHLDSIXVFWH611 | Long             | DBT              | NUSS              | US        |   12282000 | PA      | $12335795.16    | 0.70%             | 2027-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CLNY TRUST                                          | CLNY TRUST 2019-IKPR CLNY 2019-IKPR C                                    | CUSIP: 12564NAJ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1000000 | PA      | $962500.00      | 0.05%             | 2038-11-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| CLNY TRUST                                          | CLNY TRUST 2019-IKPR CLNY 2019-IKPR D                                    | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     450000 | PA      | $429750.00      | 0.02%             | 2038-11-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| CLUE OPCO LLC                                       | CLUE OPCO LLC 144A 9.500000% 10/15/2031                                  | CUSIP: 36267QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2336000 | PA      | $2476662.24     | 0.14%             | 2031-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORPORATION                              | CMS ENERGY CORP 3.375000% 05/01/2028                                     | CUSIP: 125896BX7<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    1666000 | PA      | $1770958.00     | 0.10%             | 2028-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORPORATION                              | CMS ENERGY CORP COMMON STOCK                                             | CUSIP: 125896100<br>LEI: 549300IA9XFBAGNIBW29 | Short            | EC               |  | US        |     -11297 | NS      | $-782656.16     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| COINBASE GLOBAL, INC.                               | COINBASE GLOBAL INC -CLASS A COMMON STOCK                                | CUSIP: 19260Q107<br>LEI: 5493004G3J2SC154DU06 | Short            | EC               |  | US        |      -4251 | NS      | $-1489932.99    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| COINBASE GLOBAL, INC.                               | COINBASE GLOBAL INC 0.250000% 04/01/2030                                 | CUSIP: 19260QAF4<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |    1815000 | PA      | $2369482.50     | 0.13%             | 2030-04-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| COLOGIX DATA CENTERS US ISSUER, LLC                 | COLOGIX DATA CENTERS US ISSUER LLC CLGIX 2021-1A C                       | CUSIP: 19521UAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2000000 | PA      | $1934284.40     | 0.11%             | 2051-12-26      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                            | COLT 2022-7 MORTGAGE LOAN TRUST COLT 2022-7 B2                           | CUSIP: 12663GAF4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     180000 | PA      | $176094.72      | 0.01%             | 2067-04-25      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                            | COLT 2024-2 MORTGAGE LOAN TRUST COLT 2024-2 B2                           | CUSIP: 12665LAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $100231.16      | 0.01%             | 2069-04-25      | Floating      | 8.39%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                            | COLT 2025-4 MORTGAGE LOAN TRUST COLT 2025-4 B1                           | CUSIP: 12674HAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     920000 | PA      | $919442.48      | 0.05%             | 2070-04-25      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                 | COMM 2014-LC17 MORTGAGE TRUST COMM 2014-LC17 E                           | CUSIP: 12592MAQ3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $84444.00       | 0.00%             | 2047-10-10      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                 | COMM 2014-UBS6 MORTGAGE TRUST COMM 2014-UBS6 D                           | CUSIP: 12592PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1780000 | PA      | $1619817.80     | 0.09%             | 2047-12-10      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE RELATED SECURITIES              | COMM 2019-521F MORTGAGE TRUST COMM 2019-521F B                           | CUSIP: 20048GAU0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     510000 | PA      | $455175.00      | 0.03%             | 2034-06-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE RELATED SECURITIES              | COMM 2019-521F MORTGAGE TRUST COMM 2019-521F C                           | CUSIP: 20048GAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     360000 | PA      | $310500.00      | 0.02%             | 2034-06-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                 | COMM 2024-CBM MORTGAGE TRUST COMM 2024-CBM E                             | CUSIP: 12674GAN4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     800000 | PA      | $791865.84      | 0.04%             | 2041-12-10      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                 | COMM 2024-CBM MORTGAGE TRUST COMM 2024-CBM F                             | CUSIP: 12674GAQ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2020000 | PA      | $1871526.77     | 0.11%             | 2041-12-10      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                 | COMM 2024-WCL1 MORTGAGE TRUST COMM 2024-WCL1 D                           | CUSIP: 20047DAG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1000000 | PA      | $992467.80      | 0.06%             | 2041-06-15      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| CONE TRUST                                          | CONE TRUST 2024-DFW1 CONE 2024-DFW1 C                                    | CUSIP: 20682AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4500000 | PA      | $4510158.30     | 0.25%             | 2041-08-15      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                       | CONNECTICUT AVENUE SECURITIES TRUST 2025-R04 CAS 2025-R04 1M1            | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3722516 | PA      | $3729390.36     | 0.21%             | 2045-05-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LLC                     | CONSOLIDATED COMMUNICATIONS LLC/FIDIUM FIBER FINAN CNSL 2025-1A C        | CUSIP: 209031AC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1500000 | PA      | $1568518.35     | 0.09%             | 2055-05-20      | Fixed         | 9.41%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                          | CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-B CPS 2025-B E               | CUSIP: 12630SAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2620000 | PA      | $2701587.32     | 0.15%             | 2033-03-15      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | CONVEXITY BASKET CALL OPTION 03/14/25 LONG                               | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |     500000 | PA      | $7585000.00     | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| COP US 07/18/25 C105                                | COP US 07/18/25 C105 LONG                                                | CUSIP: 501998EW4<br>LEI: N/A                  | Long             |  |  | US        |         45 | PA      | $45.00          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CORNERSTONE BUILDING BRANDS, INC.                   | CORNERSTONE BUILDING BRANDS INC 144A 6.125000% 01/15/2029                | CUSIP: 21925DAA7<br>LEI: 549300IW41QEWQ6T0H29 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1087770.90     | 0.06%             | 2029-01-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CORNERSTONE BUILDING BRANDS, INC.                   | CORNERSTONE BUILDING BRANDS INC 144A 9.500000% 08/15/2029                | CUSIP: 21925DAB5<br>LEI: 549300IW41QEWQ6T0H29 | Long             | DBT              | CORP              | US        |     961000 | PA      | $883467.58      | 0.05%             | 2029-08-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                          | CPS AUTO RECEIVABLES TRUST 2024-B CPS 2024-B E                           | CUSIP: 12627SAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     700000 | PA      | $727544.79      | 0.04%             | 2031-11-17      | Fixed         | 8.36%                 | Yes           |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE CORPORATION                       | CREDIT ACCEPTANCE CORP 144A 6.625000% 03/15/2030                         | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1801956.30     | 0.10%             | 2030-03-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE CORPORATION                       | CREDIT ACCEPTANCE CORP 144A 9.250000% 12/15/2028                         | CUSIP: 225310AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     959000 | PA      | $1015237.68     | 0.06%             | 2028-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST                                | CROSS 2023-H1 MORTGAGE TRUST CROSS 2023-H1 B1                            | CUSIP: 22758CAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5000000 | PA      | $5016122.00     | 0.28%             | 2068-03-25      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST                                | CROSS 2023-H2 MORTGAGE TRUST CROSS 2023-H2 B1                            | CUSIP: 22757NAG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3760000 | PA      | $3800326.00     | 0.21%             | 2068-11-25      | Floating      | 8.41%                 | Yes           |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST                                | CROSS 2024-H1 MORTGAGE TRUST CROSS 2024-H1 B1                            | CUSIP: 22757AAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $101374.39      | 0.01%             | 2068-12-25      | Floating      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST                                | CROSS 2025-H5 MORTGAGE TRUST CROSS 2025-H5 B1B                           | CUSIP: 227920AH8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2585000 | PA      | $2565470.84     | 0.14%             | 2070-07-25      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| CSMC COMMERCIAL MORTGAGE TRUST                      | CSMC 2021-BHAR CSMC 2021-BHAR A                                          | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    7950000 | PA      | $7920187.50     | 0.45%             | 2038-11-15      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                          | CSMC 2021-GATE CSMC 2021-GATE C                                          | CUSIP: 12662UAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     300000 | PA      | $287075.10      | 0.02%             | 2036-12-15      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                          | CSMC 2021-GATE CSMC 2021-GATE D                                          | CUSIP: 12662UAG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     480000 | PA      | $446860.80      | 0.03%             | 2036-12-15      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                          | CSMC TRUST 2017-PFHP CSMC 2017-PFHP A                                    | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      84146 | PA      | $83897.76       | 0.00%             | 2030-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CVX US 07/18/25 C155                                | CVX US 07/18/25 C155 LONG                                                | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |         68 | PA      | $1428.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHART INDUSTRIES, INC.                              | Chart Industries Inc PREFERRED STOCK                                     | CUSIP: 16115Q407<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | EP               |  | US        |      95720 | NS      | $5781488.00     | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | Credit Default Swap                                                      | CUSIP: CD6205303<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DCR              |  | US        |   20700000 | NC      | $-3118413.38    | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                    | DB Equity Factor Rotation TRS                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DE               |  | US        |      16554 | NC      | $-73830.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 5 BRYANT PARK                                       | DBGS 2018-5BP MORTGAGE TRUST DBGS 2018-5BP A                             | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     160000 | PA      | $152800.00      | 0.01%             | 2033-06-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| 5 BRYANT PARK                                       | DBGS 2018-5BP MORTGAGE TRUST DBGS 2018-5BP B                             | CUSIP: 33830CAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     200000 | PA      | $184500.00      | 0.01%             | 2033-06-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| DEALER TIRE, LLC                                    | DEALER TIRE LLC / DT ISSUER LLC 144A 8.000000% 02/01/2028                | CUSIP: 24229JAA1<br>LEI: 549300XTS06OMOCRSE50 | Long             | DBT              | CORP              | US        |    5415000 | PA      | $5230215.29     | 0.30%             | 2028-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2024-1 DRMT 2024-1 A1               | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4191386 | PA      | $4213779.78     | 0.24%             | 2069-07-25      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| DEWOLF PARK CLO, LTD.                               | DEWOLF PARK CLO LTD DWOLF 2017-1A E                                      | CUSIP: 25211CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $299475.00      | 0.02%             | 2030-10-15      | Floating      | 10.72%                | No            |                  2 | On Loan: No      |
| DEXCOM, INC.                                        | DEXCOM INC 0.375000% 05/15/2028                                          | CUSIP: 252131AM9<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |    5032000 | PA      | $4720016.00     | 0.27%             | 2028-05-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DEXCOM, INC.                                        | DEXCOM INC COMMON STOCK                                                  | CUSIP: 252131107<br>LEI: 549300YSK3QDSFR5EU59 | Short            | EC               |  | US        |     -12492 | NS      | $-1090426.68    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| DOTDASH MEREDITH, INC.                              | DOTDASH MEREDITH INC 144A 7.625000% 06/15/2032                           | CUSIP: 25849JAA8<br>LEI: 549300R2AA7U9CJUQO13 | Long             | DBT              | CORP              | US        |     967000 | PA      | $937699.90      | 0.05%             | 2032-06-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD                                      | DRYDEN 107 CLO LTD DRSLF 2023-107A E                                     | CUSIP: 26254GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     590000 | PA      | $589329.17      | 0.03%             | 2035-08-15      | Floating      | 12.06%                | Yes           |                  2 | On Loan: No      |
| DRYDEN CLO LTD                                      | DRYDEN 60 CLO LTD DRSLF 2018-60A D                                       | CUSIP: 26251NAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $298796.70      | 0.02%             | 2031-07-15      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                             | DUKE ENERGY CORP 4.125000% 04/15/2026                                    | CUSIP: 26441CBY0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    4054000 | PA      | $4289132.00     | 0.24%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                             | DUKE ENERGY CORP COMMON STOCK                                            | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Short            | EC               |  | US        |     -16771 | NS      | $-1978978.00    | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| RADIAN GUARANTY INC AND EAGLE RE LTD                | EAGLE RE 2023-1 LTD EMIR 2023-1 M2                                       | CUSIP: 26982EAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1150000 | PA      | $1219310.50     | 0.07%             | 2033-09-26      | Floating      | 9.51%                 | Yes           |                  2 | On Loan: No      |
| EATON VANCE CLO LTD                                 | EATON VANCE CLO 2013-1 LTD EATON 2013-1A D3R                             | CUSIP: 27830CAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1486927.50     | 0.08%             | 2034-01-15      | Floating      | 11.32%                | Yes           |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                  | EFMT 2025-INV1 EFMT 2025-INV1 B2                                         | CUSIP: 26846XAF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $97662.72       | 0.01%             | 2070-03-25      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                               | EG GLOBAL FINANCE PLC 144A 12.000000% 11/30/2028                         | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | NUSS              | GB        |     796000 | PA      | $878683.70      | 0.05%             | 2028-11-30      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | EJF Financials Services TRS                                              | CUSIP: TSCBEJF29<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |     970357 | NC      | $4984622.02     | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                  | ELLINGTON FINANCIAL MORTGAGE TRUST 2022-3 EFMT 2022-3 M1                 | CUSIP: 31573EAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     200000 | PA      | $188612.58      | 0.01%             | 2067-08-25      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| ELMWOOD CLO                                         | ELMWOOD CLO 21 LTD ELM21 2022-8A ER                                      | CUSIP: 29002DAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1887000 | PA      | $1904152.83     | 0.11%             | 2036-10-20      | Floating      | 10.77%                | Yes           |                  2 | On Loan: No      |
| ELMWOOD CLO                                         | ELMWOOD CLO 30 LTD ELM30 2024-6A E                                       | CUSIP: 29001KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500262.00      | 0.03%             | 2037-07-17      | Floating      | 9.53%                 | Yes           |                  2 | On Loan: No      |
| ELMWOOD CLO                                         | ELMWOOD CLO II LTD ELMW2 2019-2A A2RR                                    | CUSIP: 29001LAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11000000 | PA      | $11010010.00    | 0.62%             | 2037-10-20      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| EMPOWER CLO LTD                                     | EMPOWER CLO 2022-1 LTD EMPWR 2022-1A ER                                  | CUSIP: 29246YAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     660000 | PA      | $659888.46      | 0.04%             | 2037-10-20      | Floating      | 10.17%                | Yes           |                  2 | On Loan: No      |
| EMPOWER CLO LTD                                     | EMPOWER CLO 2023-2 LTD EMPWR 2023-2A E                                   | CUSIP: 29247JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1530000 | PA      | $1529785.80     | 0.09%             | 2036-07-15      | Floating      | 12.51%                | Yes           |                  2 | On Loan: No      |
| EMPOWER CLO LTD                                     | EMPOWER CLO 2024-1 LTD EMPWR 2024-1A D2                                  | CUSIP: 29244RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251934.75      | 0.01%             | 2037-04-25      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| EMPOWER CLO LTD                                     | EMPOWER CLO 2024-1 LTD EMPWR 2024-1A E                                   | CUSIP: 29244YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250051.00      | 0.01%             | 2037-04-25      | Floating      | 10.78%                | Yes           |                  2 | On Loan: No      |
| ENOVA INTERNATIONAL, INC.                           | ENOVA INTERNATIONAL INC 144A 9.125000% 08/01/2029                        | CUSIP: 29357KAK9<br>LEI: 549300O8XOCQSB49UO63 | Long             | DBT              | CORP              | US        |     548000 | PA      | $576921.62      | 0.03%             | 2029-08-01      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Enpro Inc.                                          | ENPRO INC 144A 6.125000% 06/01/2033                                      | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |    1306000 | PA      | $1335152.07     | 0.08%             | 2033-06-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| EMERGENT AUTO RECEIVABLES TRUST                     | ENT AUTO RECEIVABLES TRUST 2023-1 ENT 2023-1A D                          | CUSIP: 293601AN0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1560000 | PA      | $1644234.38     | 0.09%             | 2031-03-17      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| EQUIFY ABS LLC                                      | EQUIFY ABS 2024-1 LLC EQFY 2024-1A A                                     | CUSIP: 29445TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3945124 | PA      | $3946976.96     | 0.22%             | 2033-04-18      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| EXACT SCIENCES CORPORATION                          | EXACT SCIENCES CORP 144A 2.000000% 03/01/2030                            | CUSIP: 30063PAD7<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |    1627000 | PA      | $1643270.00     | 0.09%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORPORATION                          | EXACT SCIENCES CORP COMMON STOCK                                         | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Short            | EC               |  | US        |     -10972 | NS      | $-583052.08     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                 | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4 EART 2023-4A E                | CUSIP: 30166TAG8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1290000 | PA      | $1410723.10     | 0.08%             | 2031-02-18      | Fixed         | 9.57%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                 | EXETER AUTOMOBILE RECEIVABLES TRUST EART 2025-3A E                       | CUSIP: 30166XAG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3830000 | PA      | $3927245.62     | 0.22%             | 2032-12-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TRUST          | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-1 ESART 2025-1 E         | CUSIP: 30185AAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     550000 | PA      | $561262.85      | 0.03%             | 2032-12-15      | Fixed         | 8.44%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Bank Limited                              | Equity Risk Control Congestion strategy TRS                              | CUSIP: N/A<br>LEI: 4ZHCHI4KYZG2WVRT8631       | N/A              | DE               |  | US        |     775928 | NC      | $0.00           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE INTEREST STRIP FNS 431 C35                                    | CUSIP: 31423YP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   55554950 | PA      | $3758258.47     | 0.21%             | 2037-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        | 1695000000 | PA      | $1694612217.90  | 95.67%            | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  350000000 | PA      | $342965056.00   | 19.36%            | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2012-75 DS                                         | CUSIP: 3136A6W83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    8237436 | PA      | $872018.26      | 0.05%             | 2042-07-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2018-73 SC                                         | CUSIP: 3136B3EB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   17973379 | PA      | $2225726.17     | 0.13%             | 2048-10-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2019-49 IC                                         | CUSIP: 3136B54X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    6931659 | PA      | $683950.21      | 0.04%             | 2044-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2020-41 IP                                         | CUSIP: 3136B9Z42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   10860299 | PA      | $2084419.45     | 0.12%             | 2049-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2020-57 IB                                         | CUSIP: 3136BBCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   27938324 | PA      | $6084413.79     | 0.34%             | 2050-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2020-76 MI                                         | CUSIP: 3136BCME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   10856465 | PA      | $2738228.56     | 0.15%             | 2050-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2020-77 HI                                         | CUSIP: 3136BCVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   16150655 | PA      | $3392123.63     | 0.19%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2021-4 IV                                          | CUSIP: 3136BDE61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   11569069 | PA      | $2671575.65     | 0.15%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2021-87 GI                                         | CUSIP: 3136BKLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   24732450 | PA      | $4721068.63     | 0.27%             | 2051-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2022-16 QI                                         | CUSIP: 3136BMMZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   23500584 | PA      | $2635085.20     | 0.15%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2022-4 WI                                          | CUSIP: 3136BLK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   29660207 | PA      | $3300154.79     | 0.19%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2022-40 PS                                         | CUSIP: 3136BNQM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   18457452 | PA      | $886915.63      | 0.05%             | 2051-12-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2022-58 S                                          | CUSIP: 3136BN4Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   51285281 | PA      | $2641161.21     | 0.15%             | 2052-09-25      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2022-74 SA                                         | CUSIP: 3136BPKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   49568751 | PA      | $2355759.84     | 0.13%             | 2052-10-25      | Floating      | 0.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2022-74 US                                         | CUSIP: 3136BPKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   58380172 | PA      | $2361664.79     | 0.13%             | 2052-11-25      | Floating      | 0.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2022-90 CI                                         | CUSIP: 3136BPRN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   20003654 | PA      | $4099046.81     | 0.23%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2023-11 HS                                         | CUSIP: 3136BPW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  103849162 | PA      | $5373041.43     | 0.30%             | 2053-04-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2023-11 SA                                         | CUSIP: 3136BPU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   50083208 | PA      | $3920939.25     | 0.22%             | 2053-04-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2023-19 SB                                         | CUSIP: 3136BP2C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   16198375 | PA      | $1590759.80     | 0.09%             | 2053-05-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-11 IK                                         | CUSIP: 3136BRFU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   10913067 | PA      | $2240627.33     | 0.13%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-12 DS                                         | CUSIP: 3136BQ2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   37744216 | PA      | $2380346.53     | 0.13%             | 2054-03-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-22 SA                                         | CUSIP: 3136BRN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   63536548 | PA      | $4424818.62     | 0.25%             | 2054-05-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-24 SB                                         | CUSIP: 3136BRRX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   38741798 | PA      | $3080894.96     | 0.17%             | 2053-09-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-35 BS                                         | CUSIP: 3136BSBN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   29530834 | PA      | $1353433.58     | 0.08%             | 2054-06-25      | Floating      | 0.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-68 SA                                         | CUSIP: 3136BSZC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   49976516 | PA      | $3153623.08     | 0.18%             | 2054-09-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-84 HS                                         | CUSIP: 3136BTVQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   51334728 | PA      | $5005264.36     | 0.28%             | 2054-11-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-89 SD                                         | CUSIP: 3136BTWQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   65502479 | PA      | $2577083.68     | 0.15%             | 2053-09-25      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-90 SB                                         | CUSIP: 3136BTXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   85146111 | PA      | $5251497.08     | 0.30%             | 2053-11-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-92 SB                                         | CUSIP: 3136BT3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   76794770 | PA      | $3379684.09     | 0.19%             | 2054-12-25      | Floating      | 0.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2024-97 MS                                         | CUSIP: 3136BUNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   31229391 | PA      | $1989440.23     | 0.11%             | 2055-01-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association               | FANNIE MAE REMICS FNR 2025-4 SB                                          | CUSIP: 3136BUU73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  134788103 | PA      | $6801960.29     | 0.38%             | 2053-12-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT, LLC                         | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMEN 6.750000% 01/15/2030  | CUSIP: 31556TAC3<br>LEI: 984500A0805D8V551D35 | Long             | DBT              | CORP              | US        |    1257000 | PA      | $1159961.49     | 0.07%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST                                         | FIGRE TRUST 2024-HE4 FIGRE 2024-HE4 A                                    | CUSIP: 31684UAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    8429787 | PA      | $8429294.22     | 0.48%             | 2054-09-25      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| FIGRE TRUST                                         | FIGRE TRUST 2024-HE6 FIGRE 2024-HE6 A                                    | CUSIP: 31684DAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4018272 | PA      | $4055886.67     | 0.23%             | 2054-12-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FIGRE TRUST                                         | FIGRE TRUST 2025-HE3 FIGRE 2025-HE3 E                                    | CUSIP: 31684LAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     710000 | PA      | $724537.68      | 0.04%             | 2055-05-25      | Floating      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| FILLMORE PARK CLO LTD                               | FILLMORE PARK CLO LTD 2018-1A FILPK 2018-1A E                            | CUSIP: 31722QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     787500 | PA      | $784529.55      | 0.04%             | 2030-07-15      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| FUNDAMENTAL INCOME NET-LEASE MORTGAGE NOTES         | FIP MASTER FUNDING LLC FI 2024-1A A1                                     | CUSIP: 30332YAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    7987037 | PA      | $7962627.94     | 0.45%             | 2054-10-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FIRSTENERGY CORP.                                   | FIRSTENERGY CORP 144A 3.625000% 01/15/2029                               | CUSIP: 337932AS6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    6452000 | PA      | $6529424.00     | 0.37%             | 2029-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP.                                   | FIRSTENERGY CORP COMMON STOCK                                            | CUSIP: 337932107<br>LEI: 549300SVYJS666PQJH88 | Short            | EC               |  | US        |     -43010 | NS      | $-1731582.60    | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| FLAGSTAR FINANCIAL, INC.                            | FLAGSTAR BANCORP INC 4.125000% 11/01/2030                                | CUSIP: 337930AD3<br>LEI: 529900HVXOTLY61GL030 | Long             | DBT              | CORP              | US        |     632000 | PA      | $588115.14      | 0.03%             | 2030-11-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                    | FLATIRON CLO 23 LLC FLAT 2023-1A ER                                      | CUSIP: 33883DAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2100000 | PA      | $2092078.80     | 0.12%             | 2036-04-17      | Floating      | 9.26%                 | Yes           |                  2 | On Loan: No      |
| FLEXENTIAL LLC                                      | FLEXENTIAL ISSUER 2021-1 FLX 2021-1A A2                                  | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5868000 | PA      | $5678580.37     | 0.32%             | 2051-11-27      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FLEXENTIAL LLC                                      | FLEXENTIAL ISSUER 2021-1 FLX 2021-1A B                                   | CUSIP: 33938MAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1500000 | PA      | $1432306.35     | 0.08%             | 2051-11-27      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| FLEXENTIAL LLC                                      | FLEXENTIAL ISSUER 2021-1 FLX 2021-1A C                                   | CUSIP: 33938MAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5000000 | PA      | $4911321.50     | 0.28%             | 2051-11-27      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS, LLC                       | FOCUS FINANCIAL PARTNERS LLC 144A 6.750000% 09/15/2031                   | CUSIP: 34417VAA5<br>LEI: 5493007L0E0VKRC2CP39 | Long             | DBT              | CORP              | US        |    1006000 | PA      | $1026888.58     | 0.06%             | 2031-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH TRUST                     | FONTAINEBLEAU MIAMI BEACH MORTGAGE TRUST 2024-FBLU FMBT 2024-FBLU A      | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   10000000 | PA      | $9999998.00     | 0.56%             | 2039-12-15      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH TRUST                     | FONTAINEBLEAU MIAMI BEACH MORTGAGE TRUST 2024-FBLU FMBT 2024-FBLU F      | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3790000 | PA      | $3782893.75     | 0.21%             | 2039-12-15      | Floating      | 8.56%                 | Yes           |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                  | FORD MOTOR CO COMMON STOCK                                               | CUSIP: 345370860<br>LEI: 20S05OYHG0MQM4VUIC57 | Short            | EC               |  | US        |     -29008 | NS      | $-314736.80     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR COMPANY                                  | FORD MOTOR CO ZERO COUPON 03/15/2026                                     | CUSIP: 345370CZ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    1318000 | PA      | $1302184.00     | 0.07%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL LIMITED                         | FORTRESS CREDIT BSL III LTD FCBSL 2015-1A ER                             | CUSIP: 34960HAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $996418.00      | 0.06%             | 2031-04-18      | Floating      | 10.72%                | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL LIMITED                         | FORTRESS CREDIT BSL VII LTD FCBSL 2019-1A ER                             | CUSIP: 34962NAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1750000 | PA      | $1743607.25     | 0.10%             | 2032-07-23      | Floating      | 9.78%                 | Yes           |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL LIMITED                         | FORTRESS CREDIT BSL VIII LTD FCBSL 2019-2A E                             | CUSIP: 34962FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $993301.00      | 0.06%             | 2032-10-20      | Floating      | 11.54%                | No            |                  2 | On Loan: No      |
| FORVIA SE                                           | FORVIA SE 144A 8.000000% 06/15/2030                                      | CUSIP: 31209DAA3<br>LEI: 969500F0VMZLK2IULV85 | Short            | DBT              | NUSS              | FR        |   -1591000 | PA      | $-1630116.33    | -0.09%            | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC MSCR TRUST MN7 MSCR 2023-MN7 B1                              | CUSIP: 35563QAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     180000 | PA      | $200489.13      | 0.01%             | 2043-09-25      | Floating      | 13.16%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK MSCR 2021-MN1 B1          | CUSIP: 35563FAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     130000 | PA      | $141451.39      | 0.01%             | 2051-01-25      | Floating      | 12.06%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 4927 IO                                           | CUSIP: 3137FPJT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    7674002 | PA      | $1799268.87     | 0.10%             | 2049-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 4986 IO                                           | CUSIP: 3137FTWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   14492030 | PA      | $3145311.09     | 0.18%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5036 IB                                           | CUSIP: 3137F6TF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   10643574 | PA      | $2566446.66     | 0.14%             | 2048-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5104 GI                                           | CUSIP: 3137H0GB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   15999339 | PA      | $3121560.61     | 0.18%             | 2049-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5112 KI                                           | CUSIP: 3137H0RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   19087686 | PA      | $3545371.69     | 0.20%             | 2051-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5134 BI                                           | CUSIP: 3137H1WU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   18643177 | PA      | $4532161.99     | 0.26%             | 2051-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5152 YI                                           | CUSIP: 3137H3E57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   12106204 | PA      | $2628094.63     | 0.15%             | 2049-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5163 NI                                           | CUSIP: 3137H47K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    7986265 | PA      | $1695960.09     | 0.10%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5250 SA                                           | CUSIP: 3137H8RP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   39414456 | PA      | $3202026.50     | 0.18%             | 2052-08-25      | Floating      | 1.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5252 SP                                           | CUSIP: 3137H8Y70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   28548200 | PA      | $2055436.16     | 0.12%             | 2052-09-25      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5255 SA                                           | CUSIP: 3137H8VH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   39093190 | PA      | $2940648.35     | 0.17%             | 2052-09-25      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5290 TS                                           | CUSIP: 3137H9QC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   43348513 | PA      | $4002398.58     | 0.23%             | 2052-12-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5296 ST                                           | CUSIP: 3137H9SM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   42489095 | PA      | $3379688.84     | 0.19%             | 2052-11-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5336 SA                                           | CUSIP: 3137HAJU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   54392535 | PA      | $3284737.99     | 0.19%             | 2053-09-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5339 AS                                           | CUSIP: 3137HAHA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   39759495 | PA      | $2889139.58     | 0.16%             | 2053-09-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5344 SA                                           | CUSIP: 3137HAN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   53980658 | PA      | $2792964.62     | 0.16%             | 2053-10-25      | Floating      | 1.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5354 SL                                           | CUSIP: 3137HATB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   33541256 | PA      | $2554589.23     | 0.14%             | 2053-11-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5412 MI                                           | CUSIP: 3137HCPQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   14020816 | PA      | $2119340.22     | 0.12%             | 2049-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5416 SC                                           | CUSIP: 3137HD6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   37218135 | PA      | $3568229.10     | 0.20%             | 2054-06-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5420 SG                                           | CUSIP: 3137HDCW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  202679660 | PA      | $7801484.65     | 0.44%             | 2054-06-25      | Floating      | 0.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC REMICS FHR 5481 SA                                           | CUSIP: 3137HHRB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  121864841 | PA      | $3715342.16     | 0.21%             | 2054-12-25      | Floating      | 0.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                       | FREDDIE MAC STACR REMIC TRUST 2023-DNA1 STACR 2023-DNA1 B1               | CUSIP: 35564KS59<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    2750000 | PA      | $3146006.05     | 0.18%             | 2043-03-25      | Floating      | 12.46%                | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                       | FREDDIE MAC STACR REMIC TRUST 2023-DNA2 STACR 2023-DNA2 B1               | CUSIP: 35564KW70<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    1900000 | PA      | $2152307.08     | 0.12%             | 2043-04-25      | Floating      | 11.91%                | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                       | FREDDIE MAC STACR REMIC TRUST 2025-DNA2 STACR 2025-DNA2 M1               | CUSIP: 35564NHZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    3579512 | PA      | $3587538.18     | 0.20%             | 2045-05-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC STRIPS FHS 356 S5                                            | CUSIP: 31325WWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   19029306 | PA      | $2124316.19     | 0.12%             | 2047-09-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC STRIPS FHS 357 IO                                            | CUSIP: 31325WXD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   11971685 | PA      | $2560565.71     | 0.14%             | 2047-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC STRIPS FHS 406 S16                                           | CUSIP: 3142G5WQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   35863974 | PA      | $1809046.99     | 0.10%             | 2053-10-25      | Floating      | 1.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC STRIPS FHS 406 S4                                            | CUSIP: 3142G5WY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   53795961 | PA      | $3458148.01     | 0.20%             | 2053-10-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC STRIPS FHS 406 S43                                           | CUSIP: 3142G5YH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   35863974 | PA      | $3579169.38     | 0.20%             | 2053-10-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | FREDDIE MAC STRIPS FHS 406 S44                                           | CUSIP: 3142G5YG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   70114069 | PA      | $6634056.51     | 0.37%             | 2053-10-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORPORATION                        | FREEDOM MORTGAGE CORP 144A 12.000000% 10/01/2028                         | CUSIP: 35640YAK3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    1787000 | PA      | $1921781.29     | 0.11%             | 2028-10-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORPORATION                        | FREEDOM MORTGAGE CORP 144A 12.250000% 10/01/2030                         | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    1335000 | PA      | $1480339.93     | 0.08%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORPORATION                        | FREEDOM MORTGAGE CORP 144A 6.625000% 01/15/2027                          | CUSIP: 35640YAJ6<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    1787000 | PA      | $1789991.44     | 0.10%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLDINGS LLC                       | FREEDOM MORTGAGE HOLDINGS LLC 144A 8.375000% 04/01/2032                  | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     376000 | PA      | $380052.15      | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLDINGS LLC                       | FREEDOM MORTGAGE HOLDINGS LLC 144A 9.125000% 05/15/2031                  | CUSIP: 35641AAB4<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    2603000 | PA      | $2683126.30     | 0.15%             | 2031-05-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS, LLC               | FRONTIER COMMUNICATIONS HOLDINGS LLC 144A 5.875000% 10/15/2027           | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10088000 | PA      | $10091823.35    | 0.57%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | FS AI Factor Long TRS                                                    | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DE               |  | US        |     462671 | NC      | $907945.57      | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | FS AI Factor Short TRS                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DE               |  | US        |   44884164 | NC      | $-814235.75     | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: EUR/USD SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | XX        |          1 | NC      | $285611.66      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: GBP/USD SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | GB        |          1 | NC      | $242840.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: GBP/USD SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | GB        |          1 | NC      | $73193.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/EUR SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-99550.78      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/EUR SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-36601.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/EUR SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-140048.61     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/EUR SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-5049.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/EUR SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-2470.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/GBP SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-269438.32     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/GBP SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-19122.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/GBP SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-81213.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TRUST CO.                       | FX Forward Contract: USD/GBP SETTLE 2025-07-17                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | N/A              | DFE              |  | US        |          1 | NC      | $-75489.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY CLO, LTD                                     | GALAXY XXVI CLO LTD GALXY 2018-26A E                                     | CUSIP: 36321MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1494465.00     | 0.08%             | 2031-11-22      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| GAMESTOP CORP.                                      | GAMESTOP CORP 144A ZERO COUPON 04/01/2030                                | CUSIP: 36467WAD1<br>LEI: 549300505KLOET039L77 | Long             | DBT              | CORP              | US        |    4849000 | PA      | $5236920.00     | 0.30%             | 2030-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GAMESTOP CORP.                                      | GAMESTOP CORP-CLASS A COMMON STOCK                                       | CUSIP: 36467W109<br>LEI: 549300505KLOET039L77 | Short            | EC               |  | US        |    -109148 | NS      | $-2662119.72    | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| GCAT TRUST                                          | GCAT 2023-NQM2 TRUST GCAT 2023-NQM2 B2                                   | CUSIP: 36169DAF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     120000 | PA      | $118375.43      | 0.01%             | 2067-11-25      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| GCAT TRUST                                          | GCAT 2024-NQM2 TRUST GCAT 2024-NQM2 B1                                   | CUSIP: 36831CAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1000000 | PA      | $1003849.60     | 0.06%             | 2059-06-25      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| GCAT TRUST                                          | GCAT 2024-NQM2 TRUST GCAT 2024-NQM2 B2                                   | CUSIP: 36831CAF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     210000 | PA      | $208292.87      | 0.01%             | 2059-06-25      | Floating      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| GENERATE CLO LTD                                    | GENERATE CLO 14 LTD GNRT 2024-14A E                                      | CUSIP: 37149TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1780000 | PA      | $1783357.08     | 0.10%             | 2037-04-22      | Floating      | 11.03%                | Yes           |                  2 | On Loan: No      |
| GENERATE CLO LTD                                    | GENERATE CLO 2 LTD GNRT 2A ER2                                           | CUSIP: 370911AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $98754.40       | 0.01%             | 2037-10-22      | Floating      | 11.62%                | Yes           |                  2 | On Loan: No      |
| GENERATE CLO LTD                                    | GENERATE CLO 3 LTD GNRT 3A E2R                                           | CUSIP: 98625VAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1247148.75     | 0.07%             | 2036-10-20      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| GENERATE CLO LTD                                    | GENERATE CLO 6 LTD GNRT 6A AR2                                           | CUSIP: 37148JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10027550.00    | 0.57%             | 2037-10-22      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| GENWORTH FINANCIAL, INC.                            | GENWORTH HOLDINGS INC VARIABLE RATE 11/15/2036                           | CUSIP: 37247DAG1<br>LEI: 549300EMCG286BDNKJ33 | Long             | DBT              | CORP              | US        |    1771000 | PA      | $1512744.54     | 0.09%             | 2036-11-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| THE GEO GROUP, INC.                                 | GEO GROUP INC/THE 10.250000% 04/15/2031                                  | CUSIP: 36162JAH9<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |     899000 | PA      | $985985.44      | 0.06%             | 2031-04-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| GGAM Finance Limited                                | GGAM FINANCE LTD 144A 5.875000% 03/15/2030                               | CUSIP: 36170JAE6<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | NUSS              | IE        |    2606000 | PA      | $2624502.60     | 0.15%             | 2030-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                          | GLS AUTO RECEIVABLES ISSUER TRUST 2025-1 GCAR 2025-1A E                  | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4250000 | PA      | $4294887.23     | 0.24%             | 2032-03-15      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                          | GLS AUTO RECEIVABLES ISSUER TRUST 2025-2 GCAR 2025-2A E                  | CUSIP: 37989BAN2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1720000 | PA      | $1769897.89     | 0.10%             | 2032-06-15      | Fixed         | 7.73%                 | Yes           |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO LTD               | GOLDENTREE LOAN MANAGEMENT US CLO 5 LTD GLM 2019-5A E                    | CUSIP: 38138EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     520000 | PA      | $505041.68      | 0.03%             | 2032-10-20      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO LTD               | GOLDENTREE LOAN MANAGEMENT US CLO 6 LTD GLM 2019-6A ER2                  | CUSIP: 38137XAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3800000 | PA      | $3805282.00     | 0.21%             | 2035-04-20      | Floating      | 8.77%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | GOLDMAN SACHS COLLATERAL BALANCE FS FUNDS                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    7000000 | PA      | $7000000.01     | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST           | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2024-1 GDLP 2024-1A C          | CUSIP: 381935AC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     926507 | PA      | $964204.53      | 0.05%             | 2046-10-20      | Fixed         | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-35 AS                  | CUSIP: 38376WL37<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    9729940 | PA      | $954196.77      | 0.05%             | 2040-03-20      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-37 SG                  | CUSIP: 38376XJR5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    7632656 | PA      | $740737.05      | 0.04%             | 2040-03-20      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2011-70 WI                  | CUSIP: 38377WMN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   15416576 | PA      | $896866.99      | 0.05%             | 2040-12-20      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-123 SE                 | CUSIP: 38379QCX1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    9031890 | PA      | $917751.99      | 0.05%             | 2045-09-20      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-77 SC                  | CUSIP: 38379YKE7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   12322908 | PA      | $1493648.60     | 0.08%             | 2045-10-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-179 TI                 | CUSIP: 38380ULH4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   10650705 | PA      | $2464842.68     | 0.14%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-100 S                  | CUSIP: 38380XRP4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    9483100 | PA      | $1247261.94     | 0.07%             | 2048-07-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-21 PI                  | CUSIP: 38380K2U8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   22415571 | PA      | $5198993.45     | 0.29%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-89 LS                  | CUSIP: 38380XKS5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   15661231 | PA      | $2096742.82     | 0.12%             | 2048-06-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-91 SH                  | CUSIP: 38380XYA9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    9438436 | PA      | $1187022.06     | 0.07%             | 2048-07-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-91 SJ                  | CUSIP: 38380XYB7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   10098855 | PA      | $1363219.17     | 0.08%             | 2048-07-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-133 EI                 | CUSIP: 38382ADT9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    8514407 | PA      | $1919187.35     | 0.11%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-143 SC                 | CUSIP: 38382AZF5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   21124631 | PA      | $2617658.60     | 0.15%             | 2046-04-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-127 IY                 | CUSIP: 38382H6Y1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   13187023 | PA      | $2645010.81     | 0.15%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-148 IP                 | CUSIP: 38382KYD9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   19442422 | PA      | $4467170.51     | 0.25%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-4 IO                   | CUSIP: 38382B3E1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   15119751 | PA      | $2999897.67     | 0.17%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-53 QI                  | CUSIP: 38382EHF7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   10217659 | PA      | $2232672.88     | 0.13%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-78 DI                  | CUSIP: 38382FV84<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   39431891 | PA      | $9067442.19     | 0.51%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-139 WI                 | CUSIP: 38382XJQ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   12084212 | PA      | $2122207.64     | 0.12%             | 2045-11-20      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-158 JI                 | CUSIP: 38382XZ24<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    9436279 | PA      | $2202424.79     | 0.12%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-215 SB                 | CUSIP: 38383DZ35<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   14116664 | PA      | $1026332.28     | 0.06%             | 2051-12-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-216 IC                 | CUSIP: 38383D4F2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   26717923 | PA      | $3629552.29     | 0.20%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-78 IC                  | CUSIP: 38382TEA8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   26076706 | PA      | $4994429.71     | 0.28%             | 2051-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-137 JS                 | CUSIP: 38383UWK2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   44608882 | PA      | $3582227.03     | 0.20%             | 2052-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-148 SJ                 | CUSIP: 38383YAT9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   33460892 | PA      | $2397071.42     | 0.14%             | 2052-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-153 SG                 | CUSIP: 38383YFY3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   29764624 | PA      | $1475741.96     | 0.08%             | 2052-09-20      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-159 JS                 | CUSIP: 38383YML3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   38921194 | PA      | $2389052.98     | 0.13%             | 2052-09-20      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-188 IE                 | CUSIP: 38383LHF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   12550770 | PA      | $2691220.25     | 0.15%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-193 SA                 | CUSIP: 38383Y7L0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   60338737 | PA      | $2109454.31     | 0.12%             | 2052-11-20      | Floating      | 0.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-212 SA                 | CUSIP: 38383LWM8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   21562641 | PA      | $1333196.53     | 0.08%             | 2052-12-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-213 TS                 | CUSIP: 38383LA59<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   11125227 | PA      | $752607.13      | 0.04%             | 2052-12-20      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-23 WI                  | CUSIP: 38383MNG9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    8576414 | PA      | $1959358.21     | 0.11%             | 2052-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-30 IG                  | CUSIP: 38383F3Y7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   23369995 | PA      | $3581136.19     | 0.20%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-34 IT                  | CUSIP: 38383MBX5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   14444309 | PA      | $3063262.49     | 0.17%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-5 NI                   | CUSIP: 38383FM67<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   23282897 | PA      | $3515463.73     | 0.20%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-102 BS                 | CUSIP: 38384BZL8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   22326487 | PA      | $1487031.13     | 0.08%             | 2053-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-122 SG                 | CUSIP: 38384CS26<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   21733972 | PA      | $1451166.41     | 0.08%             | 2053-08-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-123 GS                 | CUSIP: 38384CRL5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   32600957 | PA      | $2110289.31     | 0.12%             | 2053-08-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-123 MS                 | CUSIP: 38384CRB7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   67406001 | PA      | $4426208.31     | 0.25%             | 2053-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-164 MS                 | CUSIP: 38384D2H9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   27708604 | PA      | $1522186.02     | 0.09%             | 2053-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-170 SC                 | CUSIP: 38384DR82<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   27708604 | PA      | $1410453.84     | 0.08%             | 2053-11-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-21 SE                  | CUSIP: 38383VY93<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   29890815 | PA      | $1221586.79     | 0.07%             | 2053-02-20      | Floating      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-4 SA                   | CUSIP: 38383VKH0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   43203152 | PA      | $1876036.39     | 0.11%             | 2053-01-20      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-4 SG                   | CUSIP: 38383VLD8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   68805517 | PA      | $5323641.12     | 0.30%             | 2053-01-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-5 SC                   | CUSIP: 38383HRJ0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   47040235 | PA      | $2623099.92     | 0.15%             | 2053-01-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-56 SE                  | CUSIP: 38383XP40<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   31692633 | PA      | $1111454.30     | 0.06%             | 2053-04-20      | Floating      | 0.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-69 SA                  | CUSIP: 38384AXL2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   63514678 | PA      | $3371346.38     | 0.19%             | 2053-05-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-82 US                  | CUSIP: 38384AN74<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   16268821 | PA      | $1620150.10     | 0.09%             | 2053-06-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-110 SK                 | CUSIP: 38384QH68<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   61580005 | PA      | $2247276.09     | 0.13%             | 2054-07-20      | Floating      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-111 SM                 | CUSIP: 38384QT40<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   25976194 | PA      | $1040421.91     | 0.06%             | 2054-07-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-24 HI                  | CUSIP: 38384JX82<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   32298819 | PA      | $6615760.57     | 0.37%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-65 SU                  | CUSIP: 38384NLG8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   52715456 | PA      | $3572531.73     | 0.20%             | 2053-05-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-H11 EI                 | CUSIP: 38383KB50<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     922572 | PA      | $59137.71       | 0.00%             | 2074-06-20      | Floating      | 0.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-H14 AI                 | CUSIP: 38383KG22<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    2455642 | PA      | $176850.44      | 0.01%             | 2074-08-20      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-H20 KI                 | CUSIP: 38383K4A7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   14430447 | PA      | $1325768.46     | 0.07%             | 2074-11-20      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-H21 IB                 | CUSIP: 38383K5P3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    3815362 | PA      | $281340.95      | 0.02%             | 2074-12-20      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| GRAHAM PACKAGING COMPANY INC.                       | GRAHAM PACKAGING CO INC 144A 7.125000% 08/15/2028                        | CUSIP: 384701AA6<br>LEI: 549300YS0ZFT826HIK72 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $2365623.32     | 0.13%             | 2028-08-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Gray Media, Inc                                     | GRAY MEDIA INC 144A 10.500000% 07/15/2029                                | CUSIP: 389375AM8<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    1002000 | PA      | $1076423.55     | 0.06%             | 2029-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| GREYWOLF CLO LTD.                                   | GREYWOLF CLO IV LTD GWOLF 2019-1A DR                                     | CUSIP: 39810JAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1492966.50     | 0.08%             | 2034-04-17      | Floating      | 11.40%                | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | GS Accelerated Bonus Depreciation TRS                                    | CUSIP: TXU100D00<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |     269150 | NC      | $689142.43      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | GS CTA Strategy TRS                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DE               |  | US        |    1022046 | NC      | $83439835.44    | 4.71%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | GS Carbon Allowance TRS                                                  | CUSIP: TGSCAZE01<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |      52946 | NC      | $214383.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | GS Carbon Allowance TRS                                                  | CUSIP: TGSCAZE00<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |      53999 | NC      | $218647.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | GS Carbon Allowance TRS                                                  | CUSIP: TGSCAZE02<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |      52622 | NC      | $213071.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | GS Domestic Sales TRS                                                    | CUSIP: TXUAMER00<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |   26517050 | NC      | $-922963.01     | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | GS International Sales TRS                                               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DE               |  | US        |     268529 | NC      | $661182.84      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST            | GS MORTGAGE SECURITIES TRUST 2015-590M GSMS 2015-590M B                  | CUSIP: 36250WAG5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     400000 | PA      | $398242.56      | 0.02%             | 2035-10-10      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST            | GS MORTGAGE SECURITIES TRUST 2015-590M GSMS 2015-590M C                  | CUSIP: 36250WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     280000 | PA      | $278694.56      | 0.02%             | 2035-10-10      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                        | GS MORTGAGE SECURITIES TRUST 2015-GS1 GSMS 2015-GS1 B                    | CUSIP: 36252AAH9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     480000 | PA      | $450563.33      | 0.03%             | 2048-11-10      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                 | GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-PJ4 GSMBS 2021-PJ4 AIOS    | CUSIP: 36264PBN8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    2638543 | PA      | $35638.80       | 0.00%             | 2051-09-25      | Floating      | 0.22%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                 | GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ6 GSMBS 2021-PJ6 AIOS         | CUSIP: 36262LBE9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    5672306 | PA      | $53517.07       | 0.00%             | 2051-11-25      | Floating      | 0.15%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                 | GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ7 GSMBS 2021-PJ7 AIOS         | CUSIP: 36262CBR0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    7134484 | PA      | $67453.70       | 0.00%             | 2052-01-25      | Floating      | 0.15%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                 | GS MORTGAGE-BACKED SECURITIES TRUST 2023-CCM1 GSMBS 2023-CCM1 B2         | CUSIP: 362918AF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     630000 | PA      | $622890.14      | 0.04%             | 2053-08-25      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                        | GSMS TRUST 2024-FAIR GSMS 2024-FAIR D                                    | CUSIP: 36270JAG0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2750000 | PA      | $2817176.45     | 0.16%             | 2029-07-15      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO DAC                              | HAYFIN EMERALD CLO V DAC HAYEM 5A ER                                     | CUSIP: HAFNJFSD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2760000 | PA      | $3264790.03     | 0.18%             | 2037-11-17      | Floating      | 9.18%                 | Yes           |                  2 | On Loan: No      |
| HEARTLAND DENTAL, LLC                               | HEARTLAND DENTAL LLC / HEARTLAND DENTAL FINANCE CO 10.500000% 04/30/2028 | CUSIP: 42239PAB5<br>LEI: 5493008FRC0GRKBN1075 | Long             | DBT              | CORP              | US        |    4948000 | PA      | $5224548.67     | 0.29%             | 2028-04-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| HERA FINANCING DAC                                  | HERA FINANCING 2024-1 DAC HRFIN 2024-1A A                                | CUSIP: HER7UYUZ0<br>LEI: N/A                  | Long             | ABS-MBS          |  | GB        |    4994712 | PA      | $6815047.04     | 0.38%             | 2034-11-17      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| HERC HOLDINGS INC.                                  | HERC HOLDINGS INC 144A 7.000000% 06/15/2030                              | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    1606000 | PA      | $1677237.89     | 0.09%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC.                                  | HERC HOLDINGS INC 144A 7.250000% 06/15/2033                              | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     578000 | PA      | $605629.13      | 0.03%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                     | HERTZ VEHICLE FINANCING III LLC 2025-2 HERTZ 2025-2A D                   | CUSIP: 42806MDA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1280000 | PA      | $1252198.91     | 0.07%             | 2031-09-25      | Fixed         | 8.34%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                     | HERTZ VEHICLE FINANCING III LLC HERTZ 2023-1A 1D                         | CUSIP: 42806MCJ6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     470000 | PA      | $475336.94      | 0.03%             | 2027-06-25      | Fixed         | 9.13%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                     | HERTZ VEHICLE FINANCING III LLC HERTZ 2023-2A D                          | CUSIP: 42806MBZ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     250000 | PA      | $256736.65      | 0.01%             | 2029-09-25      | Fixed         | 9.40%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                     | HERTZ VEHICLE FINANCING III LLC HERTZ 2023-4A D                          | CUSIP: 42806MCH0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     290000 | PA      | $297754.34      | 0.02%             | 2030-03-25      | Fixed         | 9.44%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                     | HERTZ VEHICLE FINANCING III LLC HERTZ 2025-1A D                          | CUSIP: 42806MCW7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     580000 | PA      | $578270.73      | 0.03%             | 2029-09-25      | Fixed         | 7.98%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                     | HERTZ VEHICLE FINANCING III LP HERTZ 2021-2A D                           | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     510000 | PA      | $488850.35      | 0.03%             | 2027-12-27      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                     | HERTZ VEHICLE FINANCING LLC HERTZ 2022-2A D                              | CUSIP: 42806MAR0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     250000 | PA      | $238722.18      | 0.01%             | 2028-06-26      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                     | HERTZ VEHICLE FINANCING LLC HERTZ 2022-5A D                              | CUSIP: 42806MBQ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1370000 | PA      | $1339264.74     | 0.08%             | 2028-09-25      | Fixed         | 6.78%                 | Yes           |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE COMPANY                  | HEWLETT PACKARD ENTERPRISE COMMON STOCK                                  | CUSIP: 42824C109<br>LEI: 549300BX44RGX6ANDV88 | Short            | EC               |  | US        |     -69495 | NS      | $-1421172.75    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC                 | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND 5.000000% 06/01/2029  | CUSIP: 43284MAA6<br>LEI: 254900HF0EZ734FDVY79 | Short            | DBT              | CORP              | US        |   -1021000 | PA      | $-982045.58     | -0.06%            | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOME RE LIMITED                                     | HOME RE 2023-1 LTD HMIR 2023-1 M2                                        | CUSIP: 43731BAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     720000 | PA      | $770968.44      | 0.04%             | 2033-10-25      | Floating      | 10.31%                | Yes           |                  2 | On Loan: No      |
| HOMES TRUST                                         | HOMES 2024-AFC1 TRUST HOMES 2024-AFC1 A1                                 | CUSIP: 403945AC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4391017 | PA      | $4373030.16     | 0.25%             | 2059-08-25      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| HOMES TRUST                                         | HOMES 2024-NQM2 TRUST HOMES 2024-NQM2 B1                                 | CUSIP: 43761CAH5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     160000 | PA      | $159494.69      | 0.01%             | 2069-10-25      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| HOMES TRUST                                         | HOMES 2025-AFC1 TRUST HOMES 2025-AFC1 B1                                 | CUSIP: 403969AG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1755000 | PA      | $1734213.25     | 0.10%             | 2060-01-25      | Floating      | 7.06%                 | Yes           |                  2 | On Loan: No      |
| HOMES TRUST                                         | HOMES 2025-NQM2 TRUST HOMES 2025-NQM2 B2                                 | CUSIP: 403966AF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     230000 | PA      | $216842.32      | 0.01%             | 2070-02-25      | Floating      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| HOTWIRE FUNDING LLC                                 | HOTWIRE FUNDING LLC HWIRE 2024-1A C                                      | CUSIP: 44148JAM1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     140000 | PA      | $147115.39      | 0.01%             | 2054-06-20      | Fixed         | 9.19%                 | Yes           |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES, L.P.                     | HUDSON PACIFIC PROPERTIES LP 3.250000% 01/15/2030                        | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     107000 | PA      | $87484.06       | 0.00%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES, L.P.                     | HUDSON PACIFIC PROPERTIES LP 5.950000% 02/15/2028                        | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Short            | DBT              | CORP              | US        |   -1107000 | PA      | $-1078985.37    | -0.06%            | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUSKY IMS CANADIAN ESCROW CO-ISSUER LTD.            | HUSKY INJECTION MOLDING SYSTEMS LTD / TITAN CO-BOR 9.000000% 02/15/2029  | CUSIP: 44805RAA3<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |    2477000 | PA      | $2589822.37     | 0.15%             | 2029-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE COMPANY                  | Hewlett Packard Enterprise Co PREFERRED STOCK                            | CUSIP: 42824C208<br>LEI: 549300BX44RGX6ANDV88 | Long             | EP               |  | US        |      29004 | NS      | $1707755.52     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES L.P.                              | ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE C 10.000000% 11/15/2029 | CUSIP: 451102CK1<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |    4718000 | PA      | $4670933.70     | 0.26%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES L.P.                              | ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE C 5.250000% 05/15/2027  | CUSIP: 451102BZ9<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |    2696000 | PA      | $2612238.25     | 0.15%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ICG US CLO                                          | ICG US CLO 2023-1 I LTD ICG 2023-1A E                                    | CUSIP: 448989AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     740000 | PA      | $737225.00      | 0.04%             | 2036-07-18      | Floating      | 13.08%                | Yes           |                  2 | On Loan: No      |
| ILFC E-CAPITAL TRUST I                              | ILFC E-CAPITAL TRUST I 144A VARIABLE RATE 12/21/2065                     | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3180000 | PA      | $2658922.66     | 0.15%             | 2065-12-21      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| ILFC E-CAPITAL TRUST II                             | ILFC E-CAPITAL TRUST II 144A 6.538290% 12/21/2065                        | CUSIP: 44965UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2579000 | PA      | $2190756.82     | 0.12%             | 2065-12-21      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| LUMMUS TECHNOLOGY HOLDINGS V LLC                    | ILLUMINATE BUYER LLC / ILLUMINATE HOLDINGS IV INC 9.000000% 07/01/2028   | CUSIP: 45232TAA9<br>LEI: 549300K1Y0YC1YC1H809 | Long             | DBT              | CORP              | US        |    8514000 | PA      | $8555803.74     | 0.48%             | 2028-07-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                        | IMPERIAL FUND MORTGAGE TRUST 2020-NQM1 IMPRL 2020-NQM1 B2                | CUSIP: 452760AF8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     742000 | PA      | $709211.84      | 0.04%             | 2055-10-25      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| IRIS ESCROW ISSUER CORPORATION                      | IRIS HOLDING INC 144A 10.000000% 12/15/2028                              | CUSIP: 462914AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3047000 | PA      | $2794170.60     | 0.16%             | 2028-12-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| iShares Bitcoin Trust ETF                           | ISHARES BITCOIN TRUST ETF MUTUAL FUND                                    | CUSIP: 46438F101<br>LEI: N/A                  | Long             | EC               | RF                | US        |     150471 | NS      | $9210329.91     | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| ISLAND FINANCE TRUST                                | ISLAND FINANCE TRUST 2025-1 ISLN 2025-1A B                               | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     300000 | PA      | $307639.98      | 0.02%             | 2035-03-19      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| ISLAND FINANCE TRUST                                | ISLAND FINANCE TRUST 2025-1 ISLN 2025-1A C                               | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     350000 | PA      | $352423.82      | 0.02%             | 2035-03-19      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| IWM US 08/15/25 P205                                | IWM US 08/15/25 P205 LONG                                                | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |        264 | PA      | $69960.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2022-NLP B      | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2469987 | PA      | $2426762.53     | 0.14%             | 2037-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                          | J.P. MORGAN MORTGAGE TRUST 2023-4 JPMMT 2023-4 B4                        | CUSIP: 46656QCC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     252360 | PA      | $225990.29      | 0.01%             | 2053-11-25      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| JACKSON PARK TRUST                                  | JACKSON PARK TRUST 2019-LIC JAX 2019-LIC E                               | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     840000 | PA      | $722492.06      | 0.04%             | 2039-10-14      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP, LLC                              | JANE STREET GROUP / JSG FINANCE INC 144A 6.125000% 11/01/2032            | CUSIP: 47077WAD0<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |    2264000 | PA      | $2285612.60     | 0.13%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP, LLC                              | JANE STREET GROUP / JSG FINANCE INC 144A 6.750000% 05/01/2033            | CUSIP: 47077WAE8<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |     529000 | PA      | $543920.97      | 0.03%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JD.COM, INC.                                        | JD.COM INC 0.250000% 06/01/2029                                          | CUSIP: 47215PAJ5<br>LEI: 549300HVTWB0GJZ16V92 | Long             | DBT              | CORP              | CN        |    6093000 | PA      | $6339766.50     | 0.36%             | 2029-06-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JD.COM, INC.                                        | JD.COM INC-ADR DEPOSITARY RECEIPT                                        | CUSIP: 47215P106<br>LEI: 549300HVTWB0GJZ16V92 | Short            | EC               |  | CN        |     -73958 | NS      | $-2413989.12    | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| JETBLUE AIRWAYS CORPORATION                         | JETBLUE AIRWAYS CORP 144A 2.500000% 09/01/2029                           | CUSIP: 477143AQ4<br>LEI: 54930070J9H97ZO93T57 | Long             | DBT              | CORP              | US        |    3989000 | PA      | $3667885.50     | 0.21%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORPORATION                         | JETBLUE AIRWAYS CORP COMMON STOCK                                        | CUSIP: 477143101<br>LEI: 54930070J9H97ZO93T57 | Short            | EC               |  | US        |    -508384 | NS      | $-2150464.32    | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | JP MORGAN COLLATERAL BALANCE FS FUNDS                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    5600000 | PA      | $5600000.00     | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                          | JP MORGAN MORTGAGE TRUST SERIES 2024-VIS1 JPMMT 2024-VIS1 B2             | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $98809.88       | 0.01%             | 2064-07-25      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                          | JP MORGAN MORTGAGE TRUST SERIES 2024-VIS2 JPMMT 2024-VIS2 B2             | CUSIP: 46658DAF6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $98120.24       | 0.01%             | 2064-11-25      | Floating      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                          | JP MORGAN MORTGAGE TRUST SERIES 2025-CCM2 JPMMT 2025-CCM2 B4             | CUSIP: 46659EBG0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     620000 | PA      | $493801.54      | 0.03%             | 2055-09-25      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST          | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C1 JPMBB 2014-C19 F      | CUSIP: 46641WAL1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     535094 | PA      | $513101.52      | 0.03%             | 2047-04-15      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| KAPITUS ASSET SECURITIZATION LLC                    | KAPITUS ASSET SECURITIZATION V LLC KAPT 2025-1A D                        | CUSIP: 48555NAD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     550000 | PA      | $549951.16      | 0.03%             | 2032-04-10      | Fixed         | 10.92%                | Yes           |                  2 | On Loan: No      |
| KEHE DISTRIBUTORS, LLC                              | KEHE DISTRIBUTORS LLC / KEHE FINANCE CORP / NEXTWA 9.000000% 02/15/2029  | CUSIP: 487526AC9<br>LEI: 549300WQCH7SRQ8JKE47 | Long             | DBT              | CORP              | US        |    2396000 | PA      | $2481424.59     | 0.14%             | 2029-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO, LTD.                             | KKR CLO 23 LTD KKR 23 E                                                  | CUSIP: 48252XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $962349.00      | 0.05%             | 2031-10-20      | Floating      | 10.53%                | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                                  | KOHL'S CORP 144A 10.000000% 06/01/2030                                   | CUSIP: 500255AY0<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |    2190000 | PA      | $2269977.07     | 0.13%             | 2030-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                                  | KOHL'S CORP 5.550000% 07/17/2045                                         | CUSIP: 500255AV6<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $585476.81      | 0.03%             | 2045-07-17      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                                  | KOHLS CORPORATION 6.875% 12/15/2037                                      | CUSIP: 500255AQ7<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |      20000 | PA      | $12131.73       | 0.00%             | 2037-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KSL COMMERCIAL MORTGAGE TRUST                       | KSL COMMERCIAL MORTGAGE TRUST 2024-HT2 KSL 2024-HT2 A                    | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    8000000 | PA      | $7984563.20     | 0.45%             | 2039-12-15      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                | LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPI 5.500000% 08/01/2030  | CUSIP: 505742AS5<br>LEI: 254900TBF2Z4GR7NSX02 | Long             | DBT              | CORP              | US        |    1627000 | PA      | $1637491.22     | 0.09%             | 2030-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                | LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPI 7.000000% 07/15/2031  | CUSIP: 505742AR7<br>LEI: 254900TBF2Z4GR7NSX02 | Long             | DBT              | CORP              | US        |     972000 | PA      | $1016410.68     | 0.06%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LAQ MORTGAGE TRUST                                  | LAQ 2023-LAQ MORTGAGE TRUST LAQ 2023-LAQ F                               | CUSIP: 516681AL7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1125000 | PA      | $1075962.38     | 0.06%             | 2036-03-15      | Floating      | 11.25%                | Yes           |                  2 | On Loan: No      |
| LAQ MORTGAGE TRUST                                  | LAQ 2023-LAQ MORTGAGE TRUST LAQ 2023-LAQ G                               | CUSIP: 516681AN3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     405000 | PA      | $387214.38      | 0.02%             | 2036-03-15      | Floating      | 12.74%                | Yes           |                  2 | On Loan: No      |
| DRB PRIME STUDENT LOAN TRUST                        | LAUREL ROAD PRIME STUDENT LOAN TRUST 2017-B DRB 2017-B R                 | CUSIP: 518887104<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |         20 | PA      | $26186.58       | 0.00%             | 2042-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LD HOLDINGS GROUP LLC                               | LD HOLDINGS GROUP LLC 144A 6.125000% 04/01/2028                          | CUSIP: 521088AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1670000 | PA      | $1369400.00     | 0.08%             | 2028-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LD HOLDINGS GROUP LLC                               | LD HOLDINGS GROUP LLC 144A 8.750000% 11/01/2027                          | CUSIP: 521088AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1155679 | PA      | $1049634.85     | 0.06%             | 2027-11-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING, INC.                             | LEVEL 3 FINANCING INC 144A 10.750000% 12/15/2030                         | CUSIP: 527298BZ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    2654000 | PA      | $3008972.50     | 0.17%             | 2030-12-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| LFS TOPCO LLC                                       | LFS TOPCO LLC 144A 5.875000% 10/15/2026                                  | CUSIP: 50203TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4214000 | PA      | $4213723.39     | 0.24%             | 2026-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LFS TOPCO LLC                                       | LFS TOPCO LLC 144A 8.750000% 07/15/2030                                  | CUSIP: 50203TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3473000 | PA      | $3416385.65     | 0.19%             | 2030-07-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| LONDON CARDS PLC                                    | LONDON CARDS NO 2 PLC LDN 2 E                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          |  | GB        |     200000 | PA      | $283214.19      | 0.02%             | 2034-03-28      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES, INC.                            | LUMEN TECHNOLOGIES INC 144A 10.000000% 10/15/2032                        | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    2334000 | PA      | $2383597.50     | 0.13%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | Long Comex / Short LME Copper TRS                                        | CUSIP: TGSHGLP00<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |   17861984 | NC      | $690540.42      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | MACQUARIE COLLATERAL BALANCE FS FUNDS                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    1200000 | PA      | $1200000.00     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                          | MADISON PARK FUNDING XXVII LTD MDPK 2018-27A ER                          | CUSIP: 55820XAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242746.75      | 0.01%             | 2038-04-20      | Floating      | 9.82%                 | Yes           |                  2 | On Loan: No      |
| MARA HOLDINGS, INC.                                 | MARA HOLDINGS INC 144A ZERO COUPON 03/01/2030                            | CUSIP: 565788AE6<br>LEI: 549300M8ISKPTX2W7F94 | Long             | DBT              | CORP              | US        |    1830000 | PA      | $1640595.00     | 0.09%             | 2030-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MARA HOLDINGS, INC.                                 | MARA HOLDINGS INC COMMON STOCK                                           | CUSIP: 565788106<br>LEI: 549300M8ISKPTX2W7F94 | Short            | EC               |  | US        |     -49543 | NS      | $-776834.24     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST                      | MARINER FINANCE ISSUANCE TRUST 2024-A MFIT 2024-AA D                     | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     570000 | PA      | $588075.95      | 0.03%             | 2036-09-22      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                              | MARLETTE FUNDING TRUST 2023-2 MFT 2023-2A D                              | CUSIP: 57109LAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1670000 | PA      | $1726853.98     | 0.10%             | 2033-06-15      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUTIONS HOLDING COMPANY          | MAUSER PACKAGING SOLUTIONS HOLDING CO 144A 7.875000% 04/15/2027          | CUSIP: 57763RAD9<br>LEI: 549300DNGHXL0OMHW304 | Short            | DBT              | CORP              | US        |   -2110000 | PA      | $-2144587.12    | -0.12%            | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| METIS MERGER SUB, LLC                               | MAVIS TIRE EXPRESS SERVICES TOPCO CORP 144A 6.500000% 05/15/2029         | CUSIP: 59155LAA0<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |   -2345000 | PA      | $-2303281.75    | -0.13%            | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MAXIM CRANE WORKS HOLDINGS CAPITAL, LLC             | MAXIM CRANE WORKS HOLDINGS CAPITAL LLC 144A 11.500000% 09/01/2028        | CUSIP: 57779EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4845000 | PA      | $5114042.85     | 0.29%             | 2028-09-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| MCR MORTGAGE TRUST                                  | MCR 2024-HTL MORTGAGE TRUST MCR 2024-HTL F                               | CUSIP: 55286PAL7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     314220 | PA      | $312779.50      | 0.02%             | 2037-02-15      | Floating      | 9.96%                 | Yes           |                  2 | On Loan: No      |
| MEACHAM PARK CLO, LTD.                              | MEACHAM PARK CLO LTD MCHPK 2024-1A E                                     | CUSIP: 58286RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1503642.00     | 0.08%             | 2037-10-20      | Floating      | 9.62%                 | Yes           |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS GROUP U.S. HOLDINGS INC.      | MERLIN ENTERTAINMENTS GROUP US HOLDINGS INC 144A 7.375000% 02/15/2031    | CUSIP: 59010UAA5<br>LEI: 549300HBQPPKS1187K54 | Long             | DBT              | CORP              | GB        |    1353000 | PA      | $1209060.01     | 0.07%             | 2031-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MF1 LTD                                             | MF1 2022-FL8 LTD MF1 2022-FL8 A                                          | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7281591 | PA      | $7281554.93     | 0.41%             | 2037-02-19      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| MFA TRUST                                           | MFA 2024-NQM2 TRUST MFRA 2024-NQM2 A1                                    | CUSIP: 58004JAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4192201 | PA      | $4177918.00     | 0.24%             | 2069-08-25      | Fixed         | 5.27%                 | Yes           |                  2 | On Loan: No      |
| MICROSTRATEGY INCORPORATED                          | MICROSTRATEGY INC 144A ZERO COUPON 12/01/2029                            | CUSIP: 594972AR2<br>LEI: 549300WQTWEJUEHXQX21 | Long             | DBT              | CORP              | US        |    4618000 | PA      | $4357083.00     | 0.25%             | 2029-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MICROSTRATEGY INCORPORATED                          | MICROSTRATEGY INC-CL A COMMON STOCK                                      | CUSIP: 594972408<br>LEI: 549300WQTWEJUEHXQX21 | Short            | EC               |  | US        |      -4383 | NS      | $-1771740.09    | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| MIDCAP FINANCIAL ISSUER TRUST                       | MIDCAP FINANCIAL ISSUER TRUST 144A 6.500000% 05/01/2028                  | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1887000 | PA      | $1869165.30     | 0.11%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MOHEGAN ESCROW ISSUER, LLC                          | MOHEGAN TRIBAL GAMING AUTHORITY / MS DIGITAL ENTER 8.250000% 04/15/2030  | CUSIP: 60832QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1831000 | PA      | $1889972.85     | 0.11%             | 2030-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST  | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2013-C10 C      | CUSIP: 61762MCB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $89107.35       | 0.01%             | 2046-07-15      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST  | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2013-C9 E       | CUSIP: 61762DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1030000 | PA      | $929564.70      | 0.05%             | 2046-05-15      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST  | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C24 E      | CUSIP: 61765LAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     170000 | PA      | $147091.28      | 0.01%             | 2048-05-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                      | MORGAN STANLEY CAPITAL I TRUST 2024-BPR2 MSC 2024-BPR2 X                 | CUSIP: 61776EAC7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    2275695 | PA      | $69439.41       | 0.00%             | 2029-05-05      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | MORGAN STANLEY COLLATERAL BALANCE FS FUNDS                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    7420000 | PA      | $7420000.00     | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | MORGAN STANLEY COLLATERAL BALANCE FS FUNDS                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |   44375000 | PA      | $44375000.00    | 2.51%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST      | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 202 MSRM 2024-4 B4        | CUSIP: 61777BBL1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $87890.58       | 0.00%             | 2054-09-25      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST      | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 202 MSRM 2024-INV2 B5     | CUSIP: 617939BR3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      98795 | PA      | $93520.97       | 0.01%             | 2054-02-25      | Floating      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST      | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 202 MSRM 2024-NQM3 B1B    | CUSIP: 61776UAJ6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     150000 | PA      | $148511.13      | 0.01%             | 2069-07-25      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| MPOWER EDUCATION TRUST                              | MPOWER EDUCATION TRUST 2025-A MPOWR 2025-A A                             | CUSIP: 624930AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3061083 | PA      | $3080494.63     | 0.17%             | 2042-07-21      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                       | MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 20 MCAS 2019-01 B10      | CUSIP: 62547NAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1500000 | PA      | $1496481.60     | 0.08%             | 2049-10-25      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST     | MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 20 MCAS 2023-01 B1       | CUSIP: 62548NAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      18261 | PA      | $20977.96       | 0.00%             | 2053-11-25      | Floating      | 14.06%                | Yes           |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST     | MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 20 MCAS 2023-01 M10      | CUSIP: 62548NAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1430000 | PA      | $1595920.90     | 0.09%             | 2053-11-25      | Floating      | 10.81%                | Yes           |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC.                   | NATIONSTAR MORTGAGE HOLDINGS INC 144A 6.000000% 01/15/2027               | CUSIP: 63861CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3543000 | PA      | $3546815.81     | 0.20%             | 2027-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST        | NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022- NCMS 2022-RRI E       | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1125000 | PA      | $1119737.25     | 0.06%             | 2035-03-15      | Floating      | 9.50%                 | Yes           |                  2 | On Loan: No      |
| NCL CORPORATION LTD.                                | NCL CORP LTD 1.125000% 02/15/2027                                        | CUSIP: 62886HBD2<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |    3825000 | PA      | $3758062.50     | 0.21%             | 2027-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC.                               | NEPTUNE BIDCO US INC 144A 9.290000% 04/15/2029                           | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    1401000 | PA      | $1364132.69     | 0.08%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II, INC.                             | NESCO HOLDINGS II INC 144A 5.500000% 04/15/2029                          | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Short            | DBT              | CORP              | US        |   -1675000 | PA      | $-1631935.25    | -0.09%            | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LLC                  | NEUBERGER BERMAN LOAN ADVISERS CLO 29 LTD NEUB 2018-29A A2R              | CUSIP: 64130XAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11700000 | PA      | $11714847.30    | 0.66%             | 2039-01-19      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LLC                  | NEUBERGER BERMAN LOAN ADVISERS CLO 38 LTD NEUB 2020-38A ER2              | CUSIP: 64133TAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $978918.00      | 0.06%             | 2036-10-20      | Floating      | 8.87%                 | Yes           |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LLC                  | NEUBERGER BERMAN LOAN ADVISERS CLO 46 LTD NEUB 2021-46A ER               | CUSIP: 64134RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $248790.00      | 0.01%             | 2037-01-20      | Floating      | 9.42%                 | Yes           |                  2 | On Loan: No      |
| NEW ENTERPRISE STONE & LIME CO., INC.               | NEW ENTERPRISE STONE & LIME CO INC 144A 5.250000% 07/15/2028             | CUSIP: 644274AH5<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |    1082000 | PA      | $1084868.38     | 0.06%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NEW ENTERPRISE STONE & LIME CO., INC.               | NEW ENTERPRISE STONE & LIME CO INC 144A 9.750000% 07/15/2028             | CUSIP: 644274AG7<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |    2768000 | PA      | $2774460.51     | 0.16%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| THE NEW HOME COMPANY INC.                           | NEW HOME CO INC/THE 144A 8.500000% 11/01/2030                            | CUSIP: 645370AG2<br>LEI: 549300PLCE8TB3TVRQ85 | Long             | DBT              | CORP              | US        |    1288000 | PA      | $1311783.36     | 0.07%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| THE NEW HOME COMPANY INC.                           | NEW HOME CO INC/THE 144A 9.250000% 10/01/2029                            | CUSIP: 645370AF4<br>LEI: 549300PLCE8TB3TVRQ85 | Long             | DBT              | CORP              | US        |    1388000 | PA      | $1438975.69     | 0.08%             | 2029-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1 NRZT 2024-NQM1 B1          | CUSIP: 64828DAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2000000 | PA      | $2022522.60     | 0.11%             | 2064-03-25      | Floating      | 7.91%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1 NRZT 2024-NQM1 B2          | CUSIP: 64828DAF4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     190000 | PA      | $188256.56      | 0.01%             | 2064-03-25      | Floating      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM3 NRZT 2024-NQM3 B2          | CUSIP: 647910AH1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     460000 | PA      | $434728.70      | 0.02%             | 2064-11-25      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2 NRZT 2025-NQM2 B1          | CUSIP: 64831XAG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     590000 | PA      | $574006.28      | 0.03%             | 2065-04-25      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2 NRZT 2025-NQM2 B2          | CUSIP: 64831XAH1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $94750.73       | 0.01%             | 2065-04-25      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| NEWDAY FUNDING PLC                                  | NEWDAY FUNDING MASTER ISSUER PLC - SERIES 2024-3 NDFT 2024-3A E          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          |  | GB        |     780000 | PA      | $1089734.48     | 0.06%             | 2032-11-15      | Floating      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC.                                  | NEXSTAR MEDIA INC 144A 4.750000% 11/01/2028                              | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Short            | DBT              | CORP              | US        |   -3213000 | PA      | $-3129641.93    | -0.18%            | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY, INC.                                | NEXTERA ENERGY INC COMMON STOCK                                          | CUSIP: 65339F101<br>LEI: 254900RHL9MEUS5NKX63 | Short            | EC               |  | US        |     -12668 | NS      | $-879412.56     | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| NLT TRUST                                           | NLT 2023-1 TRUST NLT 2023-1 B3                                           | CUSIP: 62917MAG8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     400000 | PA      | $215033.56      | 0.01%             | 2062-10-25      | Floating      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | NOMURA COLLATERAL BALANCE FS FUNDS                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    1560000 | PA      | $1560000.00     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS, INC.                          | NORTHERN OIL & GAS INC 144A 3.625000% 04/15/2029                         | CUSIP: 665531AK5<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |     794000 | PA      | $827745.00      | 0.05%             | 2029-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS, INC.                          | NORTHERN OIL & GAS INC 3.625000% 04/15/2029                              | CUSIP: 665531AJ8<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |    2475000 | PA      | $2580187.50     | 0.15%             | 2029-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS, INC.                          | NORTHERN OIL AND GAS INC COMMON STOCK                                    | CUSIP: 665531307<br>LEI: OKFF0PIZDDMNH4UCYE51 | Short            | EC               |  | US        |     -53805 | NS      | $-1525371.75    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| NORTHWOODS CAPITAL LIMITED                          | NORTHWOODS CAPITAL XII-B LTD WOODS 2018-12BA BR                          | CUSIP: 66858CAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10500000 | PA      | $10517713.50    | 0.59%             | 2031-06-15      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| NORWEGIAN CRUISE LINE HOLDINGS LTD.                 | NORWEGIAN CRUISE LINE HOLDIN COMMON STOCK                                | CUSIP: G66721104<br>LEI: N/A                  | Short            | EC               |  | US        |     -33719 | NS      | $-683821.32     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| NUSTAR LOGISTICS, L.P.                              | NUSTAR LOGISTICS LP 5.625000% 04/28/2027                                 | CUSIP: 67059TAE5<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    1174000 | PA      | $1184189.15     | 0.07%             | 2027-04-28      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS, L.P.                              | NUSTAR LOGISTICS LP 6.000000% 06/01/2026                                 | CUSIP: 67059TAF2<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    1677000 | PA      | $1683362.59     | 0.10%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST                                     | NYMT LOAN TRUST 2025-INV1 NYMT 2025-INV1 B1                              | CUSIP: 67120YAG4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     220000 | PA      | $216859.96      | 0.01%             | 2060-04-25      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST, INC.                       | New York Mortgage Trust Inc PREFERRED STOCK                              | CUSIP: 649604865<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               |  | US        |      34100 | NS      | $721215.00      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY, INC.                                | NextEra Energy Inc PREFERRED STOCK                                       | CUSIP: 65339F663<br>LEI: 254900RHL9MEUS5NKX63 | Long             | EP               |  | US        |      27003 | NS      | $1271571.27     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA GLOBAL FINANCIAL PRODUCTS                    | Nomura G10 FX Mean Reversion 25x TRS                                     | CUSIP: N/A<br>LEI: 0Z3VO5H2G7GRS05BHJ91       | N/A              | DE               |  | US        |     315090 | NC      | $847592.24      | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| OAKTREE CLO LTD                                     | OAKTREE CLO 2019-4 LTD OAKCL 2019-4A ERR                                 | CUSIP: 67400JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250047.50      | 0.01%             | 2037-07-20      | Floating      | 10.86%                | Yes           |                  2 | On Loan: No      |
| OAKTREE CLO LTD                                     | OAKTREE CLO 2022-1 LTD OAKCL 2022-1A E                                   | CUSIP: 67402NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1245312.50     | 0.07%             | 2033-05-15      | Floating      | 12.09%                | Yes           |                  2 | On Loan: No      |
| OAKTREE CLO LTD                                     | OAKTREE CLO 2023-2 LTD OAKCL 2023-2A E                                   | CUSIP: 67402AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249443.25      | 0.01%             | 2036-07-20      | Floating      | 12.92%                | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                           | OBX 2021-INV2 TRUST OBX 2021-INV2 AIO1                                   | CUSIP: 67114KBB2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    3684049 | PA      | $45831.04       | 0.00%             | 2051-10-25      | Floating      | 0.21%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                           | OBX 2024-NQM3 TRUST OBX 2024-NQM3 A1                                     | CUSIP: 67118KAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    6755668 | PA      | $6808642.14     | 0.38%             | 2063-12-25      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO LTD                                         | OCP CLO 2024-31 LTD OCP 2024-31A E                                       | CUSIP: 67570BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1440000 | PA      | $1442658.24     | 0.08%             | 2037-04-20      | Floating      | 11.17%                | Yes           |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS, LTD.                   | OCTAGON INVESTMENT PARTNERS 29 LTD OCT29 2016-1A ER2                     | CUSIP: 67591KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1501120.50     | 0.08%             | 2039-07-18      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS, LTD.                   | OCTAGON INVESTMENT PARTNERS 45 LTD OCT45 2019-1A ER                      | CUSIP: 67577NAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $468765.00      | 0.03%             | 2035-04-15      | Floating      | 11.08%                | Yes           |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS, LTD.                   | OCTAGON INVESTMENT PARTNERS 48 LTD OCT48 2020-3A ER2                     | CUSIP: 67577QAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1002188.00     | 0.06%             | 2039-01-15      | Floating      | 11.01%                | Yes           |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS LTD                             | OHA CREDIT PARTNERS VII LTD OAKC 2012-7A ER4                             | CUSIP: 67102UAK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1971286.00     | 0.11%             | 2038-02-20      | Floating      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| OLYMPIC TOWER MORTGAGE TRUST                        | OLYMPIC TOWER 2017-OT MORTGAGE TRUST OT 2017-OT D                        | CUSIP: 68162MAL6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     150000 | PA      | $118058.60      | 0.01%             | 2039-05-10      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| CHEEVER ESCROW ISSUER, LLC                          | OLYMPUS WATER US HOLDING CORP 144A 7.125000% 10/01/2027                  | CUSIP: 16308NAA2<br>LEI: 254900JRWEYCJ9Z3ZP06 | Long             | DBT              | CORP              | US        |    1463000 | PA      | $1489736.84     | 0.08%             | 2027-10-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                | OLYMPUS WATER US HOLDING CORP 144A 7.250000% 06/15/2031                  | CUSIP: 681639AD2<br>LEI: 549300YU2GGVCBN3MY89 | Short            | DBT              | CORP              | US        |   -1613000 | PA      | $-1645260.00    | -0.09%            | 2031-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| DIAMOND ESCROW ISSUER, LLC                          | OLYMPUS WATER US HOLDING CORP 144A 9.750000% 11/15/2028                  | CUSIP: 25259KAA8<br>LEI: 2549002I12VHJWR4RC85 | Long             | DBT              | CORP              | US        |    3431000 | PA      | $3612945.93     | 0.20%             | 2028-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ONDECK ASSET SECURITIZATION TRUST LLC               | ONDECK ASSET SECURITIZATION IV LLC ONDK 2025-1A D                        | CUSIP: 68237DAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $99629.92       | 0.01%             | 2032-04-19      | Fixed         | 8.77%                 | Yes           |                  2 | On Loan: No      |
| ONDECK ASSET SECURITIZATION TRUST LLC               | ONDECK ASSET SECURITIZATION TRUST IV LLC ONDK 2024-2A C                  | CUSIP: 67108SAF5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1300000 | PA      | $1295718.32     | 0.07%             | 2031-10-17      | Fixed         | 7.03%                 | Yes           |                  2 | On Loan: No      |
| ONDECK ASSET SECURITIZATION TRUST LLC               | ONDECK ASSET SECURITIZATION TRUST IV LLC ONDK 2024-2A D                  | CUSIP: 67108SAG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     140000 | PA      | $140617.93      | 0.01%             | 2031-10-17      | Fixed         | 9.49%                 | Yes           |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                | ONEMAIN FINANCE CORP 7.125000% 03/15/2026                                | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     792000 | PA      | $803721.60      | 0.05%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| OPENDOOR TECHNOLOGIES INC.                          | OPENDOOR TECHNOLOGIES INC 144A 7.000000% 05/15/2030                      | CUSIP: 683712AC7<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | DBT              | CORP              | US        |    1213000 | PA      | $876392.50      | 0.05%             | 2030-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OPENDOOR TECHNOLOGIES INC.                          | OPENDOOR TECHNOLOGIES INC COMMON STOCK                                   | CUSIP: 683712103<br>LEI: 254900KX11YZ4HV5BQ47 | Short            | EC               |  | US        |    -378139 | NS      | $-201548.09     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| OPORTUN FUNDING LLC                                 | OPORTUN FUNDING TRUST 2024-3 OPTN 2024-3 D                               | CUSIP: 68377NAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1000000 | PA      | $1036443.90     | 0.06%             | 2029-08-15      | Fixed         | 9.60%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN FUNDING LLC                                 | OPORTUN ISSUANCE TRUST 2025-A OPTN 2025-A D                              | CUSIP: 68377TAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     690000 | PA      | $689174.76      | 0.04%             | 2033-02-08      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAPITAL LLC                          | OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITA 4.250000% 01/15/2029  | CUSIP: 69007TAE4<br>LEI: 5493005WC7J0FDMW0610 | Long             | DBT              | CORP              | US        |    1124000 | PA      | $1075301.24     | 0.06%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD                                    | OZLM FUNDING II LTD OZLMF 2012-2A DR2                                    | CUSIP: 67108CAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     640000 | PA      | $637600.00      | 0.04%             | 2031-07-30      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD                                    | OZLM IX LTD OZLM 2014-9A DRR                                             | CUSIP: 67109LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     480000 | PA      | $438904.32      | 0.02%             | 2031-10-20      | Floating      | 10.65%                | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD                                    | OZLM XIV LTD OZLM 2015-14A DR3                                           | CUSIP: 67110JAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $248887.50      | 0.01%             | 2038-01-15      | Floating      | 12.41%                | Yes           |                  2 | On Loan: No      |
| PG&E CORPORATION                                    | P G & E CORP COMMON STOCK                                                | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Short            | EC               |  | US        |     -78324 | NS      | $-1091836.56    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST                        | PAGAYA AI DEBT GRANTOR TRUST 2025-3 PAID 2025-3 D                        | CUSIP: 69544TAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     200000 | PA      | $203328.26      | 0.01%             | 2032-12-15      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                    | PARAMOUNT GLOBAL 4.950000% 01/15/2031                                    | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Short            | DBT              | CORP              | US        |   -1065000 | PA      | $-1035530.53    | -0.06%            | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES                          | PEAC SOLUTIONS RECEIVABLES 2024-2 LLC PEAC 2024-2A A3                    | CUSIP: 69392BAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5000000 | PA      | $5018347.50     | 0.28%             | 2031-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| PEACE PARK CLO                                      | PEACE PARK CLO LTD PCEPK 2021-1A E                                       | CUSIP: 70470NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $99875.00       | 0.01%             | 2034-10-20      | Floating      | 10.53%                | Yes           |                  2 | On Loan: No      |
| PEBBLEBROOK HOTEL, L.P.                             | PEBBLEBROOK HOTEL LP / PEB FINANCE CORP 144A 6.375000% 10/15/2029        | CUSIP: 70510LAA7<br>LEI: 549300DXEFK267TXZ832 | Long             | DBT              | CORP              | US        |    1196000 | PA      | $1202426.11     | 0.07%             | 2029-10-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PENNYMAC CORP.                                      | PENNYMAC CORP 8.500000% 06/01/2029                                       | CUSIP: 70932AAH6<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |     825000 | PA      | $833250.00      | 0.05%             | 2029-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PFP LTD                                             | PFP 2025-12 LTD PFP 2025-12 A                                            | CUSIP: 69382JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $9980440.00     | 0.56%             | 2042-12-18      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| PG&E CORPORATION                                    | PG&E CORP 4.250000% 12/01/2027                                           | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    6701000 | PA      | $6649402.30     | 0.38%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PLANET FINANCIAL GROUP, LLC                         | PLANET FINANCIAL GROUP LLC 144A 10.500000% 12/15/2029                    | CUSIP: 72702AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3174000 | PA      | $3177015.30     | 0.18%             | 2029-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| PRKCM TRUST                                         | PRKCM 2024-AFC1 TRUST PRKCM 2024-AFC1 B2                                 | CUSIP: 69380WAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     180000 | PA      | $179995.52      | 0.01%             | 2059-03-25      | Floating      | 8.44%                 | Yes           |                  2 | On Loan: No      |
| PRKCM TRUST                                         | PRKCM 2024-HOME1 TRUST PRKCM 2024-HOME1 B2                               | CUSIP: 69391XAF6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     150000 | PA      | $148189.80      | 0.01%             | 2059-05-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                   | PROGRESS RESIDENTIAL 2024-SFR2 TRUST PROG 2024-SFR2 F                    | CUSIP: 74290XAN1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     690000 | PA      | $608602.29      | 0.03%             | 2041-04-17      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                   | PROGRESS RESIDENTIAL 2024-SFR4 TRUST PROG 2024-SFR4 F1                   | CUSIP: 74334JAN0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     140000 | PA      | $123495.51      | 0.01%             | 2041-07-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| PROVIDENT FUNDING ASSOCIATES, L.P.                  | PROVIDENT FUNDING ASSOCIATES LP / PFG FINANCE CORP 9.750000% 09/15/2029  | CUSIP: 74387UAK7<br>LEI: 54930043BMDE130FJ617 | Long             | DBT              | CORP              | US        |    1566000 | PA      | $1646675.62     | 0.09%             | 2029-09-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                            | PRPM 2023-NQM2 TRUST PRPM 2023-NQM2 B2                                   | CUSIP: 74390KAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     290000 | PA      | $285320.30      | 0.02%             | 2068-08-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                            | PRPM 2024-NQM4 TRUST PRPM 2024-NQM4 B1                                   | CUSIP: 69381UAF4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1440000 | PA      | $1442629.01     | 0.08%             | 2069-12-26      | Floating      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                            | PRPM 2024-RCF3 LLC PRPM 2024-RCF3 M2                                     | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     310000 | PA      | $277598.43      | 0.02%             | 2054-05-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                            | PRPM 2024-RCF5 LLC PRPM 2024-RCF5 M2                                     | CUSIP: 69381JAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     120000 | PA      | $106526.56      | 0.01%             | 2054-08-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                            | PRPM 2025-NQM1 TRUST PRPM 2025-NQM1 B1                                   | CUSIP: 74391EAF8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1000000 | PA      | $1008111.20     | 0.06%             | 2069-11-25      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| PURCHASING POWER FUNDING LLC                        | PURCHASING POWER FUNDING 2024-A LLC PPWR 2024-A D                        | CUSIP: 745935AD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     450000 | PA      | $454532.72      | 0.03%             | 2028-08-15      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| PEBBLEBROOK HOTEL TRUST                             | Pebblebrook Hotel Trust PREFERRED STOCK                                  | CUSIP: 70509V886<br>LEI: 5493004Q1NNH6JXCSI52 | Long             | EP               |  | US        |        425 | NS      | $6957.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENNYMAC MORTGAGE INVESTMENT TRUST                  | PennyMac Mortgage Investment Trust PREFERRED STOCK                       | CUSIP: 70931T707<br>LEI: 549300BSSOQO1ZWDUJ97 | Long             | EP               |  | US        |      44449 | NS      | $1113447.45     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | QSP Convexity TRS                                                        | CUSIP: TSQSPB120<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |     951311 | NC      | $-808614.35     | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS LLC                                  | QTS ISSUER ABS I LLC QTS 2025-1A B                                       | CUSIP: 74690DAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2250000 | PA      | $2280057.08     | 0.13%             | 2055-05-25      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS, INC.                             | QUIKRETE HOLDINGS INC 144A 6.375000% 03/01/2032                          | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    1092000 | PA      | $1122925.35     | 0.06%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS, INC.                             | QUIKRETE HOLDINGS INC 144A 6.750000% 03/01/2033                          | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    1282000 | PA      | $1322800.93     | 0.07%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| RAD CLO LTD.                                        | RAD CLO 20 LTD RAD 2023-20A E                                            | CUSIP: 750105AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     250000 | PA      | $249062.50      | 0.01%             | 2036-07-20      | Floating      | 12.35%                | Yes           |                  2 | On Loan: No      |
| RAD CLO LTD.                                        | RAD CLO 7 LTD RAD 2020-7A FR                                             | CUSIP: 74936PAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     320000 | PA      | $306412.48      | 0.02%             | 2036-04-17      | Floating      | 11.41%                | Yes           |                  2 | On Loan: No      |
| RADIOLOGY PARTNERS, INC.                            | RADIOLOGY PARTNERS INC 144A 8.500000% 07/15/2032                         | CUSIP: 75041VAE4<br>LEI: 549300SFTAG2177WUZ08 | Long             | DBT              | CORP              | US        |    2640000 | PA      | $2646151.20     | 0.15%             | 2032-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| RADNOR RE/ESSENT                                    | RADNOR RE 2022-1 LTD RMIR 2022-1 M2                                      | CUSIP: 75049XAC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    6500000 | PA      | $7335315.65     | 0.41%             | 2032-09-25      | Floating      | 12.81%                | Yes           |                  2 | On Loan: No      |
| RATE MORTGAGE TRUST                                 | RATE MORTGAGE TRUST 2021-J3 RATE 2021-J3 AX1                             | CUSIP: 75409TBN4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    1995943 | PA      | $25775.21       | 0.00%             | 2051-10-25      | Floating      | 0.21%                 | Yes           |                  2 | On Loan: No      |
| RATE MORTGAGE TRUST                                 | RATE MORTGAGE TRUST 2025-J2 RATE 2025-J2 A1                              | CUSIP: 75409YAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    8000000 | PA      | $8040312.80     | 0.45%             | 2055-07-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| RAVEN ACQUISITION HOLDINGS, LLC                     | RAVEN ACQUISITION HOLDINGS LLC 144A 6.875000% 11/15/2031                 | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1609000 | PA      | $1609067.71     | 0.09%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST                                 | RCKT MORTGAGE TRUST 2021-4 RCKT 2021-4 AX1                               | CUSIP: 74938VAZ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    8969439 | PA      | $236513.35      | 0.01%             | 2051-09-25      | Floating      | 0.51%                 | Yes           |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST                                 | RCKT MORTGAGE TRUST 2024-CES7 RCKT 2024-CES7 A1A                         | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4246712 | PA      | $4234529.54     | 0.24%             | 2044-10-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| REACH ABS TRUST                                     | REACH ABS TRUST 2025-1 REACH 2025-1A D                                   | CUSIP: 75525PAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     260000 | PA      | $260127.50      | 0.01%             | 2032-08-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| REDWOOD TRUST, INC.                                 | REDWOOD TRUST INC 7.750000% 06/15/2027                                   | CUSIP: 758075AF2<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | DBT              | CORP              | US        |    4116000 | PA      | $4066554.00     | 0.23%             | 2027-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| REDWOOD TRUST, INC.                                 | REDWOOD TRUST INC 7.750000% 06/15/2027                                   | CUSIP: 758075AF2<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | DBT              | CORP              | US        |    1618000 | PA      | $1598562.77     | 0.09%             | 2027-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corporation                           | REGAL REXNORD CORP 6.050000% 04/15/2028                                  | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    4323000 | PA      | $4454778.87     | 0.25%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corporation                           | REGAL REXNORD CORP 6.300000% 02/15/2030                                  | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    1946000 | PA      | $2038483.94     | 0.12%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| REGATTA FUNDING LTD                                 | REGATTA XIV FUNDING LTD REG14 2018-3A E                                  | CUSIP: 75888NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1243611.25     | 0.07%             | 2031-10-25      | Floating      | 10.49%                | No            |                  2 | On Loan: No      |
| REGATTA FUNDING LTD                                 | REGATTA XIX FUNDING LTD REG19 2022-1A E                                  | CUSIP: 75888CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249270.00      | 0.01%             | 2035-04-20      | Floating      | 11.15%                | Yes           |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                  | REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1 RMIT 2024-1 D                  | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2500000 | PA      | $2594947.75     | 0.15%             | 2036-07-15      | Fixed         | 7.46%                 | Yes           |                  2 | On Loan: No      |
| RENEW FINANCIAL GROUP LLC                           | RENEW 2024-2 RENEW 2024-2A A                                             | CUSIP: 75975DAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    8581197 | PA      | $8131601.82     | 0.46%             | 2060-11-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC FINANCE ISSUANCE TRUST                     | REPUBLIC FINANCE ISSUANCE TRUST 2024-B REPS 2024-B D                     | CUSIP: 76042GAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2970000 | PA      | $3015088.76     | 0.17%             | 2037-11-20      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| REXFORD INDUSTRIAL REALTY, INC                      | REXFORD INDUSTRIAL REALTY IN REIT                                        | CUSIP: 76169C100<br>LEI: 549300MSLO0DF0EMX355 | Short            | EC               |  | US        |      -1490 | NS      | $-52999.30      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REXFORD INDUSTRIAL REALTY, L.P.                     | REXFORD INDUSTRIAL REALTY LP 144A 4.125000% 03/15/2029                   | CUSIP: 76169XAE4<br>LEI: 549300028US163ELJN70 | Long             | DBT              | CORP              | US        |     317000 | PA      | $309709.00      | 0.02%             | 2029-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RFNA, LP                                            | RFNA LP 144A 7.875000% 02/15/2030                                        | CUSIP: 74984AAA0<br>LEI: 2549002A4GSOTYKKHR45 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $1094920.30     | 0.06%             | 2030-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP.                                 | RITHM CAPITAL CORP 144A 6.250000% 10/15/2025                             | CUSIP: 64828TAA0<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    1308000 | PA      | $1308201.43     | 0.07%             | 2025-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP.                                 | RITHM CAPITAL CORP 144A 8.000000% 04/01/2029                             | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    1940000 | PA      | $1960014.98     | 0.11%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RIVIAN AUTOMOTIVE, INC.                             | RIVIAN AUTOMOTIVE INC 3.625000% 10/15/2030                               | CUSIP: 76954AAD5<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |    1417000 | PA      | $1270340.50     | 0.07%             | 2030-10-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| RIVIAN AUTOMOTIVE, INC.                             | RIVIAN AUTOMOTIVE INC-A COMMON STOCK                                     | CUSIP: 76954A103<br>LEI: 25490004LNKJ84MFYY24 | Short            | EC               |  | US        |     -48301 | NS      | $-663655.74     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST                      | RMF PROPRIETARY ISSUANCE TRUST 2021-2 RPIT 2021-2 A                      | CUSIP: 74969VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      83514 | PA      | $76752.21       | 0.00%             | 2061-09-25      | Floating      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| ROCKET SOFTWARE, INC.                               | ROCKET SOFTWARE INC 144A 9.000000% 11/28/2028                            | CUSIP: 77314EAB4<br>LEI: 549300PVG26ISP5X1556 | Long             | DBT              | CORP              | US        |    4916000 | PA      | $5067437.82     | 0.29%             | 2028-11-28      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| R. R. DONNELLEY & SONS COMPANY                      | RR DONNELLEY & SONS CO 144A 9.500000% 08/01/2029                         | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |    2909000 | PA      | $2909000.00     | 0.16%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | S&P 500 ANNL DIV  DEC27 PHYSICAL INDEX FUTURE.                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       2876 | NC      | $55974150.00    | 3.16%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | S&P 500 ex Mag 7 TRS                                                     | CUSIP: TRSX70000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |   26780362 | NC      | $-1006264.38    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | S&P Regional Banks Index TRS                                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DE               |  | US        |  111065219 | NC      | $-5870858.56    | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| SABLE INTERNATIONAL FINANCE LIMITED                 | SABLE INTERNATIONAL FINANCE LTD 144A 7.125000% 10/15/2032                | CUSIP: 785712AK6<br>LEI: 2138009IE9A35LO5JS73 | Long             | DBT              | NUSS              | PA        |    2126000 | PA      | $2131648.78     | 0.12%             | 2032-10-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST             | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-RTL4 GRADE 2024-RTL4 A2     | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     350000 | PA      | $349959.82      | 0.02%             | 2030-02-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER BANK, N.A.                                | SANTANDER BANK MORTGAGE CREDIT-LINKED NOTES SERIES SBCLN 2023-MTG1 M2    | CUSIP: 80290CBN3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     198141 | PA      | $219465.42      | 0.01%             | 2052-02-26      | Floating      | 9.21%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER BANK, N.A.                                | SANTANDER BANK MORTGAGE CREDIT-LINKED NOTES SERIES SBCLN 2023-MTG1 M3    | CUSIP: 80290CBP8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     291041 | PA      | $329146.00      | 0.02%             | 2052-02-26      | Floating      | 10.16%                | Yes           |                  2 | On Loan: No      |
| SC GERMANY  SA                                      | SC GERMANY SA COMPARTMENT CONSUMER 2022-1 SCGC 2022-1 E                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          |  | DE        |      70132 | PA      | $88520.09       | 0.00%             | 2036-10-14      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| SCG TRUST                                           | SCG 2024-MSP MORTGAGE TRUST SCG 2024-MSP E                               | CUSIP: 78436EAJ8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3380000 | PA      | $3349245.38     | 0.19%             | 2041-04-15      | Floating      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| SCIH SALT HOLDINGS INC.                             | SCIH SALT HOLDINGS INC 144A 4.875000% 05/01/2028                         | CUSIP: 78433BAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1644000 | PA      | $1601731.12     | 0.09%             | 2028-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO LTD                                    | SCULPTOR CLO XXVII LTD SCUL 27A ER                                       | CUSIP: 81124VAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     340000 | PA      | $328401.24      | 0.02%             | 2034-07-20      | Floating      | 10.52%                | Yes           |                  2 | On Loan: No      |
| SELECT MEDICAL CORPORATION                          | SELECT MEDICAL CORP 144A 6.250000% 12/01/2032                            | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |    2443000 | PA      | $2457587.15     | 0.14%             | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                              | SEQUOIA MORTGAGE TRUST 2024-9 SEMT 2024-9 B4                             | CUSIP: 81749PCL2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     366393 | PA      | $319545.51      | 0.02%             | 2054-10-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| SERVICE CORPORATION INTERNATIONAL                   | SERVICE CORP INTERNATIONAL/US 5.750000% 10/15/2032                       | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    1006000 | PA      | $1016259.19     | 0.06%             | 2032-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                            | SERVICE PROPERTIES TRUST 3.950000% 01/15/2028                            | CUSIP: 44106MAX0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    3366000 | PA      | $3109060.63     | 0.18%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                            | SERVICE PROPERTIES TRUST 5.250000% 02/15/2026                            | CUSIP: 44106MAV4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    6653000 | PA      | $6621188.02     | 0.37%             | 2026-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                    | SG Mean Reversion Delta Cap TRS                                          | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | N/A              | DE               |  | US        |      41437 | NC      | $201591.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                    | SG V-Step TRS                                                            | CUSIP: TMDSBVH01<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DE               |  | US        |      19425 | NC      | $144580.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                    | SG V-Step TRS                                                            | CUSIP: TMDSBVH00<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DE               |  | US        |      56314 | NC      | $-1383128.16    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| SHOPIFY INC.                                        | SHOPIFY INC - CLASS A COMMON STOCK                                       | CUSIP: 82509L107<br>LEI: 549300HGQ43STJLLP808 | Short            | EC               |  | CA        |      -3718 | NS      | $-428871.30     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SHOPIFY INC.                                        | SHOPIFY INC 0.125000% 11/01/2025                                         | CUSIP: 82509LAA5<br>LEI: 549300HGQ43STJLLP808 | Long             | DBT              | CORP              | CA        |    2294000 | PA      | $2321528.00     | 0.13%             | 2025-11-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS THEME PARKS INC.                          | SIX FLAGS ENTERTAINMENT CORP 144A 7.000000% 07/01/2025                   | CUSIP: 83001WAC8<br>LEI: 5493003MX0ZXTM8EVY68 | Long             | DBT              | CORP              | US        |    2364000 | PA      | $2364000.00     | 0.13%             | 2025-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                       | SIXTH STREET LENDING PARTNERS 5.750000% 01/15/2030                       | CUSIP: 829932AD4<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    1601000 | PA      | $1604969.30     | 0.09%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOC GEN COLLATERAL BALANCE FS FUNDS                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    4576526 | PA      | $4576526.23     | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| THE SOUTHERN COMPANY                                | SOUTHERN CO/THE 144A 3.250000% 06/15/2028                                | CUSIP: 842587EC7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    6746000 | PA      | $6779730.00     | 0.38%             | 2028-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| THE SOUTHERN COMPANY                                | SOUTHERN CO/THE COMMON STOCK                                             | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Short            | EC               |  | US        |     -18400 | NS      | $-1689672.00    | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| SPECIALTY BUILDING PRODUCTS HOLDINGS, LLC           | SPECIALTY BUILDING PRODUCTS HOLDINGS LLC / SBP FIN 7.750000% 10/15/2029  | CUSIP: 84749AAC1<br>LEI: 549300ICFD46O3KMJC06 | Short            | DBT              | CORP              | US        |   -1631000 | PA      | $-1602867.86    | -0.09%            | 2029-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SPX FLOW, INC.                                      | SPX FLOW INC 144A 8.750000% 04/01/2030                                   | CUSIP: 758071AA2<br>LEI: 5493003YXEKRBINIEM78 | Long             | DBT              | CORP              | US        |    5657000 | PA      | $5869488.23     | 0.33%             | 2030-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SPX-SOFR BINARY CALL OPTION 12/19/25 LONG                                | CUSIP: SPXC60067<br>LEI: N/A                  | Long             |  |  | US        |  200000000 | PA      | $1300000.00     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SPY US 07/18/25 P545                                | SPY US 07/18/25 P545 LONG                                                | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |        120 | PA      | $3240.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPY US 07/18/25 P573                                | SPY US 07/18/25 P573 LONG                                                | CUSIP: 59499TJ35<br>LEI: N/A                  | Long             |  |  | US        |         80 | PA      | $4720.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STAR TRUST                                          | STAR 2024-SFR4 TRUST STAR 2024-SFR4 A                                    | CUSIP: 85520AAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    9984822 | PA      | $10046932.27    | 0.57%             | 2041-10-17      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| STAR PARENT, INC.                                   | STAR PARENT INC 144A 9.000000% 10/01/2030                                | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Short            | DBT              | CORP              | US        |   -1030000 | PA      | $-1083373.35    | -0.06%            | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST, INC.                       | STARWOOD PROPERTY TRUST INC 144A 6.000000% 04/15/2030                    | CUSIP: 85571BBC8<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    2297000 | PA      | $2323284.57     | 0.13%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST, INC.                       | STARWOOD PROPERTY TRUST INC 144A 7.250000% 04/01/2029                    | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    1488000 | PA      | $1565108.74     | 0.09%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                           | SUNOCO LP / SUNOCO FINANCE CORP 6.000000% 04/15/2027                     | CUSIP: 86765LAQ0<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    1726000 | PA      | $1725528.63     | 0.10%             | 2027-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUPER MICRO COMPUTER, INC.                          | SUPER MICRO COMPUTER INC 3.500000% 03/01/2029                            | CUSIP: 86800UAB0<br>LEI: 54930022CZO1N2UGVW07 | Long             | DBT              | CORP              | US        |    3675000 | PA      | $3829350.00     | 0.22%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUPER MICRO COMPUTER, INC.                          | SUPER MICRO COMPUTER INC COMMON STOCK                                    | CUSIP: 86800U302<br>LEI: 54930022CZO1N2UGVW07 | Short            | EC               |  | US        |     -28560 | NS      | $-1399725.60    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| SURGERY CENTER HOLDINGS, INC.                       | SURGERY CENTER HOLDINGS INC 144A 7.250000% 04/15/2032                    | CUSIP: 86881WAF9<br>LEI: 54930054EVI5HWPPW113 | Long             | DBT              | CORP              | US        |    1698000 | PA      | $1730282.49     | 0.10%             | 2032-04-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SWCH COMMERCIAL MORTGAGE TRUST                      | SWCH COMMERCIAL MORTGAGE TRUST 2025-DATA SWCH 2025-DATA A                | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5660000 | PA      | $5618124.49     | 0.32%             | 2042-02-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| SWCH COMMERCIAL MORTGAGE TRUST                      | SWCH COMMERCIAL MORTGAGE TRUST 2025-DATA SWCH 2025-DATA E                | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4325000 | PA      | $4281750.00     | 0.24%             | 2042-02-15      | Floating      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC                               | SWITCH ABS ISSUER LLC SWTCH 2024-2A C                                    | CUSIP: 871044AJ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4500000 | PA      | $4660471.35     | 0.26%             | 2054-06-25      | Fixed         | 10.03%                | Yes           |                  2 | On Loan: No      |
| N/A                                                 | SX5E DIVIDEND FUT DEC26 PHYSICAL INDEX FUTURE.                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |      -3000 | NC      | $-55764315.08   | -3.15%            |  |  |  | No            |                  1 | On Loan: No      |
| SYCAMORE TREE CLO LTD                               | SYCAMORE TREE CLO 2023-2 LTD STCP 2023-2A ER                             | CUSIP: 87122EAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1005220.00     | 0.06%             | 2037-01-20      | Floating      | 11.95%                | Yes           |                  2 | On Loan: No      |
| SYMPHONY CLO, LTD.                                  | SYMPHONY CLO XX LTD SYMP 2018-20A E                                      | CUSIP: 87166XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240640.00      | 0.01%             | 2032-01-16      | Floating      | 10.81%                | No            |                  2 | On Loan: No      |
| TEGNA INC.                                          | TEGNA INC 5.000000% 09/15/2029                                           | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Short            | DBT              | CORP              | US        |   -1135000 | PA      | $-1084133.50    | -0.06%            | 2029-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORPORATION                        | TENET HEALTHCARE CORP 6.250000% 02/01/2027                               | CUSIP: 88033GDS6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    2017000 | PA      | $2016922.24     | 0.11%             | 2027-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TEXAS COMMERCIAL MORTGAGE TRUST                     | TEXAS COMMERCIAL MORTGAGE TRUST 2025-TWR TEXAS 2025-TWR D                | CUSIP: 88231WAG0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     130000 | PA      | $130162.24      | 0.01%             | 2042-04-15      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| THPT MORTGAGE TRUST                                 | THPT 2023-THL MORTGAGE TRUST THPT 2023-THL E                             | CUSIP: 87252LAL9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1500000 | PA      | $1513131.75     | 0.09%             | 2034-12-10      | Floating      | 10.74%                | Yes           |                  2 | On Loan: No      |
| THPT MORTGAGE TRUST                                 | THPT 2023-THL MORTGAGE TRUST THPT 2023-THL F                             | CUSIP: 87252LAN5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     560000 | PA      | $539081.87      | 0.03%             | 2034-12-10      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| TIAA CLO LTD                                        | TIAA CLO I LTD TIA 2016-1A DR                                            | CUSIP: 87271LAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $499114.00      | 0.03%             | 2031-07-20      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| TICP CLO LTD                                        | TICP CLO VII LTD TICP 2017-7A ER                                         | CUSIP: 87248UAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1830000 | PA      | $1822950.84     | 0.10%             | 2033-04-15      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| TKC HOLDINGS, INC.                                  | TKC HOLDINGS INC 144A 6.875000% 05/15/2028                               | CUSIP: 87256YAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2787000 | PA      | $2769785.82     | 0.16%             | 2028-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TMS INTERNATIONAL CORP.                             | TMS INTERNATIONAL CORP/DE 144A 6.250000% 04/15/2029                      | CUSIP: 87261QAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2319994.46     | 0.13%             | 2029-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TOGETHER ASSET BACKED SECURITISATION 1 PLC          | TOGETHER ASSET BACKED SECURITISATION 2024-2ND1 PLC TOGET 2024-2ND1A E    | CUSIP: TGT8V7VD0<br>LEI: 213800OAOHTHEZDT3L15 | Long             | ABS-MBS          |  | GB        |     100000 | PA      | $141429.61      | 0.01%             | 2055-08-20      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT ASSET TRUST                              | TOWD POINT ASSET TRUST 2021-SL1 TPAT 2021-SL1 D                          | CUSIP: 89179XAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3130000 | PA      | $2931857.23     | 0.17%             | 2061-11-20      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| TPG RE FINANCE TRUST, INC.                          | TPG RE Finance Trust Inc PREFERRED STOCK                                 | CUSIP: 87266M206<br>LEI: N/A                  | Long             | EP               |  | US        |      12403 | NS      | $212091.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                            | TREASURY BILL 0.000000% 08/12/2025                                       | CUSIP: 912797QJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $9949811.50     | 0.56%             | 2025-08-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | TREASURY BILL 0.000000% 09/04/2025                                       | CUSIP: 912797MH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $9923105.90     | 0.56%             | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRIMAS CORPORATION                                  | TRIMAS CORP 144A 4.125000% 04/15/2029                                    | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |    2567000 | PA      | $2438622.40     | 0.14%             | 2029-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TRIP.COM GROUP LIMITED                              | TRIP.COM GROUP LTD 0.750000% 06/15/2029                                  | CUSIP: 89677QAB3<br>LEI: 2549004RMYDSRQL4KW41 | Long             | DBT              | CORP              | CN        |    6298000 | PA      | $6987631.00     | 0.39%             | 2029-06-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| TRIP.COM GROUP LIMITED                              | TRIP.COM GROUP LTD-ADR DEPOSITARY RECEIPT                                | CUSIP: 89677Q107<br>LEI: 2549004RMYDSRQL4KW41 | Short            | EC               |  | CN        |     -63843 | NS      | $-3743753.52    | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| TRIUMPH GROUP, INC.                                 | TRIUMPH GROUP INC 144A 9.000000% 03/15/2028                              | CUSIP: 896818AU5<br>LEI: 5493007L6S47Q14SL582 | Long             | DBT              | CORP              | US        |    5753000 | PA      | $6012115.12     | 0.34%             | 2028-03-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Trivium Packaging Finance B.V.                      | TRIVIUM PACKAGING FINANCE BV 144A 12.250000% 01/15/2031                  | CUSIP: 89686QAC0<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | NUSS              | NL        |     808000 | PA      | $866122.67      | 0.05%             | 2031-01-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| Trivium Packaging Finance B.V.                      | TRIVIUM PACKAGING FINANCE BV 144A 8.250000% 07/15/2030                   | CUSIP: 89686QAD8<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | NUSS              | NL        |    1528000 | PA      | $1615840.14     | 0.09%             | 2030-07-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | TRS on MARKIT IBOXX HY DEC25 TRS                                         | CUSIP: TRS620592<br>LEI: 984500653R409CC5AB28 | N/A              | DE               |  | US        |   16550001 | NC      | $-240728.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | TRS on MARKIT IBOXX HY SEP25 TRS                                         | CUSIP: TRS620591<br>LEI: 984500653R409CC5AB28 | N/A              | DE               |  | US        |    5150000 | NC      | $-268913.30     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | TRS on MARKIT IBOXX HY SEP25 TRS                                         | CUSIP: TRS620586<br>LEI: 984500653R409CC5AB28 | N/A              | DE               |  | US        |    6250001 | NC      | $-242570.24     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | TRS on MARKIT IBOXX HY SEP25 TRS                                         | CUSIP: TRS620590<br>LEI: 984500653R409CC5AB28 | N/A              | DE               |  | US        |   10255999 | NC      | $-571585.95     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TRUMP MEDIA & TECHNOLOGY GROUP CORP.                | TRUMP MEDIA & TECHNOLOGY GRO COMMON STOCK                                | CUSIP: 25400Q105<br>LEI: N/A                  | Short            | EC               |  | US        |     -15230 | NS      | $-274749.20     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| TRUMP MEDIA & TECHNOLOGY GROUP CORP.                | TRUMP MEDIA & TECHNOLOGY GROUP CORP 144A ZERO COUPON 05/29/2028          | CUSIP: 25400QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1275750.00     | 0.07%             | 2028-05-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TXNM Energy, Inc.                                   | TXNM ENERGY INC 5.750000% 06/01/2054                                     | CUSIP: 69349HAF4<br>LEI: 5493003JOBJGLZSDDQ28 | Long             | DBT              | CORP              | US        |    1439000 | PA      | $1864400.06     | 0.11%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TXNM Energy, Inc.                                   | TXNM ENERGY INC COMMON STOCK                                             | CUSIP: 69349H107<br>LEI: 5493003JOBJGLZSDDQ28 | Short            | EC               |  | US        |     -25873 | NS      | $-1457167.36    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | UBS COLLATERAL BALANCE FS FUNDS                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    2500000 | PA      | $2500000.00     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                        | UBS Value & Fundamental Growth TRS                                       | CUSIP: TCSGGV300<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               |  | US        |      49790 | NC      | $-666140.41     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI FIBER ABS ISSUER LLC                          | UNITI FIBER ABS ISSUER LLC UNIT 2025-1A C                                | CUSIP: 91326EAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3000000 | PA      | $3097023.90     | 0.17%             | 2055-04-20      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC.                       | UNIVISION COMMUNICATIONS INC 144A 7.375000% 06/30/2030                   | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Short            | DBT              | CORP              | US        |   -1090000 | PA      | $-1071181.26    | -0.06%            | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UPGRADE RECEIVABLES TRUST                           | UPGRADE RECEIVABLES TRUST 2024-1 UPGR 2024-1A D                          | CUSIP: 91533NAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1500000 | PA      | $1530208.95     | 0.09%             | 2031-02-18      | Fixed         | 8.90%                 | Yes           |                  2 | On Loan: No      |
| UPGRADE RECEIVABLES TRUST                           | UPGRADE RECEIVABLES TRUST 2024-1 UPGR 2024-1A E                          | CUSIP: 91533NAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3040000 | PA      | $3098307.20     | 0.17%             | 2031-02-18      | Fixed         | 11.53%                | Yes           |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                        | UPSTART SECURITIZATION TRUST 2023-2 UPST 2023-2 C                        | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1134000 | PA      | $1213480.47     | 0.07%             | 2033-06-20      | Fixed         | 11.87%                | Yes           |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                        | UPSTART SECURITIZATION TRUST 2025-2 UPST 2025-2 D                        | CUSIP: 91679EAE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2580000 | PA      | $2596973.82     | 0.15%             | 2035-06-20      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | US 10YR FUT OPTN  Aug25C   111 LONG                                      | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |       1027 | PA      | $1428171.88     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | US 10YR FUT OPTN  Aug25P   111 LONG                                      | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |       1027 | PA      | $272796.88      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RJ O'BRIEN                                          | US 10YR FUT OPTN  Sep25C   112 LONG                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1103 | NC      | $1206406.25     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| RJ O'BRIEN                                          | US 10YR FUT OPTN  Sep25P   112 LONG                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1103 | NC      | $1068531.25     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                            | US 10YR NOTE (CBT)SEP25 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -7073 | NC      | $-793060125.00  | -44.77%           |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                            | US 2YR NOTE (CBT) SEP25 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -5988 | NC      | $-1245644343.75 | -70.32%           |  |  |  | No            |                  1 | On Loan: No      |
| U.S. ACUTE CARE SOLUTIONS, LLC                      | US ACUTE CARE SOLUTIONS LLC 144A 9.750000% 05/15/2029                    | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1957000 | PA      | $2018524.17     | 0.11%             | 2029-05-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| U S BANK NATIONAL ASSOCIATION                       | US BANK NA USCLN 2023-1 D                                                | CUSIP: 90357PAX2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     264151 | PA      | $268323.00      | 0.02%             | 2032-08-25      | Fixed         | 13.60%                | Yes           |                  2 | On Loan: No      |
| US TREASURY N/B                                     | US TREASURY N/B 4.625000% 06/15/2027                                     | CUSIP: 91282CKV2<br>LEI: N/A                  | Long             | SN               | UST               | US        |    5000000 | PA      | $5082812.50     | 0.29%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                            | US TREASURY N/B 4.625000% 06/15/2027                                     | CUSIP: 91282CKV2<br>LEI: 254900HROIFWPRGM1V77 | Short            | SN               | UST               | US        |  -20000000 | PA      | $-20331250.00   | -1.15%            | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                            | US ULTRA BOND CBT SEP25 FINANCIAL COMMODITY FUTURE.                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -48 | NC      | $-5718000.00    | -0.32%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | USD-SOFR 4.27 01/16/2035 EXPIRATION: 01/16/2035                          | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |   60000000 | PA      | $3510920.64     | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | USD-SOFR 4.27 01/16/2035 EXPIRATION: 01/16/2035                          | CUSIP: N/A<br>LEI: N/A                        | Short            |  |  | US        |  -60000000 | PA      | $-3905600.81    | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | USD-SOFR 4.40 01/16/2035 EXPIRATION: 01/16/2035                          | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |  300000000 | PA      | $10834612.42    | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | USD-SOFR 6.40 01/16/2035 EXPIRATION: 01/16/2035                          | CUSIP: N/A<br>LEI: N/A                        | Short            |  |  | US        | -350000000 | PA      | $-10576186.12   | -0.60%            |  |  |  | No            |                  1 | On Loan: No      |
| VANTAGE DATA CENTERS ISSUER LLC                     | VANTAGE DATA CENTERS ISSUER LLC VDC 2020-1A A2                           | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5000000 | PA      | $4961061.50     | 0.28%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| VDCM COMMERCIAL MORTGAGE TRUST                      | VDCM COMMERCIAL MORTGAGE TRUST 2025-AZ VDCM 2025-AZ D                    | CUSIP: 91825CAG0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1500000 | PA      | $1503912.90     | 0.08%             | 2044-07-13      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| VERDANT RECEIVABLES LLC                             | VERDANT RECEIVABLES 2024-1 LLC VERD 2024-1A D                            | CUSIP: 92339MAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     570000 | PA      | $590913.70      | 0.03%             | 2031-12-12      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2022-4 VERUS 2022-4 B2                        | CUSIP: 92538NAF4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     160000 | PA      | $138153.17      | 0.01%             | 2067-04-25      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2023-5 VERUS 2023-5 B2                        | CUSIP: 924934AF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    3431000 | PA      | $3399522.63     | 0.19%             | 2068-06-25      | Floating      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2023-6 VERUS 2023-6 B2                        | CUSIP: 92539XAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2348000 | PA      | $2320360.28     | 0.13%             | 2068-09-25      | Floating      | 7.80%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2023-INV3 VERUS 2023-INV3 B1                  | CUSIP: 92540CAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     180000 | PA      | $181355.08      | 0.01%             | 2068-11-25      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-2 VERUS 2024-2 B1                        | CUSIP: 92539UAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1500000 | PA      | $1515773.85     | 0.09%             | 2069-02-25      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-3 VERUS 2024-3 B1                        | CUSIP: 92540MAE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2000000 | PA      | $2038496.40     | 0.12%             | 2069-04-25      | Floating      | 8.03%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-3 VERUS 2024-3 B2                        | CUSIP: 92540MAF2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     120000 | PA      | $120053.44      | 0.01%             | 2069-04-25      | Floating      | 8.39%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-4 VERUS 2024-4 B1                        | CUSIP: 92540GAE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1000000 | PA      | $1015275.60     | 0.06%             | 2069-06-25      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-4 VERUS 2024-4 B2                        | CUSIP: 92540GAF5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     200000 | PA      | $200023.94      | 0.01%             | 2069-06-25      | Floating      | 8.03%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-5 VERUS 2024-5 B2                        | CUSIP: 92540HAF3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     400000 | PA      | $396832.80      | 0.02%             | 2069-06-25      | Floating      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-6 VERUS 2024-6 B2                        | CUSIP: 92540JAF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     200000 | PA      | $198874.36      | 0.01%             | 2069-07-25      | Floating      | 7.91%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-7 VERUS 2024-7 B1                        | CUSIP: 924925AG5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1950000 | PA      | $1927078.53     | 0.11%             | 2069-09-25      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-7 VERUS 2024-7 B2                        | CUSIP: 924925AH3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     250000 | PA      | $248023.25      | 0.01%             | 2069-09-25      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-9 VERUS 2024-9 B2                        | CUSIP: 92540RAH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     150000 | PA      | $147401.03      | 0.01%             | 2069-11-25      | Floating      | 7.37%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-INV1 VERUS 2024-INV1 B2                  | CUSIP: 92540FAF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     130000 | PA      | $130755.46      | 0.01%             | 2069-03-25      | Floating      | 8.48%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2024-INV2 VERUS 2024-INV2 B2                  | CUSIP: 92540NAF0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     100000 | PA      | $99525.54       | 0.01%             | 2069-08-26      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2025-1 VERUS 2025-1 B2                        | CUSIP: 92540TAF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     570000 | PA      | $556547.20      | 0.03%             | 2070-01-25      | Floating      | 7.35%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2025-2 VERUS 2025-2 B1                        | CUSIP: 92540VAG0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2000000 | PA      | $2001692.00     | 0.11%             | 2070-03-25      | Fixed         | 6.97%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                          | VERUS SECURITIZATION TRUST 2025-INV1 VERUS 2025-INV1 B2                  | CUSIP: 924929AH5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     230000 | PA      | $224538.01      | 0.01%             | 2070-02-25      | Floating      | 7.31%                 | Yes           |                  2 | On Loan: No      |
| VISIO TRUST                                         | VISIO 2023-1 TRUST VISIO 2023-1 B2                                       | CUSIP: 927958AF5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     260000 | PA      | $257558.63      | 0.01%             | 2058-03-25      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| VISIO TRUST                                         | VISIO 2023-2 TRUST VISIO 2023-2 B2                                       | CUSIP: 92839CAF4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     460000 | PA      | $454903.94      | 0.03%             | 2058-10-25      | Floating      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST                    | VISTA POINT SECURITIZATION TRUST 2024-CES3 VSTA 2024-CES3 A1             | CUSIP: 92841WAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    4602694 | PA      | $4607981.55     | 0.26%             | 2055-01-25      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST                    | VISTA POINT SECURITIZATION TRUST 2024-CES3 VSTA 2024-CES3 B1             | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1644000 | PA      | $1659910.80     | 0.09%             | 2055-01-25      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST                    | VISTA POINT SECURITIZATION TRUST SERIES 2024-CES2 VSTA 2024-CES2 A1      | CUSIP: 92841YAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    6705533 | PA      | $6663358.02     | 0.38%             | 2054-10-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| VISTAJET MALTA FINANCE P.L.C.                       | VISTAJET MALTA FINANCE PLC / VISTA MANAGEMENT HOLD 7.875000% 05/01/2027  | CUSIP: 92840JAD1<br>LEI: 5299001UK94VGT0CPQ36 | Long             | DBT              | NUSS              | CH        |    2636000 | PA      | $2652285.21     | 0.15%             | 2027-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| VSTRONG AUTO RECEIVABLES TRUST                      | VSTRONG AUTO RECEIVABLES TRUST 2023-A VSTRG 2023-A E                     | CUSIP: 92920CAN7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     540000 | PA      | $576449.78      | 0.03%             | 2030-12-16      | Fixed         | 9.99%                 | Yes           |                  2 | On Loan: No      |
| VORNADO REALTY TRUST                                | Vornado Realty Trust PREFERRED STOCK                                     | CUSIP: 929042794<br>LEI: N/A                  | Long             | EP               |  | US        |        175 | NS      | $2520.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | WARNERMEDIA HOLDINGS INC 4.054000% 03/15/2029                            | CUSIP: 55903VBY8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1342000 | PA      | $1249758.49     | 0.07%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| WAYFAIR INC.                                        | WAYFAIR INC 3.500000% 11/15/2028                                         | CUSIP: 94419LAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3461000 | PA      | $4675386.51     | 0.26%             | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAYFAIR INC.                                        | WAYFAIR INC- CLASS A COMMON STOCK                                        | CUSIP: 94419L101<br>LEI: N/A                  | Short            | EC               |  | US        |     -55495 | NS      | $-2838014.30    | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| WEST COMMERCIAL MORTGAGE TRUST                      | WCORE COMMERCIAL MORTGAGE TRUST 2024-CORE WCORE 2024-CORE E              | CUSIP: 951913AJ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1000000 | PA      | $1000000.00     | 0.06%             | 2041-11-15      | Floating      | 8.25%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST               | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-P2 WFCM 2015-P2 D             | CUSIP: 95000AAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     220000 | PA      | $209209.59      | 0.01%             | 2048-12-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST               | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-MGP WFCM 2024-MGP A11         | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    5000000 | PA      | $4979594.50     | 0.28%             | 2041-08-15      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST               | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-MGP WFCM 2024-MGP D11         | CUSIP: 95003TAG8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2000000 | PA      | $2008571.40     | 0.11%             | 2041-08-15      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST               | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-DWHP WFCM 2025-DWHP A         | CUSIP: 95004EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   10000000 | PA      | $9990639.00     | 0.56%             | 2038-04-15      | Floating      | 6.65%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST               | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-DWHP WFCM 2025-DWHP E         | CUSIP: 95004EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    2320000 | PA      | $2328332.98     | 0.13%             | 2038-04-15      | Floating      | 10.75%                | Yes           |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST        | WELLS FARGO MORTGAGE BACKED SECURITIES 2021-RR1 TR WFMBS 2021-RR1 AIO1   | CUSIP: 95003JAW5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    3689071 | PA      | $109907.02      | 0.01%             | 2050-12-25      | Floating      | 0.48%                 | Yes           |                  2 | On Loan: No      |
| WESTGATE RESORTS LLC                                | WESTGATE RESORTS 2023-1 LLC WESTR 2023-1A D                              | CUSIP: 96033EAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     251356 | PA      | $257854.93      | 0.01%             | 2037-12-20      | Fixed         | 10.14%                | Yes           |                  2 | On Loan: No      |
| WESTGATE RESORTS LLC                                | WESTGATE RESORTS 2024-1 LLC WESTR 2024-1A D                              | CUSIP: 96034KAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    1115908 | PA      | $1134312.14     | 0.06%             | 2038-01-20      | Fixed         | 9.26%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 10YR PAY FIXED 3.765000                                           | CUSIP: S62051470<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |     180000 | NC      | $-1495.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 12YR PAY FIXED 3.842000                                           | CUSIP: S62051476<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |     574000 | NC      | $-5163.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 15MTH PAY FIXED 3.87950                                           | CUSIP: S62051480<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |   17000000 | NC      | $-36375.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 15YR PAY FIXED 3.925000                                           | CUSIP: S62051472<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |     347000 | NC      | $-3225.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 20YR PAY FIXED 3.981000                                           | CUSIP: S62051477<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |     796395 | NC      | $-7296.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 25YR PAY FIXED 3.955000                                           | CUSIP: S62051473<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |     333000 | NC      | $-2698.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 2YR PAY FIXED 3.565000                                            | CUSIP: S62051475<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |   24734998 | NC      | $-82803.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 2YR PAY FIXED 3.565000                                            | CUSIP: S62051749<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |   39752000 | NC      | $38430.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 3YR PAY FIXED 3.495000                                            | CUSIP: S62051751<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |   13239000 | NC      | $10343.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 3YR PAY FIXED 3.495000                                            | CUSIP: S62051468<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |   21875000 | NC      | $-29269.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 4YR PAY FIXED 3.502000                                            | CUSIP: S62051750<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |   15068000 | NC      | $-20161.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 4YR PAY FIXED 3.502000                                            | CUSIP: S62051467<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |   25325000 | NC      | $19786.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 5YR PAY FIXED 3.539000                                            | CUSIP: S62051474<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |   28952000 | NC      | $27989.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 6YR PAY FIXED 3.584000                                            | CUSIP: S62051469<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |    2073000 | NC      | $-9988.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                           | WF-IRS 7YR PAY FIXED 3.632000                                            | CUSIP: S62051471<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DIR              |  | US        |    1120000 | NC      | $-6735.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WINDSOR HOLDINGS III, LLC                           | WINDSOR HOLDINGS III LLC 144A 8.500000% 06/15/2030                       | CUSIP: 97360AAA5<br>LEI: 254900IXUJZ9H146T437 | Long             | DBT              | CORP              | US        |    1599000 | PA      | $1713532.16     | 0.10%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE BANCORPORATION                     | Western Alliance Bancorp PREFERRED STOCK                                 | CUSIP: 957638406<br>LEI: 5493003VJXZ5JXT9S762 | Long             | EP               |  | US        |      19200 | NS      | $418944.00      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| XHR LP                                              | XHR LP 144A 6.625000% 05/15/2030                                         | CUSIP: 98372MAE5<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              | CORP              | US        |     617000 | PA      | $628640.94      | 0.04%             | 2030-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| XOM US 07/18/25 C120                                | XOM US 07/18/25 C120 LONG                                                | CUSIP: 472991K56<br>LEI: N/A                  | Long             |  |  | US        |        153 | PA      | $1224.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** THE ADVISORS' INNER CIRCLE III

**Signature:** Andrew Metzger

**Name of Signer:** Andrew Metzger

**Title:** Treasurer, Controller and Chief Financial Officer