# EDGAR Filing Document

**Accession Number:** 0001510599
**File Stem:** 0001510599-25-000029
**Filing Date:** 2025-8
**Character Count:** 827542
**Document Hash:** 3b4ff89cf0de8d9d0bf46c861ac50067
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001510599-25-000029.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001510599-25-000029

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20250630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Dynamic Income Fund
- **CENTRAL INDEX KEY:** 0001510599

**ORGANIZATION NAME:**
- **EIN:** 274580758
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22673
- **FILM NUMBER:** 251277537

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-739-4000

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Dynamic Income Fund

- **b. Investment Company Act file number:** 811-22673

- **c. CIK number of Registrant:** 0001510599

- **d. LEI of Registrant:** F0MWMXS5YG3P711FB044

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 337-4626

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $10409258466.23

**Total Liabilities:** $3777276780.75

**Net Assets:** $6631981685.48

**Delayed Delivery Securities:** $976615.14

**Cash Not Reported:** $129612557.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6032.342000 | **1-Year:** 36756.371700 | **5-Year:** 127460.246400 | **10-Year:** 11026.768500 | **30-Year:** -57461.437100

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

- **3-Month:** 672890.222200 | **1-Year:** 405669.106600 | **5-Year:** 988750.910800 | **10-Year:** 392497.701700 | **30-Year:** 34325.717000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -5.50%               | 2.33%                | 2.79%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-103140830.78           | $19990997.92                               |
| Month 2  | $1519579.70              | $87394571.42                               |
| Month 3  | $22278411.84             | $26632835.90                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875            | CUSIP: X74359AC8<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     200000 | PA      | $136888.00     | 0.00%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B4 144A               | CUSIP: 59980YAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3614777 | PA      | $2245257.93    | 0.03%             | 2066-04-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-AR5                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR5 2A1A           | CUSIP: 17309FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1750933 | PA      | $1024879.20    | 0.02%             | 2036-07-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4120                                                    | FREDDIE MAC FHR 4120 WS                                     | CUSIP: 3137AVJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     319136 | PA      | $28101.86      | 0.00%             | 2042-09-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 2A1              | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18669083 | PA      | $9365793.76    | 0.14%             | 2036-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | TWITTER INC 2025 FIXED TERM LOAN                            | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8050000 | PA      | $7838687.50    | 0.12%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-846805.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                        | CORONADO CDO LTD CORON 1A B1 144A                           | CUSIP: 21976RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22976226 | PA      | $6721097.56    | 0.10%             | 2038-09-04      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| IPL PLASTICS (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)   | TOUCAN FINCO LTD/CAN/US TOUCAN FINCO LTD/CAN/US             | CUSIP: ACI2WX839<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    4600000 | PA      | $5383000.05    | 0.08%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7883 08/30/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $4366760.96    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5            | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   22668000 | PA      | $24708188.00   | 0.37%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 08/30 4.8              | CUSIP: ACI1PP9T8<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $15420.00      | 0.00%             | 2030-08-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19380664 | PA      | $-19485534.68  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY3                                            | COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1                    | CUSIP: 12544WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     934912 | PA      | $919726.72     | 0.01%             | 2047-06-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A             | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9484214 | PA      | $7961118.73    | 0.12%             | 2047-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP1                                                       | RAAC SERIES RAAC 2007 RP1 M2 144A                           | CUSIP: 74977YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17151000 | PA      | $16842438.07   | 0.25%             | 2046-05-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1           | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338948 | PA      | $155644.38     | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                    | REACH FINANCIAL LLC REACH 2025 1A D 144A                    | CUSIP: 75525PAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $501071.15     | 0.01%             | 2032-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 8.5                          | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   18500000 | PA      | $21676439.67   | 0.33%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A D 144A                | CUSIP: 19424RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3811000 | PA      | $3835325.61    | 0.06%             | 2054-06-25      | Fixed         | 8.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-38.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A1                | CUSIP: 22942JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405670 | PA      | $61895.35      | 0.00%             | 2036-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A1            | CUSIP: 02151JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     713996 | PA      | $597491.89     | 0.01%             | 2047-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3213                                                    | FREDDIE MAC FHR 3213 LS                                     | CUSIP: 31397AZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410678 | PA      | $56738.09      | 0.00%             | 2036-09-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3718.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $699803.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 VI                                     | CUSIP: 3137FUZ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7394852 | PA      | $1362754.34    | 0.02%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1            | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     185146 | PA      | $250872.34     | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A12               | CUSIP: 22942JBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122911 | PA      | $56718.35      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B1 144A             | CUSIP: 59981TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3063000 | PA      | $2533990.19    | 0.04%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3            | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11748800 | PA      | $2811450.24    | 0.04%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1185000 | PA      | $-1187599.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3179726 | PA      | $-3190369.24   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-53                                                         | FANNIE MAE FNR 2007 53 SL                                   | CUSIP: 31396WCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134735 | PA      | $9004.20       | 0.00%             | 2037-06-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A                  | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1572398 | PA      | $1403923.50    | 0.02%             | 2036-09-20      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6769140 | PA      | $-6776405.43   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1          | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1615048 | PA      | $1539833.75    | 0.02%             | 2036-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                      | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A         | CUSIP: 87331BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2425275 | PA      | $2207000.58    | 0.03%             | 2036-08-05      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                       | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4            | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3081987.46    | 0.05%             | 2035-08-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 B3 144A          | CUSIP: 26844QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22284097 | PA      | $21630194.69   | 0.33%             | 2068-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                      | ASTON MARTIN CAPITAL HOL ASTON MARTIN CAPITAL HOL           | CUSIP: ACI2N9Q99<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |    5000000 | PA      | $6415761.18    | 0.10%             | 2029-03-31      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -26967959 | PA      | $-27128051.21  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-2NU              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 2NU A 144A        | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6660000 | PA      | $6032319.64    | 0.09%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2021-2A                                                    | APEX CREDIT CLO LLC APEXC 2021 2A SUB 144A                  | CUSIP: 58406DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20050000 | PA      | $9203609.85    | 0.14%             | 2034-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6                 | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     858728 | PA      | $765184.08     | 0.01%             | 2035-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  JUN25 XCME 20250916                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -287 | NC      | $913628.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-A                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 5M1              | CUSIP: 05946XRH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2307899 | PA      | $2228293.53    | 0.03%             | 2035-02-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE4                                               | ACE SECURITIES CORP. ACE 2005 HE4 M6                        | CUSIP: 004421PV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17938000 | PA      | $17240358.89   | 0.26%             | 2035-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C                | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9274 | PA      | $7736.68       | 0.00%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                      | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 4A1               | CUSIP: 878048AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     204001 | PA      | $70401.39      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3287777.25   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20300509                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $104006.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A           | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77960 | PA      | $76383.22      | 0.00%             | 2045-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A4           | CUSIP: 751151AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2781222 | PA      | $1076302.55    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A3            | CUSIP: 02151BAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7432157 | PA      | $2410751.04    | 0.04%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B12                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B12 TCE 144A            | CUSIP: 08162FBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7300000 | PA      | $6600577.51    | 0.10%             | 2052-08-15      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31368612 | PA      | $-31436120.95  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                                              | PENNYMAC CORP COMPANY GUAR 03/26 5.5                        | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7649950.00    | 0.12%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -5860485 | PA      | $-6945636.28   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.5          | CUSIP: ACI2L7WC1<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      46549 | PA      | $5818.63       | 0.00%             | 2027-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 9/20/23-19Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $239641.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-494.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                    | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC B 144A         | CUSIP: 05591UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426060 | PA      | $379632.18     | 0.01%             | 2038-08-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2                         | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 2A2              | CUSIP: 31659EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3899014 | PA      | $2080047.47    | 0.03%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 4A2 144A        | CUSIP: 05955DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8214073 | PA      | $2449436.91    | 0.04%             | 2036-07-26      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 22A          | CUSIP: 07389RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7702480 | PA      | $7679334.91    | 0.12%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A             | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10360000 | PA      | $10259737.99   | 0.15%             | 2035-04-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-1                                        | RBSSP RESECURITIZATION TRUST RBSSP 2010 1 2A2 144A          | CUSIP: 74928YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8285147 | PA      | $8251762.37    | 0.12%             | 2045-07-26      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                       | GSAMP TRUST GSAMP 2007 FM1 A1                               | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750396 | PA      | $400405.27     | 0.01%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.26 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-54197.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A3            | CUSIP: 44328AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6264013 | PA      | $2136007.72    | 0.03%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC REVOLVER                                | CUSIP: BA000FL00<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    2245459 | PA      | $2204262.19    | 0.03%             | 2032-01-30      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| WAYFAIR LLC                                                                | WAYFAIR LLC SR SECURED 144A 09/30 7.75                      | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $5346141.80    | 0.08%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   46445134 | PA      | $45636059.77   | 0.69%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                        | BCP TRUST BCP 2021 330N E 144A                              | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11849964 | PA      | $2384616.84    | 0.04%             | 2038-06-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M6            | CUSIP: 04541GRQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     879708 | PA      | $868502.73     | 0.01%             | 2035-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18695770 | PA      | $-18828063.35  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR              | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1911693 | PA      | $908054.18     | 0.01%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-2                          | FREDDIE MAC   SCRT SCRT 2021 2 BXS 144A                     | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1179001 | PA      | $869765.60     | 0.01%             | 2060-11-25      | Variable      | 14.99%                | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                               | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |   39212303 | PA      | $36904380.94   | 0.56%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3903795 | PA      | $-3911952.49   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10537728 | PA      | $-10559967.60  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                       | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M4           | CUSIP: 0738795T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2869263 | PA      | $2749620.94    | 0.04%             | 2035-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18150000 | PA      | $18080273.15   | 0.27%             | 2038-05-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2009-14R                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 14R 1A9 144A         | CUSIP: 12639GAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10119787 | PA      | $4535875.96    | 0.07%             | 2037-05-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     734000 | PA      | $149552.50     | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A         | CUSIP: 61691KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6183000 | PA      | $5914109.37    | 0.09%             | 2034-11-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                        | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |    6139000 | NS      | $52225452.69   | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| EDISON INTERNATIONAL                                                       | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25                | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1727208.47    | 0.03%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                            | BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1                   | CUSIP: 07386HKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161727 | PA      | $156648.76     | 0.00%             | 2034-09-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A9           | CUSIP: 12667G4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393387 | PA      | $229570.86     | 0.00%             | 2035-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2852310 | PA      | $-3363323.81   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                            | PARK AVENUE TRUST PRKAV 2017 245P D 144A                    | CUSIP: 90187LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2363406.75    | 0.04%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS11                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS11 A1            | CUSIP: 74925GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3980786 | PA      | $3181581.72    | 0.05%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2007-A                                      | AMERICAN HOME MORTGAGE INVESTM AHM 2007 A 13A1 144A         | CUSIP: 026931AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4652680 | PA      | $605941.38     | 0.01%             | 2037-01-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A3 144A        | CUSIP: 12642YGT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14223044 | PA      | $2571163.62    | 0.04%             | 2036-08-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005 2                                            | FBR SECURITIZATION TRUST FBRSI 2005 2 M4                    | CUSIP: 30246QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $5792280.00    | 0.09%             | 2035-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3             | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7067594 | PA      | $4146676.06    | 0.06%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1144456 | PA      | $-1148309.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                     | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4               | CUSIP: 00252FCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2072963.64    | 0.03%             | 2035-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 X 144A                | CUSIP: 59980YAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   67509875 | PA      | $16772.83      | 0.00%             | 2066-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC)                                            | CENTRAL PARENT INC 2024 TERM LOAN B                         | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   68704510 | PA      | $57543462.10   | 0.87%             | 2029-07-06      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9948044 | PA      | $-9949508.94   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A            | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     473389 | PA      | $420385.66     | 0.01%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 X 144A             | CUSIP: 59982HBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   64622081 | PA      | $2861258.98    | 0.04%             | 2060-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 XS 144A        | CUSIP: 64832BAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  578980314 | PA      | $24377966.14   | 0.37%             | 2064-09-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-26R                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 26R A1            | CUSIP: 02152JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5020942 | PA      | $856848.37     | 0.01%             | 2037-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4            | CUSIP: 12668BMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435495 | PA      | $188943.66     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                               | DBGS MORTGAGE TRUST DBGS 2018 5BP A 144A                    | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1054487.50    | 0.02%             | 2033-06-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2FP               | CUSIP: 61750FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3107239 | PA      | $1068684.36    | 0.02%             | 2036-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                               | AMS OSRAM AG SR UNSECURED 144A 03/29 12.25                  | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |   31628000 | PA      | $33774631.26   | 0.51%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| BEAST MORTGAGE TRUST 2022-1700                                             | BSST MORTGAGE TRUST BSST 2022 1700 B 144A                   | CUSIP: 055742AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300000 | PA      | $2219203.14    | 0.03%             | 2037-02-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B D 144A            | CUSIP: 83206NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6168450 | PA      | $6144003.17    | 0.09%             | 2055-02-16      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 B5 144A               | CUSIP: 89178BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12330880 | PA      | $6725533.34    | 0.10%             | 2059-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5777772 | PA      | $-5811933.08   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                  | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1            | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |   11458569 | PA      | $13025294.76   | 0.20%             | 2026-04-17      | Floating      | 5.16%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 2A3          | CUSIP: 12668AV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122214 | PA      | $59990.33      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                                     | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3                | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3548567 | PA      | $260172.09     | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/27 0.878      | CUSIP: ACI1SYQ75<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |    7000000 | PA      | $7441703.22    | 0.11%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 2A1           | CUSIP: 07389NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110891 | PA      | $85805.83      | 0.00%             | 2036-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3071320 | PA      | $-3073183.63   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5         | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |   36590000 | PA      | $12743748.15   | 0.19%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                 | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7        | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    3500000 | PA      | $1031905.89    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | PEMEX LCDS SP DUB                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9146.42       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV7               | CUSIP: 1266732N1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6295664 | PA      | $4489394.25    | 0.07%             | 2035-11-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B G 144A          | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     669651 | PA      | $667699.15     | 0.01%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD AUD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3811.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300B 144A           | CUSIP: 08163DBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $133309.40     | 0.00%             | 2054-04-15      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1            | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58878 | PA      | $58461.80      | 0.00%             | 2034-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                        | STRATTON HAWKSMOOR PLC HWKSM 2022 1A E 144A                 | CUSIP: ACI27FLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1967000 | PA      | $2668807.46    | 0.04%             | 2053-02-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                     | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 B 144A           | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $509286.10     | 0.01%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A            | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5883893 | PA      | $5382177.99    | 0.08%             | 2036-03-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP G 144A          | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3887230.40    | 0.06%             | 2032-07-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2450946 | PA      | $-2455184.36   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4368.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1391577 | PA      | $-1400319.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A         | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     469687 | PA      | $469557.60     | 0.01%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A2 144A                          | CUSIP: 83743YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10259094 | PA      | $1025.91       | 0.00%             | 2041-01-06      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR GOVT                                                           | REPUBLIC OF EL SALVADOR REPUBLIC OF EL SALVADOR             | CUSIP: 283875CE0<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |   20000000 | PA      | $21225000.00   | 0.32%             | 2030-04-17      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS LLC 2025 SECOND OUT TERM LOAN      | CUSIP: 55328HAQ4<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |   23367157 | PA      | $21030441.30   | 0.32%             | 2030-12-31      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                      | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5                | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5630274 | PA      | $720256.20     | 0.01%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                   | LEHMAN XS TRUST LXS 2007 15N 4A1                            | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188974 | PA      | $169082.16     | 0.00%             | 2047-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-4                                           | NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M1                    | CUSIP: 66987WDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79295 | PA      | $79140.40      | 0.00%             | 2036-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A         | CUSIP: 78486DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13423500 | PA      | $13036736.75   | 0.20%             | 2034-04-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6625034.26    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5009                                                    | FREDDIE MAC FHR 5009 NI                                     | CUSIP: 3137FWEG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13140152 | PA      | $2249548.06    | 0.03%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -43888681 | PA      | $-43894434.86  | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION SERIES 2020-2            | FREDDIE MAC   SLST SLST 2020 2 MRR 144A                     | CUSIP: 35564CGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  254897278 | PA      | $174883429.62  | 2.64%             | 2060-09-25      | Variable      | 6.08%                 | No            |                  3 | On Loan: No      |
| BX TRUST 2021-ARIA                                                         | BX TRUST BX 2021 ARIA E 144A                                | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $11979240.00   | 0.18%             | 2036-10-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM C 144A          | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840000 | PA      | $1784052.22    | 0.03%             | 2036-12-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B           | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     394888 | PA      | $259115.50     | 0.00%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A6              | CUSIP: 05952FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     519482 | PA      | $405823.45     | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ESKOM GG LOAN SNR EM SP DUB                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1309917.22    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR               | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |    4260000 | PA      | $4415490.00    | 0.07%             | 2031-05-13      | Floating      | 17.06%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 08/25 0.00000                                 | CUSIP: 912797QK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10992000 | PA      | $10927554.02   | 0.16%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 2A1          | CUSIP: 12668AA62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315356 | PA      | $44569.75      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| C-BASS CBO XVI CORP 16A                                                    | C BASS LTD CBCL 16A A 144A                                  | CUSIP: 12498YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   98372552 | PA      | $507405.62     | 0.01%             | 2041-09-06      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B2              | CUSIP: 41161PSW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3095018 | PA      | $2805788.65    | 0.04%             | 2035-06-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     600000 | PA      | $72000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3057686 | PA      | $-3060938.57   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4             | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441447 | PA      | $845690.07     | 0.01%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5         | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22715000 | PA      | $21976623.94   | 0.33%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                      | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A            | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4584001 | PA      | $813442.51     | 0.01%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A R 144A                 | CUSIP: ACI2C6QT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   20785000 | PA      | $8509228.67    | 0.13%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-1860093.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A          | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $14855199.00   | 0.22%             | 2032-07-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP D 144A          | CUSIP: 12651QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3121000 | PA      | $3103661.28    | 0.05%             | 2032-07-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A       | CUSIP: 17312WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4267000 | PA      | $3481957.34    | 0.05%             | 2046-11-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE OPERATING INC                                          | ENVISION HEALTHCARE CORPORATIO 2023 EXIT TERM LOAN          | CUSIP: 29414YAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   57810000 | PA      | $58099050.00   | 0.88%             | 2027-12-30      | Floating      | 13.25%                | No            |                  2 | On Loan: No      |
| THE COMPLEAT FOOD GROUP (HOLDINGS) LIMITED                                 | ADDO AND WINTERBOTHAM GBP TERM LOAN                         | CUSIP: 937ICLII2<br>LEI: 259400QEGOEU126C6775 | Long             | LON              | CORP              | GB        |   15500000 | PA      | $21329260.22   | 0.32%             | 2028-01-31      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | J P MORGAN TERM REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  166689387 | PA      | $166689387.00  | 2.51%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 2A1                   | CUSIP: 07387QAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3653977 | PA      | $2506604.86    | 0.04%             | 2046-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B           | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16202325 | PA      | $5847895.46    | 0.09%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 1 B1 144A           | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     880472 | PA      | $895839.78     | 0.01%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1            | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530058 | PA      | $294976.36     | 0.00%             | 2036-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4020                                                    | FREDDIE MAC FHR 4020 PI                                     | CUSIP: 3137AMLU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18780 | PA      | $239.76        | 0.00%             | 2027-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B4 144A             | CUSIP: 59981TAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1532000 | PA      | $954828.96     | 0.01%             | 2059-08-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M3              | CUSIP: 03072SQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1050356.88    | 0.02%             | 2035-11-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2005-2                                           | IMPAC SECURED ASSETS CORP. IMSA 2005 2 A2D                  | CUSIP: 45254TSS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     806930 | PA      | $709002.11     | 0.01%             | 2036-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.25000 06/18/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16053796.26  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2010-2                                                   | JP MORGAN REREMIC JPMRR 2010 2 2A4 144A                     | CUSIP: 46634FAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213732 | PA      | $205716.01     | 0.00%             | 2037-03-21      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3            | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     701457 | PA      | $476068.57     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18350250 | PA      | $-18586193.43  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1AV 144A                        | CUSIP: 83743YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9983006 | PA      | $1832999.64    | 0.03%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 1A1             | CUSIP: 05950TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15311 | PA      | $13664.87      | 0.00%             | 2046-10-20      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE1                                        | MASTR ASSET BACKED SECURITIES MABS 2006 FRE1 M1             | CUSIP: 57643LPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14191372 | PA      | $11918576.73   | 0.18%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.25000 03/18/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1363315.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1                                       | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M4               | CUSIP: 65536HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1979939 | PA      | $1521629.33    | 0.02%             | 2035-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BOI FINANCE BV                                                             | BOI FINANCE BV 02/27 7.5                                    | CUSIP: ACI23L5Y2<br>LEI: 724500ZH3H2YACBUNF38 | Long             | DBT              | MUN               | NL        |   10000000 | PA      | $12023359.94   | 0.18%             | 2027-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORPORATION                                                  | BAUSCH + LOMB CORPORATION 2025 TERM LOAN B                  | CUSIP: BA000LBZ1<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |    4700000 | PA      | $4714711.00    | 0.07%             | 2030-12-18      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -798000 | PA      | $-1097201.30   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HOLDINGS INC                                               | BREAD FINANCIAL HLDGS SUBORDINATED 144A 06/35 VAR           | CUSIP: 018581AQ1<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |     500000 | PA      | $503841.50     | 0.01%             | 2035-06-15      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA NEW EQUITY                                           | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    2316329 | NS      | $78258347.33   | 1.18%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE2                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE2 M4             | CUSIP: 04542BNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3386957 | PA      | $3218260.59    | 0.05%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                         | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1              | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111522 | PA      | $111417.74     | 0.00%             | 2036-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 XS 144A               | CUSIP: 59980YAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   67509875 | PA      | $310106.61     | 0.00%             | 2066-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                       | VASA TRUST VASA 2021 VASA A 144A                            | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $972509.30     | 0.01%             | 2039-07-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A27          | CUSIP: 02150GBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     649415 | PA      | $547828.80     | 0.01%             | 2037-05-25      | Floating      | 12.40%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-50542.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP MYC                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-315534.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-4Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $813557.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 B3 144A       | CUSIP: 61775UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4006000 | PA      | $3834525.16    | 0.06%             | 2068-12-25      | Variable      | 7.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1397744 | PA      | $-1416957.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CIBC                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2819571 | PA      | $-2849263.35   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR31                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR31 A5            | CUSIP: 45667QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460636 | PA      | $434683.48     | 0.01%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15814745 | PA      | $-15845126.97  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3868                                                    | FREDDIE MAC FHR 3868 SA                                     | CUSIP: 3137AAEG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     519069 | PA      | $48808.54      | 0.00%             | 2041-05-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 2A1              | CUSIP: 058928AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     703395 | PA      | $612692.83     | 0.01%             | 2036-03-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AR3                                          | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR3 A1A             | CUSIP: 65537EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     854119 | PA      | $719043.80     | 0.01%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A6              | CUSIP: 93936JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1065822 | PA      | $957215.37     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1             | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235415 | PA      | $138327.79     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3              | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524839 | PA      | $522306.41     | 0.01%             | 2035-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                        | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR                | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    6500000 | PA      | $6592950.00    | 0.10%             | 2027-04-05      | Floating      | 13.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1226059 | PA      | $-1226830.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1865538 | PA      | $-1888696.07   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 1999-D                                      | OAKWOOD MORTGAGE INVESTORS INC OAK 1999 D A1                | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     545125 | PA      | $551955.72     | 0.01%             | 2029-11-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2007-1                                             | CSAB MORTGAGE BACKED TRUST CSAB 2007 1 2A5                  | CUSIP: 12629EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800480 | PA      | $1200148.87    | 0.02%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO GBP ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -7653104 | PA      | $-10562545.37  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11          | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     807254 | PA      | $459895.89     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1                   | CUSIP: 126694MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3970649 | PA      | $3704828.50    | 0.06%             | 2035-11-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 01/28 3.375                | CUSIP: ACI1FL2Y4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   19500000 | PA      | $19289548.52   | 0.29%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                          | FREDDIE MAC   SCRT SCRT 2021 3 BXS 144A                     | CUSIP: 35563P6W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     488415 | PA      | $282054.58     | 0.00%             | 2061-03-25      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC) | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8             | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14620000 | PA      | $12103186.01   | 0.18%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3877784 | PA      | $-3888103.50   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3959.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                       | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4               | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4064237 | PA      | $900914.08     | 0.01%             | 2036-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 9 3A2 144A         | CUSIP: 17315XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     815598 | PA      | $414946.26     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                    | FREDDIE MAC   STACR STACR 2021 HQA3 B2 144A                 | CUSIP: 35564KKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6400000 | PA      | $6677917.44    | 0.10%             | 2041-09-25      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                | PALM RE LTD UNSECURED 144A 06/32 VAR                        | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     800000 | PA      | $801680.00     | 0.01%             | 2032-06-07      | Floating      | 12.07%                | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96                 | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     325287 | PA      | $141409.86     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R7                              | MORGAN STANLEY REREMIC TRUST MSRR 2015 R7 2B 144A           | CUSIP: 61765PAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9142008 | PA      | $6734034.15    | 0.10%             | 2035-06-26      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-18 LTD 2020-18A                                               | OCP CLO LTD OCP 2020 18A PREF 144A                          | CUSIP: 67570T105<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      10500 | PA      | $3416263.94    | 0.05%             | 2037-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3               | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M6            | CUSIP: 04541GQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $820046.88     | 0.01%             | 2035-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A15           | CUSIP: 74922EAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63510 | PA      | $52028.90      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                               | FANNIE MAE   CAS CAS 2021 R01 1B2 144A                      | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16800929 | PA      | $17554914.37   | 0.26%             | 2041-10-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                     | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                      | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |     300000 | PA      | $362838.25     | 0.01%             | 2027-07-08      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                   | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A B 144A          | CUSIP: 37989EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $823412.40     | 0.01%             | 2030-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP COMPANY GUAR REGS 08/26 4.45            | CUSIP: ACI1XQPZ5<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     300000 | PA      | $27750.00      | 0.00%             | 2026-08-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1              | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134311 | PA      | $117048.75     | 0.00%             | 2047-09-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1            | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122504 | PA      | $99524.73      | 0.00%             | 2037-06-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                              | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |   55021089 | PA      | $0.55          | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| FINASTRA USA INC                                                           | FINASTRA USA INC 2023 REVOLVER                              | CUSIP: 953PAWII3<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |     145442 | PA      | $146351.13     | 0.00%             | 2029-09-13      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A X 144A                 | CUSIP: ACI2C6PW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   11991000 | PA      | $19013141.25   | 0.29%             | 2062-10-16      | Floating      | 13.32%                | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 10/28 11.75        | CUSIP: 650929AA0<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   13109000 | PA      | $9897295.00    | 0.15%             | 2028-10-15      | Fixed         | 11.75%                | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A         | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     779480 | PA      | $779849.46     | 0.01%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1             | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29625 | PA      | $28666.68      | 0.00%             | 2036-10-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A Z 144A                 | CUSIP: ACI2C6QG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   39972000 | PA      | $50031910.98   | 0.75%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16435123 | PA      | $-16665023.16  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                              | SEQUOIA MORTGAGE TRUST SEMT 2007 2 2AA1                     | CUSIP: 81744LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69506 | PA      | $55732.36      | 0.00%             | 2038-01-20      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                       | EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR               | CUSIP: 27332EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $1114135.00    | 0.02%             | 2026-03-31      | Floating      | 13.55%                | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A5            | CUSIP: 14454AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     534998 | PA      | $405693.35     | 0.01%             | 2035-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A1             | CUSIP: 17307GK98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165386 | PA      | $154729.85     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                             | COMEXPOSIUM 2019 EUR TERM LOAN B                            | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |   64346532 | PA      | $90198476.04   | 1.36%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                           | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                    | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242234 | PA      | $228339.90     | 0.00%             | 2036-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250701                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $368926.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1834.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10134030.99   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT2                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT2 A2            | CUSIP: 04542BFV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133328 | PA      | $130969.57     | 0.00%             | 2033-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1           | CUSIP: 94985GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150947 | PA      | $132058.24     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB17             | CUSIP: 05950BAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35988 | PA      | $31383.96      | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII2 144A      | CUSIP: 760985Y96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1002358 | PA      | $998151.05     | 0.02%             | 2034-04-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2793524 | PA      | $-2825015.87   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2001-HE8               | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE8 M1             | CUSIP: 22540AB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610320 | PA      | $597370.70     | 0.01%             | 2031-02-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M4              | CUSIP: 64352VKW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     458584 | PA      | $481821.73     | 0.01%             | 2035-06-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-121                                                        | FANNIE MAE FNR 2006 121 SD                                  | CUSIP: 31396LR85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     905093 | PA      | $107336.92     | 0.00%             | 2036-12-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R1                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R1 2C 144A           | CUSIP: 61758QAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3905175 | PA      | $3837848.37    | 0.06%             | 2035-07-26      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                              | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR           | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |     300000 | PA      | $352961.13     | 0.01%             | 2029-01-17      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP               | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1319164 | PA      | $575649.20     | 0.01%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3             | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2518212 | PA      | $2281603.93    | 0.03%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X E1C REGS                         | CUSIP: G3299TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3081600 | PA      | $3206239.96    | 0.05%             | 2045-06-13      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4                | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       1000 | PA      | $267.22        | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $26171.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED REGS 09/34 6.25                        | CUSIP: ACI2TMW89<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   53000000 | PA      | $63062565.67   | 0.95%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1             | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288299 | PA      | $161844.56     | 0.00%             | 2047-02-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.50000 12/15/21-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12956473.26   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3                | CUSIP: 126673VR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270095 | PA      | $251676.93     | 0.00%             | 2035-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                         | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3              | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2546745 | PA      | $933737.83     | 0.01%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7202947 | PA      | $-7223315.26   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-8R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 8R 3A2 144A          | CUSIP: 12650NAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6553225 | PA      | $5568997.17    | 0.08%             | 2037-11-25      | Floating      | 28.56%                | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X C1A REGS                         | CUSIP: G3299TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   14072062 | PA      | $16876441.67   | 0.25%             | 2045-06-13      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    1400000 | PA      | $1410220.00    | 0.02%             | 2027-06-06      | Floating      | 29.81%                | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   11030000 | PA      | $11918885.64   | 0.18%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED 144A 02/28 6            | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    3300000 | PA      | $1171665.00    | 0.02%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -40049331 | PA      | $-40478055.59  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9444968 | PA      | $-9455703.26   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-152657.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   27884718 | PA      | $18980199.25   | 0.29%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3384                                                           | FREDDIE MAC FHR 3384 SM                                     | CUSIP: 31397PCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     633296 | PA      | $55503.64      | 0.00%             | 2037-05-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3927000 | PA      | $-3957453.88   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2006-1                                                | PRIME MORTGAGE TRUST PRIME 2006 1 3A1                       | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1137392 | PA      | $821307.19     | 0.01%             | 2036-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GLACIER FUNDING CDO III LTD 2005-3A                                        | GLACIER FUNDING CDO GLCR 2005 3A A1 144A                    | CUSIP: 37638XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   31282418 | PA      | $2641675.06    | 0.04%             | 2035-08-04      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $271819.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D                | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3306163 | PA      | $1442798.05    | 0.02%             | 2036-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 D 144A            | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     506310 | PA      | $512177.87     | 0.01%             | 2032-10-20      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250728                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3753.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-IRON                                     | BX TRUST BX 2021 IRON E 144A                                | CUSIP: 05608JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1877660 | PA      | $1810103.63    | 0.03%             | 2038-02-15      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250811                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $4518.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXIII LTD                                                 | MARBLE POINT CLO XXIII LTD. MP23 2021 4A SUB 144A           | CUSIP: 566068AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17150000 | PA      | $8259333.50    | 0.12%             | 2052-01-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071          | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                 | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   75137000 | PA      | $3322588.19    | 0.05%             | 2045-11-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-53                                                  | FANNIE MAE FNR 2013 53 MI                                   | CUSIP: 3136AEFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59757 | PA      | $1237.49       | 0.00%             | 2042-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8826472 | PA      | $-8835517.57   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250811                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $65709.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 E 144A                   | CUSIP: 20048FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10004200 | PA      | $9077960.64    | 0.14%             | 2038-12-15      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 3A4            | CUSIP: 74958TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88583 | PA      | $70744.32      | 0.00%             | 2037-07-27      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                            | VALARIS LTD SECURED 144A 04/30 8.375                        | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    6000000 | PA      | $6160584.00    | 0.09%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| UZBEKISTAN GOVT                                                            | UZBEKISTAN INTL BOND SR UNSECURED 144A 02/29 5.1            | CUSIP: ACI2TZTT8<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |    5000000 | PA      | $6036643.69    | 0.09%             | 2029-02-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2007473 | PA      | $-2039391.96   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1X2            | CUSIP: 12668ATS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7136126 | PA      | $294044.43     | 0.00%             | 2035-12-25      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                           | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |   18769557 | PA      | $26310438.59   | 0.40%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR4                                     | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1           | CUSIP: 76112BUG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15590 | PA      | $13472.36      | 0.00%             | 2035-07-19      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A15          | CUSIP: 32052FAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     720158 | PA      | $79688.35      | 0.00%             | 2036-11-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-610.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP D 144A                          | CUSIP: 05490TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7790000 | PA      | $5583910.95    | 0.08%             | 2033-08-10      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 01/33 4.375           | CUSIP: ACI2C9PD3<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1100000 | PA      | $848036.90     | 0.01%             | 2033-01-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A           | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15475000 | PA      | $14057474.53   | 0.21%             | 2038-11-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250711                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $10675.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1923.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A         | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     880464 | PA      | $680832.50     | 0.01%             | 2047-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                               | ALAMO RE LTD UNSECURED 144A 06/26 VAR                       | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |    1300000 | PA      | $1350700.00    | 0.02%             | 2026-06-08      | Floating      | 15.57%                | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A           | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24000000 | PA      | $20747817.60   | 0.31%             | 2038-11-15      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-2RA                                                  | CIFC FUNDING LTD CIFC 2014 2RA INC 144A                     | CUSIP: 125475AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3390000 | PA      | $593504.35     | 0.01%             | 2030-04-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2019-787E                          | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2019 787E E 144A       | CUSIP: 78426RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $7317075.60    | 0.11%             | 2041-02-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR SECURED 12/26 10                  | CUSIP: ACI2J0DM8<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     465571 | PA      | $493569.37     | 0.01%             | 2026-12-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-5                                                   | PRIME MORTGAGE TRUST PRIME 2005 5 1A1                       | CUSIP: 74160MLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28646 | PA      | $27666.73      | 0.00%             | 2034-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-16510.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29917168 | PA      | $-29983423.17  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A8              | CUSIP: 761136AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364609 | PA      | $107450.47     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORPORATION                                                  | BAUSCH + LOMB CORP SR SECURED 144A 01/31 VAR                | CUSIP: ACI2Y41M6<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |    2400000 | PA      | $2850118.62    | 0.04%             | 2031-01-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                              | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $493475.00     | 0.01%             | 2032-03-13      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                             | WINSTON RE LTD UNSECURED 144A 02/28 VAR                     | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $304905.00     | 0.00%             | 2028-02-21      | Floating      | 10.79%                | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                 | PALISADES CDO LTD PALIS 2004 1A B1 144A                     | CUSIP: 696399AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6539993 | PA      | $2504052.30    | 0.04%             | 2039-07-22      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| ALTERA (GRYPHON DEBT MERGER SUB INC)                                       | GRYPHON DEBT MERGER SUB INC TERM LOAN B                     | CUSIP: BA000LFQ7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5700000 | PA      | $5705956.50    | 0.09%             | 2032-06-18      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| BRUCETON MILLS ASSOCIATES LLC                                              | PURIS TERM LOAN                                             | CUSIP: BA0005TS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   15105897 | PA      | $14995841.81   | 0.23%             | 2030-07-01      | Floating      | 10.05%                | No            |                  3 | On Loan: No      |
| CARVANA CO                                                                 | CARVANA CO SR SECURED 144A 06/31 9                          | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |   14142729 | PA      | $16768208.55   | 0.25%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A      | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41689988 | PA      | $6303109.25    | 0.10%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250728                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3991.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 XS 144A            | CUSIP: 59982HBG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   59199002 | PA      | $293763.21     | 0.00%             | 2060-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1             | CUSIP: 74922TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5940152 | PA      | $5525947.70    | 0.08%             | 2037-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| IPL PLASTICS (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)   | TOUCAN FINCO LTD/CAN/US SR SECURED 144A 05/30 9.5           | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    3600000 | PA      | $3683079.83    | 0.06%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                       | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1           | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |     418132 | PA      | $377961.66     | 0.01%             | 2027-09-01      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $116.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     224759 | PA      | $147301.46     | 0.00%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA D 144A               | CUSIP: 647622AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13642000 | PA      | $13262373.15   | 0.20%             | 2032-04-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -701115 | PA      | $-708278.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B4 144A         | CUSIP: 12656TAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7540827 | PA      | $2843629.27    | 0.04%             | 2060-01-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4307.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1                  | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1387716 | PA      | $1098143.59    | 0.02%             | 2037-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                               | AMS OSRAM AG SR UNSECURED REGS 03/29 10.5                   | CUSIP: ACI2L69P0<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |   61000000 | PA      | $75375434.96   | 1.14%             | 2029-03-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.15000 06/17/20-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $140625.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1614894 | PA      | $-1627006.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2459266 | PA      | $-2469225.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                  | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR            | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   35500000 | PA      | $24817517.50   | 0.37%             | 2067-01-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                        | DOLP TRUST DOLP 2021 NYC F 144A                             | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23000000 | PA      | $16891657.70   | 0.25%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-2                                          | CONSECO FINANCE SECURITIZATION CNF 2002 2 M2                | CUSIP: 20846QJZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8085080 | PA      | $8168278.89    | 0.12%             | 2033-03-01      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX7                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4            | CUSIP: 74924TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7716266 | PA      | $6816552.84    | 0.10%             | 2036-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                                                    | PROFRAC HOLDINGS II LLC SR SECURED 144A 01/29 VAR           | CUSIP: 74319TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21822000 | PA      | $22367550.00   | 0.34%             | 2029-01-23      | Floating      | 11.54%                | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-27CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 27CB A7           | CUSIP: 02147YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205467 | PA      | $109286.43     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 10/29 5.5                  | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   18959000 | PA      | $15735970.00   | 0.24%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                            | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |    4729466 | PA      | $4303814.06    | 0.06%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3186710 | PA      | $-3190378.31   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                      | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A         | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2093124 | PA      | $2035654.12    | 0.03%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A F 144A                 | CUSIP: ACI2C6Q06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   23983000 | PA      | $32785738.54   | 0.49%             | 2062-10-16      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                              | FANNIEMAE WHOLE LOAN FNW 2003 W18 1IO2                      | CUSIP: 31393UNU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15753582 | PA      | $605643.33     | 0.01%             | 2043-08-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 1A1              | CUSIP: 05953LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2549421 | PA      | $2246927.22    | 0.03%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2018-2A                                             | ROCKFORD TOWER CLO LTD ROCKT 2018 2A SUB 144A               | CUSIP: 77342LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4966667 | PA      | $609683.51     | 0.01%             | 2031-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                  | HA SUSTAINABLE INF CAP COMPANY GUAR 07/34 6.375             | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1701130.08    | 0.03%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A         | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     256142 | PA      | $207889.97     | 0.00%             | 2036-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| AVENIR ISSUER IV (IRELAND) DESIGNATED ACTIVITY COMPANY                     | AVENIR ISSUER IV IRLND SR SECURED REGS 10/27 6              | CUSIP: ACI2S8C83<br>LEI: 894500E9CKDEAOMG0B46 | Long             | DBT              | NUSS              | IE        |    6937742 | PA      | $6507744.76    | 0.10%             | 2027-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                    | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                       | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     682024 | PA      | $561186.35     | 0.01%             | 2037-03-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                         | BX TRUST BX 2021 BXMF E 144A                                | CUSIP: 05609RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1212039 | PA      | $1211485.64    | 0.02%             | 2026-10-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2140289.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-9R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 9R 6A2 144A          | CUSIP: 12642HCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7961548 | PA      | $7432211.99    | 0.11%             | 2036-10-26      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                        | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3            | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26393555 | PA      | $18886995.90   | 0.28%             | 2037-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797RB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1466000 | PA      | $1449246.21    | 0.02%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CALI MORTGAGE TRUST 2019-101C                                              | CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A         | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14900000 | PA      | $14086172.43   | 0.21%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                 | BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111D 144A            | CUSIP: 05609MCQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7850000 | PA      | $7083178.25    | 0.11%             | 2055-02-17      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                  | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2              | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169317 | PA      | $144845.47     | 0.00%             | 2033-01-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                         | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4              | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2479340 | PA      | $861714.06     | 0.01%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-R1                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A         | CUSIP: 05953BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2131726 | PA      | $1746667.68    | 0.03%             | 2047-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2870726 | PA      | $-2878376.02   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                             | COUNTRYWIDE HOME LOANS CWHL 2005 15 A7                      | CUSIP: 12669GR37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28499 | PA      | $14701.90      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4363779 | PA      | $-4404151.63   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                                 | EXELA INTERMED/EXELA FIN SR SECURED 144A 04/26 11.5         | CUSIP: 30162RAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     624054 | PA      | $31202.70      | 0.00%             | 2026-04-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R6                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R6 M6              | CUSIP: 03072SG74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6360251 | PA      | $6110992.49    | 0.09%             | 2035-08-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A23          | CUSIP: 02146TAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213974 | PA      | $109457.47     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14692605 | PA      | $-14694808.83  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                    | FREDDIE MAC   STACR STACR 2021 DNA5 B2 144A                 | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2800000 | PA      | $3314187.80    | 0.05%             | 2034-01-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    7231362 | PA      | $2856388.05    | 0.04%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| PRPM 2025-3 LLC                                                            | PRP ADVISORS, LLC PRPM 2025 3 A1 144A                       | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     992565 | PA      | $998842.47     | 0.02%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A1              | CUSIP: 05946XHV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189962 | PA      | $139172.12     | 0.00%             | 2034-12-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                  | CAESARS ENTERTAINMENT INC COMMON STOCK                      | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |          2 | NS      | $56.78         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAYOU RE LTD                                                               | BAYOU RE LTD UNSECURED 144A 04/31 VAR                       | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $268900.00     | 0.00%             | 2031-04-30      | Floating      | 22.81%                | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                | URSA RE LTD UNSECURED 144A 02/28 VAR                        | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    3700000 | PA      | $3721830.00    | 0.06%             | 2028-02-22      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250828                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-199279.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING 06/60 0                           | CUSIP: ACI2S8XN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        145 | PA      | $2048172.47    | 0.03%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-12                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1              | CUSIP: 61755GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136134 | PA      | $44437.95      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 1 2014-1A                                             | SEGOVIA EUROPEAN CLO 1   2014 SEGOV 2014 1A SUB 144A        | CUSIP: ACI0QFG97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $541752.70     | 0.01%             | 2035-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                 | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10856 | PA      | $7821.20       | 0.00%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-31531.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4             | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     449330 | PA      | $176345.75     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A3               | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19916906 | PA      | $1843729.89    | 0.03%             | 2036-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 AF6              | CUSIP: 126670AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        392 | PA      | $389.27        | 0.00%             | 2036-02-25      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR1                                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1             | CUSIP: 81375WJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8814740 | PA      | $7401528.09    | 0.11%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                    | FREDDIE MAC FHR 5062 SC                                     | CUSIP: 3137F8UF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3124552 | PA      | $426750.41     | 0.01%             | 2051-01-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A3            | CUSIP: 761118PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     956317 | PA      | $829848.75     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $5423.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-1A                                             | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A                | CUSIP: 57109J108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33014 | PA      | $107758.06     | 0.00%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -27836142 | PA      | $-27868726.66  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-D                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 D M2              | CUSIP: 456606JQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1025572 | PA      | $801000.13     | 0.01%             | 2036-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SOLOSO CDO LTD 2007-1A                                                     | SOLOSO CDO LTD SLOSO 2007 1A A1LB 144A                      | CUSIP: 83438JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17418036 | PA      | $14195699.34   | 0.21%             | 2037-10-07      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO A 144A                  | CUSIP: 83410JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5670000 | PA      | $4495197.55    | 0.07%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2040804 | PA      | $-2404963.32   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                 | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4223455 | PA      | $2100198.36    | 0.03%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR1                                                       | GSAMP TRUST GSAMP 2004 AR1 M4                               | CUSIP: 36228F6S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1252521 | PA      | $1168085.77    | 0.02%             | 2034-06-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X1 144A          | CUSIP: ACI2S8TW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     378000 | PA      | $513582.68     | 0.01%             | 2060-06-20      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                               | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M3                 | CUSIP: 70069FHW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246988 | PA      | $245169.65     | 0.00%             | 2035-05-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                                       | NOBLE FINANCE II LLC COMPANY GUAR 144A 04/30 8              | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2853418.09    | 0.04%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE FUNDING 2008-1 PLC                                                | MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS                     | CUSIP: ACI1690J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $1374724.44    | 0.02%             | 2046-03-13      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2721762 | PA      | $-2741412.01   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-1A                                             | ROCKFORD TOWER CLO LTD ROCKT 2017 1A SUB 144A               | CUSIP: 77340FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22000000 | PA      | $8441130.50    | 0.13%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 2A1            | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1410391 | PA      | $1132459.22    | 0.02%             | 2037-05-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A             | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1992382 | PA      | $1806211.66    | 0.03%             | 2046-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| LONG WALK REINSURANCE LTD                                                  | LONG WALK REINSURANCE UNSECURED 144A 01/31 VAR              | CUSIP: 54289CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    5800000 | PA      | $5878880.00    | 0.09%             | 2031-01-30      | Floating      | 14.05%                | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A A1 144A                               | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  109166463 | PA      | $17874152.52   | 0.27%             | 2041-07-05      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST SERIES 2012-5                                     | KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A                 | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     536461 | PA      | $10884.80      | 0.00%             | 2038-04-25      | Variable      | 1.01%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2012-RR3                                                    | BCAP LLC TRUST BCAP 2012 RR3 2A8 144A                       | CUSIP: 05539BAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1375364 | PA      | $1229443.31    | 0.02%             | 2037-05-26      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2416060 | PA      | $-2425254.33   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4           | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4685812 | PA      | $4362004.22    | 0.07%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 2A2 144A         | CUSIP: 17324MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3662646 | PA      | $3509905.66    | 0.05%             | 2036-02-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| ABSLT DE 2024 LLC                                                          | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   57200000 | PA      | $58149806.57   | 0.88%             | 2033-05-20      | Floating      | 12.82%                | No            |                  3 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 12/28 8.5                           | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |  147719627 | PA      | $9971074.82    | 0.15%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 4A1              | CUSIP: 863579U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21347476 | PA      | $12147877.00   | 0.18%             | 2036-03-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | INTELSAT EMERGENCE SA CALL EXP17FEB27                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      10938 | NC      | $26260.86      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A2            | CUSIP: 02150PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4919615 | PA      | $4091251.68    | 0.06%             | 2037-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A       | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1064598.80    | 0.02%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG 25-2A                                                     | DEUTSCHE BANK AG CRFT 2025 2A CLN 144A                      | CUSIP: ACI2Y11S9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18900000 | PA      | $18900000.00   | 0.28%             | 2035-01-21      | Floating      | 11.56%                | No            |                  3 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG           | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $24000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                   | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1429652 | PA      | $1315371.84    | 0.02%             | 2034-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                                | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A           | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24507 | PA      | $1769319.10    | 0.03%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| INDYMAC HM EQ LN ASSET BACKED TR 2000-C                                    | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 C MF1             | CUSIP: 456606BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     459938 | PA      | $297235.01     | 0.00%             | 2031-12-25      | Variable      | 8.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $46772.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                             | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 12A1              | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2476227 | PA      | $936096.26     | 0.01%             | 2037-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10           | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1229071 | PA      | $977122.16     | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -3444987 | PA      | $-4062740.37   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SEC PLC                                                 | LANSDOWNE MORTGAGE SECURITIES LANSD 2 A2 REGS               | CUSIP: B1L1F5II6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    4414128 | PA      | $4962346.09    | 0.07%             | 2048-09-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18422286 | PA      | $-18441951.79  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                       | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 F 144A            | CUSIP: 78437XAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $911360.39     | 0.01%             | 2033-06-15      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2            | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     505052 | PA      | $504328.20     | 0.01%             | 2035-10-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-1                                              | SEQUOIA MORTGAGE TRUST SEMT 2004 1 A                        | CUSIP: 81744FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97548 | PA      | $87831.71      | 0.00%             | 2034-02-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3            | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1327042 | PA      | $1137283.17    | 0.02%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A8           | CUSIP: 02149VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3637117 | PA      | $1610872.63    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $24.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $76858.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR              | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    3980480 | PA      | $1990240.00    | 0.03%             | 2036-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1             | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |    4079279 | NS      | $1825971.95    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4074749 | PA      | $-4131668.99   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| DOGWOOD LLC                                                                | MARKET GARDEN EQTYQL9A8                                     | CUSIP: 902FLS002<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   78208859 | NS      | $76984655.65   | 1.16%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -900490 | PA      | $-1061920.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                       | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   12068002 | PA      | $13093380.58   | 0.20%             | 2046-06-21      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| J&J VENTURES GAMING LLC                                                    | J + J VENTURES GAMING LLC 2024 TERM LOAN                    | CUSIP: 46604BAG3<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |    9299725 | PA      | $9385270.66    | 0.14%             | 2028-04-26      | Floating      | 9.44%                 | No            |                  3 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000            | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     273336 | PA      | $265615.93     | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9301557 | PA      | $-9397889.69   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A1           | CUSIP: 12668BRW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2186144 | PA      | $1784920.51    | 0.03%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-10                                                         | FANNIE MAE FNR 2008 10 LI                                   | CUSIP: 31396YKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     594846 | PA      | $69306.29      | 0.00%             | 2038-03-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A8                | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255154 | PA      | $117743.35     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                             | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                     | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2688293 | PA      | $1226625.35    | 0.02%             | 2037-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24997423.91   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 07/32 5.875                       | CUSIP: ACI2W0QH0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   21200000 | PA      | $25226025.17   | 0.38%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3             | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15436253 | PA      | $10452433.42   | 0.16%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/26 6            | CUSIP: ACI2L7N56<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      23163 | PA      | $2848.35       | 0.00%             | 2026-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-10                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 10 2A1             | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     562397 | PA      | $595182.95     | 0.01%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 04/42 2.375           | CUSIP: ACI1LVZ52<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $90926.73      | 0.00%             | 2042-04-22      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MIZUHO SECURITIES                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -55420372 | PA      | $-55512323.77  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                   | BCAP LLC TRUST BCAP 2009 RR14 11A2 144A                     | CUSIP: 05532LBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5403265 | PA      | $4623713.03    | 0.07%             | 2037-04-26      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2634660 | PA      | $-2643833.98   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI XCP 144A                          | CUSIP: 92943AAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  515000000 | PA      | $2331945.75    | 0.04%             | 2037-07-05      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3287061 | PA      | $-3412622.97   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19194619 | PA      | $-19443764.90  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV D 144A           | CUSIP: 12660WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15850000 | PA      | $6139031.51    | 0.09%             | 2038-07-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                       | GSAMP TRUST GSAMP 2006 FM3 A2C                              | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3121646 | PA      | $1455744.75    | 0.02%             | 2036-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A      | CUSIP: 46645WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2615250.00    | 0.04%             | 2033-07-05      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A              | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9896142 | PA      | $9048849.10    | 0.14%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260521                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $62.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -37092517 | PA      | $-37115431.64  | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED REGS 06/27 10                            | CUSIP: P7354FAD8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   22703424 | PA      | $14783870.79   | 0.22%             | 2027-06-30      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -26240892 | PA      | $-26888021.42  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10381280 | PA      | $-10469681.92  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -28499378 | PA      | $-28587504.41  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                       | BX TRUST BX 2021 MC F 144A                                  | CUSIP: 05608GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5687443.20    | 0.09%             | 2034-04-15      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD AUD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5751.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                             | COUNTRYWIDE HOME LOANS CWHL 2005 24 A7                      | CUSIP: 126694JX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23253 | PA      | $12001.30      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1           | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332796 | PA      | $286133.32     | 0.00%             | 2047-03-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                            | GSR MORTGAGE LOAN TRUST GSR 2007 4F 4A1                     | CUSIP: 362669AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227575 | PA      | $51671.63      | 0.00%             | 2037-07-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR 1ST LIEN TERM LOAN   | CUSIP: BA000KZZ7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |  147517284 | PA      | $171161559.74  | 2.58%             | 2029-12-31      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1            | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1293072 | PA      | $902339.39     | 0.01%             | 2036-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD                              | PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A          | CUSIP: 74686PAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     697642 | PA      | $388070.86     | 0.01%             | 2038-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                               | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |   91639000 | PA      | $93673031.16   | 1.41%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2004-AA                                            | EMC MORTGAGE LOAN TRUST EMCM 2004 AA M2 144A                | CUSIP: 268668DE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1171727 | PA      | $1151930.34    | 0.02%             | 2042-04-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                            | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1                  | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     978469 | PA      | $565092.38     | 0.01%             | 2036-03-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R4                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R4 1A2 144A        | CUSIP: 05958SAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4326484 | PA      | $3621074.47    | 0.05%             | 2036-05-26      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B3 144A             | CUSIP: 59981TAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1532000 | PA      | $1071457.51    | 0.02%             | 2059-08-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 1A4A               | CUSIP: 225470M67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4043849 | PA      | $2110100.11    | 0.03%             | 2036-04-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1656666 | PA      | $-1696681.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI E 144A          | CUSIP: 12652FAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $420210.00     | 0.01%             | 2032-11-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2007-AC2                      | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC2 A2            | CUSIP: 073854AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8787277 | PA      | $7952576.86    | 0.12%             | 2037-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -95 | NC      | $289438.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M6             | CUSIP: 57643LHB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1706571 | PA      | $1566933.43    | 0.02%             | 2035-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                        | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5                 | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5547000 | PA      | $3772902.44    | 0.06%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7          | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     495642 | PA      | $204222.92     | 0.00%             | 2036-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 1A1               | CUSIP: 02660TEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2112579 | PA      | $1877804.51    | 0.03%             | 2045-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $151.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R5                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A           | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     997096 | PA      | $1036689.30    | 0.02%             | 2037-03-26      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST 2006-1                                                     | MID STATE TRUST MDST 2006 1 M2 144A                         | CUSIP: 59548PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1827158 | PA      | $1851074.72    | 0.03%             | 2040-10-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                       | VASA TRUST VASA 2021 VASA F 144A                            | CUSIP: 92230AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4435000 | PA      | $3438169.44    | 0.05%             | 2039-07-15      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -2288663 | PA      | $-2710609.94   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LN TRUST 2004-AR5                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR5 2A1B           | CUSIP: 45660NS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92665 | PA      | $84558.48      | 0.00%             | 2034-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ADLER FINANCING SA RL                                                      | ADLER FINANCING SARL SR SECURED 12/28 8.25                  | CUSIP: ACI2TFLX1<br>LEI: 213800BAQB59IVKP7S93 | Long             | DBT              | CORP              | LU        |   27779950 | PA      | $34359580.68   | 0.52%             | 2028-12-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                     | SOUTH COAST FUNDING SCF 5A B 144A                           | CUSIP: 84129VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3678131 | PA      | $1161119.65    | 0.02%             | 2039-08-06      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A         | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     579613 | PA      | $563189.71     | 0.01%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                                     | BIG COMMERCIAL MORTGAGE TRUST BIG 2022 BIG C 144A           | CUSIP: 05551UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485000 | PA      | $479666.94     | 0.01%             | 2039-02-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2901801 | PA      | $-3013634.49   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3            | CUSIP: 02149MAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2428393 | PA      | $902167.38     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED REGS 05/27 8            | CUSIP: BL5F4LII6<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |   40100000 | PA      | $17028513.47   | 0.26%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M5              | CUSIP: 64352VKX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066993 | PA      | $1051410.29    | 0.02%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                    | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17796000 | PA      | $18922844.50   | 0.29%             | 2041-10-25      | Floating      | 11.81%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 09/25 0.00000                                 | CUSIP: 912797MH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     803000 | PA      | $796839.91     | 0.01%             | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR15                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1           | CUSIP: 45660LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185422 | PA      | $166260.80     | 0.00%             | 2035-02-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 01/29 4.125                | CUSIP: ACI1RJK00<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $99400.15      | 0.00%             | 2029-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17568114.58   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1           | CUSIP: 12667F2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281718 | PA      | $126780.03     | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA 2022 EUR TERM LOAN                 | CUSIP: BA000G3F5<br>LEI: 969500I7C8V1LBIMSM05 | Long             | LON              | CORP              | FR        |    7589318 | PA      | $8716346.01    | 0.13%             | 2025-12-21      | Floating      | 3.15%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 DS              | CUSIP: 38375GSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     693255 | PA      | $34126.29      | 0.00%             | 2040-12-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 5A1              | CUSIP: 007037AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588700 | PA      | $656311.24     | 0.01%             | 2037-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2            | CUSIP: 073879V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20129 | PA      | $19976.19      | 0.00%             | 2034-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: BP7M6FII1<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     360191 | PA      | $543945.09     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1               | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26325643 | PA      | $2468092.23    | 0.04%             | 2036-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 2A5             | CUSIP: 761128AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4047568 | PA      | $939618.57     | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2005-R10                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R10 M5             | CUSIP: 03072ST21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3996000 | PA      | $3700908.19    | 0.06%             | 2036-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1                    | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115096 | PA      | $60046.23      | 0.00%             | 2035-11-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                            | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                  | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8059664 | PA      | $4355059.85    | 0.07%             | 2035-11-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3724107 | PA      | $-3762630.59   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                    | FREDDIE MAC FHR 5062 BS                                     | CUSIP: 3137F8TX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5650999 | PA      | $968843.40     | 0.01%             | 2051-01-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO5                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1             | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2570956 | PA      | $2019919.35    | 0.03%             | 2046-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                             | LIBERTY STREET TRUST LBTY 2016 225L E 144A                  | CUSIP: 902055AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4382500.00    | 0.07%             | 2036-02-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 12/16/15-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $381875.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-3Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1526227.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2560811 | PA      | $-2563821.56   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A             | CUSIP: 92927BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     336870 | PA      | $286881.45     | 0.00%             | 2047-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2241198 | PA      | $-3081571.56   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21101038 | PA      | $-21305616.15  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL   | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   15952850 | PA      | $15952849.66   | 0.24%             | 2026-11-03      | Floating      | 11.11%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6782408 | PA      | $-6795364.28   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-10H                                                   | LEHMAN XS TRUST LXS 2007 10H 1A3                            | CUSIP: 525237AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22505398 | PA      | $16023721.59   | 0.24%             | 2037-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $39231.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4             | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1878182 | PA      | $917085.74     | 0.01%             | 2037-04-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R2                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R2 1B 144A           | CUSIP: 61758VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231814 | PA      | $223381.49     | 0.00%             | 2035-09-26      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31437716 | PA      | $-31855855.44  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2021-HQA4                                          | FREDDIE MAC   STACR STACR 2021 HQA4 B2 144A                 | CUSIP: 35564KPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $529753.80     | 0.01%             | 2041-12-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-73                                                  | FANNIE MAE FNR 2008 73 SC                                   | CUSIP: 31397L6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     328265 | PA      | $24285.72      | 0.00%             | 2038-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A3             | CUSIP: 761119AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6248321 | PA      | $1621888.53    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                  | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       5000 | PA      | $1460.00       | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2009-4                                          | ASG RESECURITIZATION TRUST ASG 2009 4 M40 144A              | CUSIP: 00212MBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24534069 | PA      | $11313451.65   | 0.17%             | 2037-06-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SECURITIES NO.1 PLC                                     | LANSDOWNE MORTGAGE SECURITIES LANSD 1 M1 REGS               | CUSIP: B12GGNII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     900000 | PA      | $880569.47     | 0.01%             | 2045-06-15      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                                          | INEOS FINANCE PLC SR SECURED 144A 08/30 5.625               | CUSIP: ACI2TKLW2<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1607244.10    | 0.02%             | 2030-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| YELLOWSTONE ENERGY LP                                                      | YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75                 | CUSIP: 98580LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1107638 | PA      | $1092983.53    | 0.02%             | 2026-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4771385 | PA      | $3988877.94    | 0.06%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HARP FINCO LIMITED                                                         | HARP FINCO LIMITED GBP TERM LOAN                            | CUSIP: BA0008GH5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   19324286 | PA      | $26029117.19   | 0.39%             | 2032-03-27      | Floating      | 9.72%                 | No            |                  3 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4             | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7757038 | PA      | $2324998.48    | 0.04%             | 2046-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                             | COUNTRYWIDE HOME LOANS CWHL 2007 10 A18                     | CUSIP: 12545CAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141620 | PA      | $61845.43      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                           | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11              | CUSIP: 02660VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     302980 | PA      | $289610.27     | 0.00%             | 2035-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                     | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1               | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862742 | PA      | $827171.30     | 0.01%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-M1                                             | SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A                | CUSIP: 78447T103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36440 | PA      | $13090132.76   | 0.20%             | 2029-10-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP COMPANY GUAR REGS 04/27 4.375           | CUSIP: ACI1TXLK2<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $37500.00      | 0.00%             | 2027-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                         | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    4853248 | NS      | $5678300.16    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 09/25 0.00000                                 | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27357000 | PA      | $27125368.27   | 0.41%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                              | AMSURG EQUITY EQTYAS910                                     | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    3517243 | NS      | $158791798.48  | 2.39%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1546062 | PA      | $-2123560.95   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $49052.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C           | CUSIP: 17311BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11870838 | PA      | $4284921.30    | 0.06%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3           | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7797310 | PA      | $2097584.76    | 0.03%             | 2037-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1           | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20792631 | PA      | $7751226.62    | 0.12%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR              | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    3878798 | PA      | $1989823.37    | 0.03%             | 2035-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | ENDURANCE INTERNATIONAL GROUP NON COOP TERM LOAN            | CUSIP: 29279UAB2<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |   68105546 | PA      | $52441270.10   | 0.79%             | 2028-02-10      | Floating      | 7.93%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -76 | NC      | $350881.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2              | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240301 | PA      | $173537.46     | 0.00%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M6              | CUSIP: 126673YP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430349 | PA      | $421091.23     | 0.01%             | 2035-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR4                                                    | BCAP LLC TRUST BCAP 2010 RR4 6A12 144A                      | CUSIP: 05532XAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3027605 | PA      | $2138093.43    | 0.03%             | 2035-12-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                      | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B E 144A         | CUSIP: 63874EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5880000 | PA      | $3094897.43    | 0.05%             | 2037-04-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                       | LIFEPOINT HEALTH INC 2024 1ST LIEN TERM LOAN B              | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |   15240029 | PA      | $15101877.83   | 0.23%             | 2031-05-19      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9                      | JP MORGAN REREMIC JPMRR 2009 9 A2 144A                      | CUSIP: 46633XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859833 | PA      | $658975.26     | 0.01%             | 2036-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                     | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3             | CUSIP: 57643LRK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5778923 | PA      | $2107553.61    | 0.03%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2641470 | PA      | $-3112936.75   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19332791 | PA      | $-19370457.72  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4            | CUSIP: 16163EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     502582 | PA      | $270698.71     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -24832993 | PA      | $-25087470.76  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH E 144A       | CUSIP: 46654EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1824917.40    | 0.03%             | 2038-06-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                | COMEXPOSIUM 2019 EUR REVOLVER                               | CUSIP: 945BLZII6<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |    6309995 | PA      | $8845107.11    | 0.13%             | 2031-10-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31756879 | PA      | $-32055314.32  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 04/33 7.125           | CUSIP: ACI2ML877<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $186929.88     | 0.00%             | 2033-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS C 144A         | CUSIP: 61692AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453000 | PA      | $87218.45      | 0.00%             | 2036-12-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                             | WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A                   | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $794639.20     | 0.01%             | 2036-11-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 06/36 10.75            | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   84600000 | PA      | $1470410.94    | 0.02%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                 | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    9500000 | PA      | $9238750.00    | 0.14%             | 2031-12-19      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                               | BAYOU RE LTD UNSECURED 144A 04/31 VAR                       | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $263500.00     | 0.00%             | 2031-04-30      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA TERM B12                                   | CUSIP: F6628DAK0<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    2294133 | PA      | $2387170.02    | 0.04%             | 2026-02-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A5             | CUSIP: 75116BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1786348 | PA      | $1481639.54    | 0.02%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A X2 144A          | CUSIP: ACI2S8TS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     291000 | PA      | $389805.34     | 0.01%             | 2050-06-28      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-97.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR UNSECURED 144A 02/29 6          | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   37300000 | PA      | $21820500.00   | 0.33%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3                          | FREDDIE MAC   SCRT SCRT 2019 3 BXS                          | CUSIP: 35563PMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2124004 | PA      | $933523.03     | 0.01%             | 2058-10-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -80237 | PA      | $-80384.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1            | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6700863 | PA      | $6232689.10    | 0.09%             | 2035-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P G 144A         | CUSIP: 61772WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19500000 | PA      | $16428839.70   | 0.25%             | 2038-12-15      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                | URSA RE LTD UNSECURED 144A 12/28 VAR                        | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    6800000 | PA      | $7116880.00    | 0.11%             | 2028-12-07      | Floating      | 13.57%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 3A1             | CUSIP: 05949CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84100 | PA      | $81528.12      | 0.00%             | 2036-01-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 B5 144A               | CUSIP: 89178WAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3136019 | PA      | $2289188.81    | 0.03%             | 2060-01-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A Z 144A           | CUSIP: ACI2S8TP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3433000 | PA      | $3665750.24    | 0.06%             | 2050-06-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8000 | PA      | $2045080.26    | 0.03%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                        | STRATTON HAWKSMOOR PLC HWKSM 2022 1A F 144A                 | CUSIP: ACI27FLY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4300000 | PA      | $5829663.74    | 0.09%             | 2053-02-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS 2 LLC                                                      | CLOVER HOLDINGS 2 LLC TERM LOAN B                           | CUSIP: 18914DAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   28900000 | PA      | $28981209.00   | 0.44%             | 2031-12-09      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.PENAAA.07-1 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-24554.68     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                      | SCUR ALPHA 1503 GMBH EUR TERM LOAN B1                       | CUSIP: D7001LAB9<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |   16200000 | PA      | $18823465.25   | 0.28%             | 2030-03-29      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                   | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                      | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347022 | PA      | $307713.05     | 0.00%             | 2036-07-26      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| KENYA GOVT                                                                 | REPUBLIC OF KENYA SR UNSECURED 144A 03/36 9.5               | CUSIP: 491798AN4<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    1600000 | PA      | $1511177.18    | 0.02%             | 2036-03-05      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDINGS LLC                                             | JEFFERSON CAPITAL HOLDIN COMPANY GUAR 144A 08/26 6          | CUSIP: 472481AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5293000 | PA      | $5283792.19    | 0.08%             | 2026-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR              | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    2262170 | PA      | $877721.96     | 0.01%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A              | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16175734 | PA      | $16154726.91   | 0.24%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-123.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2236538 | PA      | $-2242187.33   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                   | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     916489 | PA      | $1048887.06    | 0.02%             | 2050-12-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 06/32 8.625       | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7900000 | PA      | $7986963.20    | 0.12%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875            | CUSIP: ACI1S6R75<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     800000 | PA      | $62456.00      | 0.00%             | 2030-10-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1095016 | PA      | $-1106593.97   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4740.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 1A              | CUSIP: 59023CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     817281 | PA      | $771874.78     | 0.01%             | 2036-05-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-5R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 5R 2A4 144A          | CUSIP: 12641TAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2377982 | PA      | $2156817.75    | 0.03%             | 2036-06-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3990103 | PA      | $-4018858.50   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $28783.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-3                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A         | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     802216 | PA      | $531835.62     | 0.01%             | 2037-11-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                      | SCURALPHA 1503 GMBH USD TERM LOAN B1                        | CUSIP: D7001LAC7<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |   61785194 | PA      | $58506871.14   | 0.88%             | 2030-03-29      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B3 144A               | CUSIP: 59980YAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3614777 | PA      | $2491167.23    | 0.04%             | 2066-04-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                    | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M4               | CUSIP: 00764MFU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2225000 | PA      | $343661.49     | 0.01%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                            | LAVENDER TRUST LTS 2010 RR2A A4 144A                        | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3393417 | PA      | $1538275.03    | 0.02%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-494.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3             | CUSIP: 542514RL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16327871 | PA      | $14077347.04   | 0.21%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 9A1              | CUSIP: 05954DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321002 | PA      | $254560.77     | 0.00%             | 2037-09-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.2* 9/12/23-26Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6386741.56    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 1A            | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2211448 | PA      | $1860303.54    | 0.03%             | 2046-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI2 144A       | CUSIP: 760985X97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1737782 | PA      | $1791112.50    | 0.03%             | 2034-04-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC TERM LOAN                               | CUSIP: BA000FPP1<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    9963633 | PA      | $9780834.23    | 0.15%             | 2032-01-30      | Fixed         | 9.13%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2129040 | PA      | $-2150317.98   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A38             | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21639 | PA      | $20152.13      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST 2010-RR1A                                                   | LAVENDER TRUST LTS 2010 RR1A A4 144A                        | CUSIP: 519440DG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5485963 | PA      | $5287440.40    | 0.08%             | 2036-11-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250717                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3741.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                      | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A        | CUSIP: 87331BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9755733 | PA      | $8877717.08    | 0.13%             | 2036-08-05      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.85000 12/21/22-16Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $300931.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2003-RS7                                    | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS7 MII1           | CUSIP: 760985YC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270445 | PA      | $268761.24     | 0.00%             | 2033-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC DELAYED DRAW TERM LOAN                       | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    2808952 | PA      | $2837041.49    | 0.04%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 3181                                                           | FREDDIE MAC FHR 3181 PS                                     | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     787431 | PA      | $79040.23      | 0.00%             | 2036-07-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                           | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                   | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1005919 | PA      | $308138.34     | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -24930929 | PA      | $-25165806.24  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-OPT1                                      | MASTR ASSET BACKED SECURITIES MABS 2005 OPT1 M6             | CUSIP: 57643LHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     763116 | PA      | $597156.49     | 0.01%             | 2035-03-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 2A2 144A        | CUSIP: 05955DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1186013 | PA      | $1185847.38    | 0.02%             | 2035-06-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19710332 | PA      | $-19982773.58  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4729474 | PA      | $-4732395.70   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20290702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $19124.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-11                                                    | LEHMAN XS TRUST LXS 2006 11 2A4                             | CUSIP: 52522WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150866 | PA      | $163928.71     | 0.00%             | 2046-06-24      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M4              | CUSIP: 03072SK38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1555639.52    | 0.02%             | 2035-09-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                    | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D            | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258917 | PA      | $132399.53     | 0.00%             | 2037-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR2                          | SECURITIZED ASSET BACKED RECEI SABR 2007 BR2 A2             | CUSIP: 81378PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209386 | PA      | $92555.82      | 0.00%             | 2037-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                             | LIBERTY STREET TRUST LBTY 2016 225L D 144A                  | CUSIP: 902055AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2541000 | PA      | $2251326.00    | 0.03%             | 2036-02-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-2Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2562177.79   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1310238 | PA      | $-1319611.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-6                                                     | LEHMAN XS TRUST LXS 2007 6 3A6                              | CUSIP: 52524PAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5594886 | PA      | $4755306.48    | 0.07%             | 2037-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M6                 | CUSIP: 61744CNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     926731 | PA      | $818517.74     | 0.01%             | 2035-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2015-RR6                                                    | BCAP LLC TRUST BCAP 2015 RR6 2A2 144A                       | CUSIP: 05490QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23036502 | PA      | $7010597.25    | 0.11%             | 2036-01-26      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8341358 | PA      | $-8453334.02   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A B 144A                                | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1690000 | PA      | $169.00        | 0.00%             | 2041-07-05      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $110971.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD PEN BOUGHT USD 20250711                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-24425.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                      | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   22170889 | NS      | $20983615.54   | 0.32%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL CHEPLAPHARM ARZNEIMITTEL           | CUSIP: ACI2Y4GV0<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |    3500000 | PA      | $4155268.89    | 0.06%             | 2031-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A            | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     643092 | PA      | $525109.03     | 0.01%             | 2036-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                               | BEAR STEARNS ALT A TRUST BALTA 2005 3 1A1                   | CUSIP: 07386HRU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99345 | PA      | $90937.95      | 0.00%             | 2035-04-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                           | BEAR STEARNS ALT A TRUST BALTA 2006 R1 4E22                 | CUSIP: 073866BH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45312796 | PA      | $19508599.52   | 0.29%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-62417.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14             | CUSIP: 74958YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321542 | PA      | $247398.81     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-WMC1                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 WMC1 M4           | CUSIP: 46626LBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2077896.13    | 0.03%             | 2035-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625            | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    3000000 | PA      | $2100000.00    | 0.03%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2001-3                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 M1              | CUSIP: 07384YBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1014 | PA      | $3822.66       | 0.00%             | 2032-10-27      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                               | DBGS MORTGAGE TRUST DBGS 2018 5BP B 144A                    | CUSIP: 33830CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1483100.00    | 0.02%             | 2033-06-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                     | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1300000 | PA      | $32789.15      | 0.00%             | 2026-08-19      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C          | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80921 | PA      | $59870.98      | 0.00%             | 2046-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19612257 | PA      | $-19815086.86  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M5               | CUSIP: 00764MFF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $881899.20     | 0.01%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS6 A62            | CUSIP: 75116CCP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36886 | PA      | $29961.34      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A           | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $902477.70     | 0.01%             | 2038-07-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M5              | CUSIP: 126673YN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131630 | PA      | $130953.89     | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | JPM CHASE REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -11259433 | PA      | $-15466090.53  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 C 144A           | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1760000 | PA      | $1736749.17    | 0.03%             | 2038-05-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CLOVER HOLDINGS SPV III L TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $330721.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 XA 144A               | CUSIP: 89178WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     817809 | PA      | $756843.05     | 0.01%             | 2060-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B                | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |   48100000 | PA      | $55667886.24   | 0.84%             | 2032-04-26      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                            | BEAR STEARNS ALT A TRUST BALTA 2005 4 22A1                  | CUSIP: 07386HTP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85870 | PA      | $83804.55      | 0.00%             | 2035-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                    | REACH FINANCIAL LLC REACH 2025 1A B 144A                    | CUSIP: 75525PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $502552.50     | 0.01%             | 2032-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN                | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    3528406 | PA      | $3528406.34    | 0.05%             | 2029-12-23      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A5           | CUSIP: 02148FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     821428 | PA      | $680521.32     | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A15          | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96053 | PA      | $62015.47      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B6 144A               | CUSIP: 59980XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1289245 | PA      | $632674.41     | 0.01%             | 2058-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION (CLUE OPCO LLC)                                    | FORWARD AIR CORPORATION TERM LOAN B                         | CUSIP: 18948EAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   78209153 | PA      | $77870898.74   | 1.17%             | 2030-12-19      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M5             | CUSIP: 57643LHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1429777 | PA      | $1427433.49    | 0.02%             | 2035-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| UCFC HOME EQUITY LOAN 1998-D                                               | UCFC HOME EQUITY LOAN UCFC 1998 D MF2                       | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271300 | PA      | $274020.10     | 0.00%             | 2030-04-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B6 144A               | CUSIP: 59980YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2418595 | PA      | $1169728.79    | 0.02%             | 2066-04-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| EUROMAX-V                                                                  | EUROMAX EUMAX V A2 REGS                                     | CUSIP: G3233MAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2650817 | PA      | $3010667.86    | 0.05%             | 2095-11-10      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                              | BSST MORTGAGE TRUST BSST 2021 1818 E 144A                   | CUSIP: 07403PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $2104567.20    | 0.03%             | 2036-03-15      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR              | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    3223001 | PA      | $1675960.52    | 0.03%             | 2034-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3105.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6508805 | PA      | $3417122.64    | 0.05%             | 2025-06-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A1            | CUSIP: 16162WQH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2538927 | PA      | $2312781.07    | 0.03%             | 2036-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                       | GSAMP TRUST GSAMP 2007 FM2 A2B                              | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712792 | PA      | $429712.49     | 0.01%             | 2037-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-59742.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                     | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 E 144A           | CUSIP: 39571XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $511119.50     | 0.01%             | 2059-10-27      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $38744.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                          | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A                 | CUSIP: 452570AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1750 | PA      | $1451.31       | 0.00%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2005-WF1                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2005 WF1 M5             | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264370 | PA      | $264042.65     | 0.00%             | 2034-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 22A2          | CUSIP: 07387UCY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227718 | PA      | $124020.91     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10            | CUSIP: 05950LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57575 | PA      | $49154.49      | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B4              | CUSIP: 41161PSY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714298 | PA      | $636783.83     | 0.01%             | 2035-06-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1B                  | CUSIP: 1266944K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287291 | PA      | $267939.98     | 0.00%             | 2036-05-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON A 144A        | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3360000 | PA      | $3089398.70    | 0.05%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VIALTO PARTNERS (GALAXY US OPCO INC)                                       | GALAXY US OPCO INC. TERM LOAN                               | CUSIP: 36321DAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   39317361 | PA      | $36737159.12   | 0.55%             | 2030-07-31      | Fixed         | 10.03%                | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 B 144A           | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2120000 | PA      | $2106868.51    | 0.03%             | 2038-05-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 9                                                   | SEQUOIA MORTGAGE TRUST SEMT 9 2A                            | CUSIP: 81743SAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158738 | PA      | $153601.85     | 0.00%             | 2032-09-20      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A             | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        176 | PA      | $1980537.17    | 0.03%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3              | CUSIP: 362341QT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5832560 | PA      | $5377773.66    | 0.08%             | 2035-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                             | GRAY TELEVISION INC 2024 TERM LOAN B                        | CUSIP: 389376BC7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |   11982578 | PA      | $11998634.16   | 0.18%             | 2029-05-23      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC1 M3              | CUSIP: 126670XT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8762000 | PA      | $8259140.95    | 0.12%             | 2036-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS LLC 2025 EXCHNG 1ST OUT TERM LOAN  | CUSIP: 55328HAP6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |    1006861 | PA      | $993771.35     | 0.01%             | 2030-12-31      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12A3           | CUSIP: 161630BZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     805370 | PA      | $782139.20     | 0.01%             | 2037-03-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR11                                                   | BCAP LLC TRUST BCAP 2013 RR11 4A2 144A                      | CUSIP: 05542XAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3076531 | PA      | $2608089.30    | 0.04%             | 2036-05-26      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 1A1            | CUSIP: 933634AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203176 | PA      | $170802.83     | 0.00%             | 2037-03-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -27048090 | PA      | $-27048197.54  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                             | CUSIP: ACI2MY5W7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1060000 | PA      | $1189967.16    | 0.02%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EUTELSAT SA SNR SE SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $9559.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 XA 144A               | CUSIP: 89178BBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5365157 | PA      | $4547118.15    | 0.07%             | 2059-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 02/27 5.875                | CUSIP: ACI13Z7Z8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $319075.44     | 0.00%             | 2027-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -767995 | PA      | $-769467.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HILLCREST CDO I LTD 2004-1A                                                | HILLCREST CDO LTD HILLC 2004 1A A1A 144A                    | CUSIP: 43147XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32572913 | PA      | $5719673.21    | 0.09%             | 2039-12-10      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R3                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R3 M2              | CUSIP: 03072SQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132507 | PA      | $130827.01     | 0.00%             | 2034-05-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                            | PARK AVENUE TRUST PRKAV 2017 245P E 144A                    | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8861000 | PA      | $8296233.53    | 0.13%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                        | SAXON ASSET SECURITIES TRUST SAST 2004 1 M2                 | CUSIP: 805564PP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5095850 | PA      | $2840652.98    | 0.04%             | 2035-03-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY                              | MICHIGAN ST TOBACCO SETTLEMENT MISGEN 06/46 ZEROCPNOID 0    | CUSIP: 594751AL3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   23000000 | PA      | $3006318.50    | 0.05%             | 2046-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   13800000 | PA      | $9285675.00    | 0.14%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                        | SVB FINL TR                                                 | CUSIP: 000000000<br>LEI: 549300D2KJ20JMXE7542 | Long             | EP               | CORP              | US        |     167720 | NS      | $3354.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -35186360 | PA      | $-35286318.24  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATEGIC GAMING MANAGEMENT LLC                                            | STRATEGIC GAMING COMMITMENT PIK TERM LOAN                   | CUSIP: BA000LSD2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   21000000 | PA      | $21007857.15   | 0.32%             | 2030-06-17      | Fixed         | 12.59%                | No            |                  3 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 F 144A                   | CUSIP: 20048FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4377784.75    | 0.07%             | 2038-12-15      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260528                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-463.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20290502                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $157519.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | VERITAS US INC TL TRS BKL BPS                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1109746.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                  | SEQUOIA MORTGAGE TRUST SEMT 10 B1                           | CUSIP: 81743VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67532 | PA      | $57755.12      | 0.00%             | 2027-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)                                 | DESARROLLADORA HOMEX SAB DE COMMON STOCK                    | CUSIP: B01RQ2907<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     719113 | NS      | $38.32         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8514450 | PA      | $-10041366.44  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                             | CUSIP: ACI2MY762<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2620000 | PA      | $3099810.11    | 0.05%             | 2031-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2142956.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 12.015 03/17/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-2757646.07   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/29 7            | CUSIP: ACI2L7QV6<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      70162 | PA      | $8770.25       | 0.00%             | 2029-09-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP TERM LOAN B                                    | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |   52902084 | PA      | $46851408.31   | 0.71%             | 2028-02-01      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 1A            | CUSIP: 939336G23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59507 | PA      | $55307.53      | 0.00%             | 2033-06-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M5                 | CUSIP: 70069FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1194876 | PA      | $1062577.59    | 0.02%             | 2034-10-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR B1             | CUSIP: 61748HHP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134425 | PA      | $118042.71     | 0.00%             | 2035-01-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2024-2                          | FREDDIE MAC   SCRT SCRT 2024 2 BXS 144A                     | CUSIP: 35563PYJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3990247 | PA      | $1988246.64    | 0.03%             | 2064-05-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2002-AR1                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 AR1 M2             | CUSIP: 03072SDC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1147647 | PA      | $1029332.60    | 0.02%             | 2032-09-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -21016478 | PA      | $-28901977.27  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTION BV                                               | YINSON BORONIA PRODUCTIO SR SECURED 144A 07/42 8.947        | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |    9515328 | PA      | $10138927.77   | 0.15%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5           | CUSIP: 12668AFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1354468 | PA      | $747018.62     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2010-2                                          | ASG RESECURITIZATION TRUST ASG 2010 2 M30 144A              | CUSIP: 001990BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7233891 | PA      | $6101135.98    | 0.09%             | 2037-01-28      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20250903                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3053.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3311                                                           | FREDDIE MAC FHR 3311 EI                                     | CUSIP: 31397H6H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36387 | PA      | $2906.18       | 0.00%             | 2037-05-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS              | CUSIP: 38381BGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2363516 | PA      | $241698.39     | 0.00%             | 2048-12-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                        | IMPAC CMB TRUST IMM 2005 7 A1                               | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71691 | PA      | $63877.65      | 0.00%             | 2035-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 E 144A          | CUSIP: 55284DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $466196.59     | 0.01%             | 2034-12-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2           | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2010330 | PA      | $1323559.56    | 0.02%             | 2037-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                               | FANNIE MAE   CAS CAS 2022 R01 1B2 144A                      | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1155679.36    | 0.02%             | 2041-12-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR TERM LOAN            | CUSIP: BA000KZY0<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |    9801770 | PA      | $11603731.34   | 0.17%             | 2029-06-29      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $45.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A            | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475541 | PA      | $435667.64     | 0.01%             | 2036-11-19      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4283838 | PA      | $-4288478.20   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5860800 | PA      | $-5907129.62   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                | PALM RE LTD UNSECURED 144A 06/31 VAR                        | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $256500.00     | 0.00%             | 2031-06-09      | Floating      | 13.79%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX LCDS SP DUB                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $15271.86      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO GBP ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -10578710 | PA      | $-14613083.02  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -44075004 | PA      | $-44713724.64  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 06/48 4.625           | CUSIP: ACI025FP0<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $547460.50     | 0.01%             | 2048-06-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII1 144A      | CUSIP: 760985Y88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859847 | PA      | $862342.48     | 0.01%             | 2034-04-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18227000 | PA      | $-18362512.68  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                        | NATURE COAST RE LTD UNSECURED 144A 12/30 VAR                | CUSIP: 63901CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     824000 | PA      | $842581.20     | 0.01%             | 2030-12-07      | Floating      | 14.30%                | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B10                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B10 3CCA 144A           | CUSIP: 08162VBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13630000 | PA      | $10183650.41   | 0.15%             | 2062-03-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INVEST TR 2004-2                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2004 2 M1                | CUSIP: 02660TBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7145930 | PA      | $6711728.27    | 0.10%             | 2044-02-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 G 144A          | CUSIP: 55284DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2688006.75    | 0.04%             | 2034-12-15      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B2 144A             | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2924000 | PA      | $2196255.58    | 0.03%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 06/29 8.75                 | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   11420000 | PA      | $11838697.40   | 0.18%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A2            | CUSIP: 02150DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3269486 | PA      | $2450072.08    | 0.04%             | 2047-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| QLIK TECHNOLOGIES (PROJECT ALPHA INTERMEDIATE HOLDING INC)                 | PROJECT ALPHA INTERME HLDG INC 2025 2ND LIEN INC TL         | CUSIP: BA000BKS9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3500000 | PA      | $3486875.00    | 0.05%             | 2033-05-09      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8            | CUSIP: ACI0Z2W07<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    2423190 | PA      | $1156031.34    | 0.02%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-14H                                                   | LEHMAN XS TRUST LXS 2007 14H A12                            | CUSIP: 52525LAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3348668 | PA      | $3090716.58    | 0.05%             | 2047-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -673219 | PA      | $-680656.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11897562 | PA      | $-11931866.21  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5883264 | PA      | $-5896048.51   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.50 9/20/23-25Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $827231.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                     | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |  110488335 | PA      | $105193734.16  | 1.59%             | 2027-05-13      | Floating      | 11.30%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | INTELSAT EMERGENCE SA CALL EXP 17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       2895 | NC      | $1643.07       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 01/34 1.25            | CUSIP: ACI236111<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $227937.66     | 0.00%             | 2034-01-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X RESD REGS                        | CUSIP: B2428WII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       5718 | PA      | $776010.83     | 0.01%             | 2045-06-13      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                        | CORONADO CDO LTD CORON 1A B2 144A                           | CUSIP: 21976RAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3640389 | PA      | $1130413.61    | 0.02%             | 2038-09-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 1A2          | CUSIP: 02148KAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     727771 | PA      | $431874.87     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A1            | CUSIP: 45667WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86583 | PA      | $82207.41      | 0.00%             | 2036-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -86470562 | PA      | $-86569262.22  | -1.31%            |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC LAST OUT TERM LOAN                           | CUSIP: BA000D206<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |   12691048 | PA      | $12817958.51   | 0.19%             | 2031-01-03      | Floating      | 8.82%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 KS                                     | CUSIP: 3137FUS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     869139 | PA      | $104266.30     | 0.00%             | 2050-06-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                       | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3              | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19773212 | PA      | $10261148.17   | 0.15%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HUF BOUGHT USD 20250822                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-1609.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                   | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1749660 | PA      | $1905227.50    | 0.03%             | 2050-12-15      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A1A           | CUSIP: 17311WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149431 | PA      | $152324.79     | 0.00%             | 2037-03-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-4                                               | LEHMAN MORTGAGE TRUST LMT 2006 4 1A1                        | CUSIP: 52520RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413591 | PA      | $313143.50     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20250822                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-3120.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3               | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M5            | CUSIP: 04541GQY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90707 | PA      | $96834.64      | 0.00%             | 2035-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A1                  | CUSIP: 46628KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154185 | PA      | $126232.63     | 0.00%             | 2036-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                   | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528      | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     771310 | PA      | $773762.28     | 0.01%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 AIOS 144A     | CUSIP: 617941AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   57861504 | PA      | $343214.19     | 0.01%             | 2070-01-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2            | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432412 | PA      | $397076.82     | 0.01%             | 2037-07-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN C                 | CUSIP: 944ZQDII8<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    1000000 | PA      | $881807.97     | 0.01%             | 2029-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17712745 | PA      | $-17926576.82  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 04/46 7.75            | CUSIP: ACI2ML745<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $375087.82     | 0.01%             | 2046-04-30      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A5          | CUSIP: 02146XAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     666936 | PA      | $261455.04     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2010-1A                                    | MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A          | CUSIP: 61911BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1124384 | PA      | $1061357.62    | 0.02%             | 2060-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3027.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15604007 | PA      | $-15621211.12  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 2 X 144A                | CUSIP: 89177JAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  512063577 | PA      | $51.21         | 0.00%             | 2058-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3              | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3152205 | PA      | $731760.99     | 0.01%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.AA.06-1 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-304851.23    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $57.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5860822 | PA      | $-5893984.44   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR C 144A           | CUSIP: 12564NAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2020000 | PA      | $1947800.76    | 0.03%             | 2038-11-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A9                         | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     288189 | PA      | $261739.78     | 0.00%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                           | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3200000 | PA      | $3340640.00    | 0.05%             | 2026-06-08      | Floating      | 21.31%                | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A2 144A        | CUSIP: 69363JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2132560 | PA      | $2131992.18    | 0.03%             | 2051-07-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-4CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 4CB 1A6           | CUSIP: 12668BPS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169504 | PA      | $79076.09      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1            | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7725725 | PA      | $5370495.88    | 0.08%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                        | DOLP TRUST DOLP 2021 NYC D 144A                             | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5173966.80    | 0.08%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A G 144A                                 | CUSIP: ACI2JTMY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2676000 | PA      | $3497966.82    | 0.05%             | 2049-12-28      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A9             | CUSIP: 05950LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     474476 | PA      | $397944.53     | 0.01%             | 2036-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 1A1             | CUSIP: 07384MW40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14476 | PA      | $14198.86      | 0.00%             | 2034-09-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.715 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-87861.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1AN 144A                        | CUSIP: 83743YAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  158546223 | PA      | $29110989.13   | 0.44%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                                     | FIRST BRANDS 2021 TERM LOAN                                 | CUSIP: 31935HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1390569 | PA      | $1317613.17    | 0.02%             | 2027-03-30      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $312000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED REGS 03/30 5.25                        | CUSIP: ACI2TMWB2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   15000000 | PA      | $18062754.14   | 0.27%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5             | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6572788 | PA      | $5365616.77    | 0.08%             | 2047-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                            | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR                 | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $518225.00     | 0.01%             | 2031-05-07      | Floating      | 14.55%                | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                              | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $494775.00     | 0.01%             | 2032-03-13      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                    | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                     | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3301422 | PA      | $3177618.25    | 0.05%             | 2036-07-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                                      | COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR                 | CUSIP: 20453QAA0<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |    1900000 | NS      | $1848055.33    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN                | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   27571594 | PA      | $27571593.66   | 0.42%             | 2029-12-23      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3435765 | PA      | $-3442405.21   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |   10500000 | PA      | $10072688.85   | 0.15%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                               | HUDSON PACIFIC PROPERTIE COMPANY GUAR 02/28 5.95            | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195188.64     | 0.00%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -147581 | PA      | $-148811.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   76360418 | PA      | $54397252.77   | 0.82%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6714879 | PA      | $-6811153.23   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A        | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $1897918.10    | 0.03%             | 2037-07-15      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A8            | CUSIP: 02149MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7881282 | PA      | $2927959.31    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 XS 144A               | CUSIP: 59980XAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   45977238 | PA      | $206028.60     | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS LLC                                               | SIERRA HAMILTON HOLDER LLC                                  | CUSIP: 932BTZ902<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   30337712 | NS      | $3033.77       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4876230 | PA      | $-5751980.67   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20250822                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-30239.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-111                                                 | FANNIE MAE FNR 2017 111 AI                                  | CUSIP: 3136B0KK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3571366 | PA      | $799710.16     | 0.01%             | 2048-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/28 VAR                   | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     800000 | PA      | $807040.00     | 0.01%             | 2028-06-06      | Floating      | 16.57%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2304.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                               | BEAR STEARNS ALT A TRUST BALTA 2005 2 1M2                   | CUSIP: 07386HQT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5428234 | PA      | $4623352.01    | 0.07%             | 2035-03-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME A 144A        | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9226900.00    | 0.14%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR               | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    2756138 | PA      | $2590567.17    | 0.04%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-1R                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 1R 2A2 144A          | CUSIP: 12640XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5701196 | PA      | $5195742.90    | 0.08%             | 2035-04-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A3             | CUSIP: 23242NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3529607 | PA      | $2991947.66    | 0.05%             | 2036-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1             | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510419 | PA      | $281917.63     | 0.00%             | 2036-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31950371 | PA      | $-32254572.57  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A       | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4142478 | PA      | $2496906.98    | 0.04%             | 2037-06-27      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1            | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52579 | PA      | $48840.33      | 0.00%             | 2035-11-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                              | STEINHOFF CVR                                               | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |  299163217 | NS      | $352.40        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR13                                       | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR13 A2           | CUSIP: 94984DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2603 | PA      | $2558.22       | 0.00%             | 2036-09-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1            | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55951 | PA      | $56312.06      | 0.00%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $16766562.94   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5                | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11413135 | PA      | $2429382.72    | 0.04%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -5649616 | PA      | $-6661141.16   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B            | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     584418 | PA      | $516739.93     | 0.01%             | 2037-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 A R 144A            | CUSIP: 78450FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5200 | PA      | $4498194.69    | 0.07%             | 2054-11-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10236385 | PA      | $-10344617.71  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-43.51        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $23925086.48   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A3            | CUSIP: 933634AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1325021 | PA      | $1176087.97    | 0.02%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A1 144A                               | CUSIP: 26827EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     578939 | PA      | $497867.89     | 0.01%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -17357696 | PA      | $-24059398.30  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                               | ALAMO RE LTD UNSECURED 144A 06/27 VAR                       | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |    1250000 | PA      | $1304375.00    | 0.02%             | 2027-06-07      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2489734 | PA      | $-2936095.88   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                    | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2             | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3238186 | PA      | $1814106.90    | 0.03%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP E 144A       | CUSIP: 46651WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $168201.00     | 0.00%             | 2038-12-05      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -133862378 | PA      | $-133962588.84 | -2.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                               | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A        | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3184402 | PA      | $2116388.24    | 0.03%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                       | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN C 144A       | CUSIP: 19521DAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    2000000 | PA      | $1425195.52    | 0.02%             | 2052-01-25      | Fixed         | 7.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR8                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 1A2A           | CUSIP: 17313FAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1628550 | PA      | $60174.92      | 0.00%             | 2037-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AIM AVIATION FINANCE LIMITED 2015-1A                                       | DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A          | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     974648 | PA      | $930808.00     | 0.01%             | 2040-02-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1             | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     896454 | PA      | $409740.21     | 0.01%             | 2045-06-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1            | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1183536 | PA      | $1042833.04    | 0.02%             | 2047-06-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| COHESITY INC                                                               | CLOVER 2024 HOLDINGS INC VERITAS G PREFERRED                | CUSIP: 955EHZ901<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |      93325 | NS      | $1649618.21    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 11/31 4.625                       | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    4800000 | PA      | $4057668.96    | 0.06%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-5                                           | CONSECO FINANCIAL CORP GT 1999 5 A6                         | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5915373 | PA      | $1677269.68    | 0.03%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1610440 | PA      | $-1627816.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.87 03/22/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-183322.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 10/25 3.125            | CUSIP: ACI1S6K23<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    1200000 | PA      | $91260.00      | 0.00%             | 2025-10-22      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5092840 | PA      | $-5104224.86   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR10-I                                                 | BCAP LLC TRUST BCAP 2012 RR10 1A2 144A                      | CUSIP: 05541HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6878335 | PA      | $5525060.10    | 0.08%             | 2037-02-26      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 AIOS 144A     | CUSIP: 61775UAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  200821176 | PA      | $720174.86     | 0.01%             | 2068-12-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-985.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                   | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3360000 | PA      | $2829546.38    | 0.04%             | 2038-12-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                          | FREDDIE MAC   SCRT SCRT 2021 3 M 144A                       | CUSIP: 35563P6P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $632306.78     | 0.01%             | 2061-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                    | BCAP LLC TRUST BCAP 2010 RR2 7A4 144A                       | CUSIP: 05532VBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1915231 | PA      | $1608552.37    | 0.02%             | 2036-06-26      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                   | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                     | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14966276 | PA      | $11190741.28   | 0.17%             | 2046-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-20330.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-1                                          | CONSECO FINANCE SECURITIZATION CNF 2002 1 M2                | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4723140 | PA      | $4643159.04    | 0.07%             | 2033-12-01      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                       | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |    2351000 | PA      | $2121048.69    | 0.03%             | 2027-09-01      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                         | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487         | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $192170.96     | 0.00%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13363542 | PA      | $-13390180.13  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                            | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A      | CUSIP: 52607QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1700000 | PA      | $233070.26     | 0.00%             | 2028-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-5                                               | LEHMAN MORTGAGE TRUST LMT 2006 5 1A12                       | CUSIP: 52520TAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323885 | PA      | $148822.48     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                      | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4              | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1553000 | PA      | $1426416.52    | 0.02%             | 2035-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M5              | CUSIP: 64352VKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     813347 | PA      | $798576.09     | 0.01%             | 2035-03-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA INTERMEDIATE II SR SECURED 144A 01/30 VAR            | CUSIP: 45338XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   68987606 | PA      | $68987606.00   | 1.04%             | 2030-01-31      | Fixed         | 12.35%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $26302.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                       | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A3          | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3309 | PA      | $3060.96       | 0.00%             | 2036-10-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV E 144A           | CUSIP: 12660WAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13700000 | PA      | $1677299.22    | 0.03%             | 2038-07-15      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2X1            | CUSIP: 12668ATW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2512717 | PA      | $188855.67     | 0.00%             | 2035-12-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B5 144A               | CUSIP: 59980YAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2905605 | PA      | $1564916.36    | 0.02%             | 2066-04-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1             | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156304 | PA      | $143125.68     | 0.00%             | 2034-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                          | MNSN HOLDINGS INC COMMON STOCK                              | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      25645 | NS      | $102580.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| TDA FTA 28                                                                 | TITULIZACION DE ACTIVOS TDA 28 A REGS                       | CUSIP: B241Q4II4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    7368141 | PA      | $4533234.62    | 0.07%             | 2050-10-28      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A3           | CUSIP: 83613AAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1379973 | PA      | $1154315.86    | 0.02%             | 2037-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2020-3FP                                                   | FREED ABS TRUST FREED 2020 3FP CERT 144A                    | CUSIP: 35634LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9954 | PA      | $11637.38      | 0.00%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $251300.00     | 0.00%             | 2027-06-06      | Floating      | 12.31%                | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                        | SVB FINL TR COMMON STOCK UNIT                               | CUSIP: 000000000<br>LEI: 549300D2KJ20JMXE7542 | Long             | EP               | CORP              | US        |      29233 | NS      | $15493490.00   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | TRS YJL 01/28/36 MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | CN        |          1 | NC      | $-1601679.31   | -0.02%            |  |  |  | No            |                  3 | On Loan: No      |
| INTEGRITY RE LTD                                                           | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3200000 | PA      | $3179840.00    | 0.05%             | 2026-06-08      | Floating      | 27.31%                | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A X1 144A          | CUSIP: ACI2S8TN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       7155 | PA      | $9821.76       | 0.00%             | 2050-06-28      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8553400 | PA      | $-10087576.29  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-J8                                             | COUNTRYWIDE HOME LOANS CWHL 2004 J8 3A8                     | CUSIP: 12669GDX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38366 | PA      | $38616.66      | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   24556675 | PA      | $24556674.87   | 0.37%             | 2025-12-21      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250828                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6617.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A        | CUSIP: 36260AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20073000 | PA      | $13435776.24   | 0.20%             | 2059-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 10                           | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   12700000 | PA      | $12507360.05   | 0.19%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B5 144A             | CUSIP: 59981TBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1265000 | PA      | $693229.99     | 0.01%             | 2059-08-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                     | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1700000 | PA      | $42887.08      | 0.00%             | 2026-05-20      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A        | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     976280 | PA      | $965912.07     | 0.01%             | 2037-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 04/29 4               | CUSIP: ACI2C9P27<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $386082.82     | 0.01%             | 2029-04-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-138468.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                          | FREDDIE MAC   SCRT SCRT 2022 1 BXS 144A                     | CUSIP: 35563PD71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11065579 | PA      | $4412836.65    | 0.07%             | 2061-11-25      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| COHESITY INC                                                               | CLOVER 2024 HOLDINGS INC VERITAS G 1 PREFERRED              | CUSIP: 955EKAII3<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |      64475 | NS      | $1139663.90    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3            | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1865962 | PA      | $1241783.06    | 0.02%             | 2037-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 WI                                     | CUSIP: 3137FURL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10058547 | PA      | $1786607.24    | 0.03%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TGS ASA                                                                    | TGS ASA SR SECURED 144A 01/30 8.5                           | CUSIP: 87243KAA7<br>LEI: 549300NUPLAXPB0WYH90 | Long             | DBT              | CORP              | NO        |    1400000 | PA      | $1450500.56    | 0.02%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    2021190 | NS      | $3557294.40    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -897753 | PA      | $-899491.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                              | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A2                      | CUSIP: 81744MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77996 | PA      | $15118.21      | 0.00%             | 2036-07-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD MXN BOUGHT USD 20250917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-41.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OC1                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OC1 A1            | CUSIP: 93936FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6447578 | PA      | $5702026.20    | 0.09%             | 2047-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1644750 | PA      | $-1640843.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-S6                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 S6 A6               | CUSIP: 126684AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          4 | PA      | $4.30          | 0.00%             | 2034-03-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-3                                        | RBSSP RESECURITIZATION TRUST RBSSP 2010 3 12A2 144A         | CUSIP: 74929FCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2746883 | PA      | $1456915.96    | 0.02%             | 2037-05-26      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF3           | CUSIP: 46629QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2296742 | PA      | $1380414.46    | 0.02%             | 2029-09-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 3A22             | CUSIP: 007037BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066144 | PA      | $994972.24     | 0.02%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A RES                    | CUSIP: ACI2C6R96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5795000 | PA      | $11.93         | 0.00%             | 2062-10-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                             | FREMONT HOME LOAN TRUST FHLT 2005 B M6                      | CUSIP: 35729PKA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $3706630.10    | 0.06%             | 2035-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3590692 | PA      | $-3628760.96   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P D 144A        | CUSIP: 55375KAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1780000 | PA      | $1589612.27    | 0.02%             | 2039-09-13      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                             | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000         | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    4677000 | PA      | $3328293.51    | 0.05%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PRKC MORTGAGE TRUST                                              | MRCD 2019 PRKC MORTGAGE TRUST MRCD 2019 PRKC A 144A         | CUSIP: 55348UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $377007.43     | 0.01%             | 2036-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18457100 | PA      | $-18468296.86  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -600678 | PA      | $-607237.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C                | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     429811 | PA      | $372096.88     | 0.01%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD 2016-11A                                                       | OCP CLO LTD OCP 2016 11A PREF 144A                          | CUSIP: 67092H209<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       2600 | PA      | $989055.91     | 0.01%             | 2036-04-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                   | FANNIE MAE FNR 2013 6 JS                                    | CUSIP: 3136ABN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1243454 | PA      | $140137.27     | 0.00%             | 2043-02-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2000-C                                      | OAKWOOD MORTGAGE INVESTORS INC OAK 2000 C M1                | CUSIP: 67087TBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1128829 | PA      | $1105306.79    | 0.02%             | 2030-10-15      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 01/29 5.125                | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    6436000 | PA      | $5321767.50    | 0.08%             | 2029-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A            | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3617671 | PA      | $3360437.98    | 0.05%             | 2036-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 07/25 0.00000                                 | CUSIP: 912797LW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11793000 | PA      | $11780656.62   | 0.18%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 AIOS 144A      | CUSIP: 64832BAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  578980314 | PA      | $3459436.33    | 0.05%             | 2064-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                      | REGAL TRUST IV REGAL 1999 1 A 144A                          | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        637 | PA      | $600.65        | 0.00%             | 2031-09-29      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LN SEC TR 2005-2                                      | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 2 M5              | CUSIP: 71085PCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $598696.83     | 0.01%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR -0.15000 03/18/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2745772.16    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M6              | CUSIP: 64352VKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1341785 | PA      | $1293023.03    | 0.02%             | 2035-06-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A              | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12575109 | PA      | $11315149.54   | 0.17%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1             | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399887 | PA      | $389731.44     | 0.01%             | 2034-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-13                                       | RBSSP RESECURITIZATION TRUST RBSSP 2009 13 11A4 144A        | CUSIP: 74928GBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2932400 | PA      | $1579073.72    | 0.02%             | 2035-09-26      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6480000 | PA      | $-6536044.80   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                    | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A         | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6135265 | PA      | $5838832.95    | 0.09%             | 2038-08-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3           | CUSIP: 021455AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6713586 | PA      | $5786835.66    | 0.09%             | 2036-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                  | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5823210 | PA      | $5823210.01    | 0.09%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/35 VAR               | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    3963372 | PA      | $3093398.33    | 0.05%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD BRL BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3094.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-109                                                        | FANNIE MAE FNR 2007 109 PI                                  | CUSIP: 31396X2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28091 | PA      | $1814.51       | 0.00%             | 2037-12-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1              | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5213261.90    | 0.08%             | 2036-02-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3077700 | PA      | $-3086568.91   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 X 144A                | CUSIP: 59980XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45977238 | PA      | $2758.63       | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 09/39 5.125           | CUSIP: B1FGYYII6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $276682.94     | 0.00%             | 2039-09-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL A2 RESTRUCTURE    | CUSIP: 948FWKII5<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  204365389 | PA      | $87040389.38   | 1.31%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH RE LTD                                                        | COMMONWEALTH RE LTD UNSECURED 144A 07/25 VAR                | CUSIP: 203235AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     950000 | PA      | $950000.00     | 0.01%             | 2025-07-08      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10598213 | PA      | $-10610155.46  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                              | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16400 | PA      | $2089.54       | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 02/43 5.5             | CUSIP: 983YNTII1<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1095634.12    | 0.02%             | 2043-02-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $542954.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2005-FF6                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF6 M4              | CUSIP: 32027NSM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14011574 | PA      | $12567555.15   | 0.19%             | 2036-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8           | CUSIP: 59024KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2167202 | PA      | $1675605.35    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A13          | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     735489 | PA      | $292900.46     | 0.00%             | 2036-08-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3137664 | PA      | $-3148889.07   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250813                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $176169.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                      | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A           | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1642576 | PA      | $1542161.04    | 0.02%             | 2037-02-26      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A          | CUSIP: 78449VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8685036 | PA      | $9999194.22    | 0.15%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 01/28 5.5                  | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    9800000 | PA      | $8256500.00    | 0.12%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -347657 | PA      | $-352194.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22590592 | PA      | $-22593553.92  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13709259 | PA      | $-13754835.16  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A          | CUSIP: 78449DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27534636 | PA      | $32091628.69   | 0.48%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO B 144A                  | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2490000 | PA      | $1885330.89    | 0.03%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                             | COUNTRYWIDE HOME LOANS CWHL 2007 13 A14                     | CUSIP: 17025JAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1338 | PA      | $604.14        | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -12968025 | PA      | $-15291058.34  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1             | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65735 | PA      | $65240.77      | 0.00%             | 2044-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                 | ACE SECURITIES CORP. ACE 2005 HE3 M3                        | CUSIP: 004421NE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243147 | PA      | $241016.52     | 0.00%             | 2035-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD TORREY PINES RE LTD                     | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     700000 | PA      | $715925.00     | 0.01%             | 2026-06-05      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1846.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETM 2025-RPL3 CERT TRUST                                                 | PRETM 2025 RPL3 TR 04/65 0                                  | CUSIP: 69382TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16164480 | PA      | $14215242.54   | 0.21%             | 2065-04-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2021-160                                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 160 VI              | CUSIP: 38383ATZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34173040 | PA      | $2771102.10    | 0.04%             | 2036-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV6               | CUSIP: 126673B92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1042456 | PA      | $1031028.40    | 0.02%             | 2035-08-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1136855 | PA      | $-1164891.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VEON AMSTERDAM BV                                                          | VEON AMSTERDAM TERM LOAN                                    | CUSIP: BA000HL48<br>LEI: 549300EPG4HR574L4660 | Long             | LON              | CORP              | NL        |    8800000 | PA      | $8803172.31    | 0.13%             | 2027-03-25      | Floating      | 8.55%                 | No            |                  3 | On Loan: No      |
| VNDO TRUST 2016-350P                                                       | VNO MORTGAGE TRUST VNDO 2016 350P E 144A                    | CUSIP: 91831UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4814000 | PA      | $4575788.36    | 0.07%             | 2035-01-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR11                                                   | BCAP LLC TRUST BCAP 2009 RR11 7A2 144A                      | CUSIP: 05532FAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2185960 | PA      | $1471259.51    | 0.02%             | 2036-02-26      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3922                                                    | FREDDIE MAC FHR 3922 GS                                     | CUSIP: 3137AFHT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     602120 | PA      | $567991.46     | 0.01%             | 2041-09-15      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                        | GSAMP TRUST GSAMP 2004 WF M2                                | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97376 | PA      | $98357.80      | 0.00%             | 2034-10-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 3A2 144A         | CUSIP: 17315MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3912708 | PA      | $1805407.23    | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5996541 | PA      | $-6009321.73   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HKD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $46.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12081630 | PA      | $-12146585.39  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-961.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                       | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   11113345 | PA      | $13594542.51   | 0.20%             | 2045-09-13      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 G 144A       | CUSIP: 46654PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22700000 | PA      | $21796467.36   | 0.33%             | 2038-11-15      | Floating      | 9.84%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST B 144A       | CUSIP: 46652DAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7905000 | PA      | $2033561.25    | 0.03%             | 2036-12-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                             | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                     | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1073027 | PA      | $330357.16     | 0.00%             | 2037-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 1A1             | CUSIP: 07386YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105265 | PA      | $93004.09      | 0.00%             | 2047-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES SSNM 144A UNFUNDED COMM                              | CUSIP: 955RVLII8<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     760943 | PA      | $976615.14     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-3                                       | WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M2               | CUSIP: 9497EBAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9608561 | PA      | $9429864.27    | 0.14%             | 2037-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                           | DUN + BRADSTREET CORPOR THE 2025 REVOLVER                   | CUSIP: BA000K747<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1364207 | PA      | $1350564.50    | 0.02%             | 2032-05-31      | Floating      | 9.58%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6304221 | PA      | $-6386242.07   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                       | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 1A1          | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24247 | PA      | $17273.73      | 0.00%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                      | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1               | CUSIP: 878048AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18348814 | PA      | $3881137.54    | 0.06%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MSDB TRUST 2017-712F                                                       | MSDB TRUST MSDB 2017 712F A 144A                            | CUSIP: 55354JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21937500 | PA      | $21055022.38   | 0.32%             | 2039-07-11      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF5           | CUSIP: 46629QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6292444 | PA      | $3779806.68    | 0.06%             | 2036-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 AIOS 144A        | CUSIP: 26844QAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  232465469 | PA      | $199257.78     | 0.00%             | 2068-02-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE CMM 2006-2A                                   | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A          | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191886 | PA      | $184425.21     | 0.00%             | 2039-01-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE LTD (AKA: CCL FINANCE LTD)                            | RAIZEN FUELS FINANCE COMPANY GUAR 144A 03/54 6.95           | CUSIP: 75102XAC0<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    4100000 | PA      | $3806761.85    | 0.06%             | 2054-03-05      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 3A              | CUSIP: 07384MW81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10382 | PA      | $9976.22       | 0.00%             | 2034-09-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                            | VERAISON RE LTD UNSECURED 144A 03/31 VAR                    | CUSIP: 92335TAB5<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    4600000 | PA      | $4815050.00    | 0.07%             | 2031-03-10      | Floating      | 16.95%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-91                                                  | FANNIE MAE FNR 2012 91 MI                                   | CUSIP: 3136A7TF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     448066 | PA      | $47056.43      | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     385330 | PA      | $252391.11     | 0.00%             | 2025-07-31      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 1A1            | CUSIP: 93364FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     810140 | PA      | $650915.40     | 0.01%             | 2037-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-SP1                                                   | NEW YORK MORTGAGE TRUST NYMT 2022 SP1 A1 144A               | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12045761 | PA      | $12040953.95   | 0.18%             | 2062-07-25      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                               | LEHMAN MORTGAGE TRUST LMT 2007 8 2A1                        | CUSIP: 52521YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3132936 | PA      | $1161611.29    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                  | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     216886 | PA      | $120725.36     | 0.00%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                  | MOTION FINCO SARL SR SECURED 144A 02/32 8.375               | CUSIP: 61980LAB5<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |    1200000 | PA      | $1100069.16    | 0.02%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                        | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1            | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2497630 | PA      | $1520756.66    | 0.02%             | 2037-06-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-36.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | TWITTER INC TERM LOAN                                       | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   88495822 | PA      | $86567055.88   | 1.31%             | 2029-10-26      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A        | CUSIP: 36260AAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  117508224 | PA      | $1750091.10    | 0.03%             | 2059-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | US RENAL CARE INC SR SECURED 144A 06/28 10.625              | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   13209100 | PA      | $11310291.88   | 0.17%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250818                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-992268.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                    | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 B 144A          | CUSIP: 62955HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2187095.46    | 0.03%             | 2038-12-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -516000 | PA      | $-517502.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3              | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     552164 | PA      | $482267.89     | 0.01%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1                            | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A      | CUSIP: 52607NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $152500.46     | 0.00%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -534800 | PA      | $-538867.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                            | BEAR STEARNS ALT A TRUST BALTA 2006 3 23A1                  | CUSIP: 07386HL66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182761 | PA      | $169436.81     | 0.00%             | 2036-05-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA6 2A1           | CUSIP: 32052MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354866 | PA      | $245833.23     | 0.00%             | 2036-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-111                                                 | FANNIE MAE FNR 2011 111 PS                                  | CUSIP: 3136A2HD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     580516 | PA      | $13149.44      | 0.00%             | 2040-03-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A4             | CUSIP: 23246LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3497209 | PA      | $3192997.69    | 0.05%             | 2047-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M5               | CUSIP: 126670LT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3874292 | PA      | $3503189.31    | 0.05%             | 2036-04-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                             | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A        | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     488624 | PA      | $471573.08     | 0.01%             | 2034-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                              | PRIME HEALTHCARE SERVICE PRIME HEALTHCARE SERVICE           | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   31100000 | PA      | $30888831.00   | 0.47%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1245374 | PA      | $-1261630.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A2             | CUSIP: 45660NT96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162924 | PA      | $141957.32     | 0.00%             | 2034-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI D 144A                            | CUSIP: 92943AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $11229489.60   | 0.17%             | 2037-07-05      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C                | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6860694 | PA      | $2993954.16    | 0.05%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFX 144A      | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6360000 | PA      | $6042596.57    | 0.09%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A         | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     449700 | PA      | $449383.18     | 0.01%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| MEDIAPRO (SUBCALIDORA 2 SARL)                                              | SUBCALIDORA 2 2024 EUR TERM LOAN                            | CUSIP: BA0007DG2<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |   52304000 | PA      | $61919588.38   | 0.93%             | 2029-08-14      | Floating      | 7.73%                 | No            |                  3 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 08/37 7.288      | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $240000.00     | 0.00%             | 2037-08-16      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1            | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179147 | PA      | $142837.16     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4                      | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE4 M3            | CUSIP: 073879TV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1310820 | PA      | $1309473.54    | 0.02%             | 2035-04-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5315569 | PA      | $-5320964.94   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 X 144A              | CUSIP: 59981TBG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29742920 | PA      | $596137.34     | 0.01%             | 2059-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A1           | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54612 | PA      | $14235.43      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-AM2                               | MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A3              | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3352955 | PA      | $3100293.12    | 0.05%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A E 144A                                 | CUSIP: ACI2JTN85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   11241000 | PA      | $15453394.70   | 0.23%             | 2049-12-28      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A7            | CUSIP: 466285AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38761 | PA      | $48289.82      | 0.00%             | 2036-11-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-36                                                         | FANNIE MAE FNR 2020 36 NI                                   | CUSIP: 3136B95E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14660446 | PA      | $2636994.97    | 0.04%             | 2050-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9288 | PA      | $8877611.79    | 0.13%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | WEST MARINE NEW WARRANT WARRWM911                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       5580 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/33 6.375                       | CUSIP: ACI2JSF94<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2600000 | PA      | $3156940.72    | 0.05%             | 2033-09-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 XS 144A       | CUSIP: 61775UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  200821176 | PA      | $7923017.95    | 0.12%             | 2068-12-25      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -24403664 | PA      | $-24692047.52  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4175150 | PA      | $-4177730.73   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A           | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3931815 | PA      | $2555435.36    | 0.04%             | 2036-01-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A          | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $6933748.50    | 0.10%             | 2036-12-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A             | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     813273 | PA      | $687706.71     | 0.01%             | 2037-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SEA1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 1A1 144A       | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4397446 | PA      | $3657440.47    | 0.06%             | 2047-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12546618 | PA      | $-12596961.47  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M5             | CUSIP: 17307GQ27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2287308 | PA      | $1548398.48    | 0.02%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A4            | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13201000 | PA      | $11397544.06   | 0.17%             | 2036-12-26      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4267772 | PA      | $-5032024.56   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20250917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $53282.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-8R                                      | NOMURA RESECURITIZATION TRUST NMRR 2014 8R 2A4 144A         | CUSIP: 65540QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3035094 | PA      | $2671122.97    | 0.04%             | 2035-09-26      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 XS 144A         | CUSIP: 12656TAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  240873450 | PA      | $8057891.34    | 0.12%             | 2060-01-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B                | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1094232 | PA      | $619883.25     | 0.01%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1              | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     600000 | PA      | $0.01          | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $12334.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A          | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2872004 | PA      | $2724699.05    | 0.04%             | 2046-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5111900 | PA      | $-5307169.31   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 1A1             | CUSIP: 61749CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138323 | PA      | $24762.79      | 0.00%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1777524 | PA      | $-1797041.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                          | FREDDIE MAC   SCRT SCRT 2021 1 M 144A                       | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1644744 | PA      | $1581376.41    | 0.02%             | 2060-09-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5277029 | PA      | $-5338945.68   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                    | CUSIP: 73110JAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2300000 | PA      | $2372910.00    | 0.04%             | 2028-01-07      | Floating      | 14.80%                | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A6              | CUSIP: 94985JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21004 | PA      | $19046.49      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9922639 | PA      | $-9933868.40   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 B5 144A        | CUSIP: 64828XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8300000 | PA      | $4888142.24    | 0.07%             | 2059-11-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7240715 | PA      | $-7249092.43   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                              | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                     | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19306108 | PA      | $15604576.55   | 0.24%             | 2036-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-10R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 10R 3A2 144A         | CUSIP: 12646NAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2356142 | PA      | $2008064.77    | 0.03%             | 2036-05-26      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC1 1A1           | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6238486 | PA      | $6154632.32    | 0.09%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B4 144A               | CUSIP: 59980XAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2759118 | PA      | $1716142.38    | 0.03%             | 2058-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $251575.00     | 0.00%             | 2027-06-06      | Floating      | 14.05%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1616433 | PA      | $-1634536.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                    | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1             | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443318 | PA      | $405790.54     | 0.01%             | 2037-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                             | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    3200000 | PA      | $3552849.93    | 0.05%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250711                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $39614.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | NUMERICABLE U S LLC TERM LOAN B 11                          | CUSIP: 67053NAK0<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    1994898 | PA      | $1740548.47    | 0.03%             | 2025-07-31      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN                 | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |   89363716 | PA      | $74535147.99   | 1.12%             | 2029-06-01      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4834.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                 | ACE SECURITIES CORP. ACE 2005 HE3 M5                        | CUSIP: 004421NG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     886468 | PA      | $687888.81     | 0.01%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2007-HF1                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2007 HF1 4A1             | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10521432 | PA      | $4118994.51    | 0.06%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                       | GSAMP TRUST GSAMP 2007 FM1 A2D                              | CUSIP: 3622MAAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3503346 | PA      | $1736859.55    | 0.03%             | 2036-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -23330484 | PA      | $-23528637.57  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A2 144A        | CUSIP: 74143FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2994250 | PA      | $2949297.39    | 0.04%             | 2051-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                       | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 2A4              | CUSIP: 65536QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $2971091.20    | 0.04%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR               | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |    4260000 | PA      | $4446162.00    | 0.07%             | 2031-05-13      | Floating      | 14.81%                | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                            | VERAISON RE LTD UNSECURED 144A 03/33 VAR                    | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $300000.00     | 0.00%             | 2033-03-08      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-70                                                  | FANNIE MAE FNR 2020 70 MI                                   | CUSIP: 3136BB3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13701726 | PA      | $1090021.67    | 0.02%             | 2060-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4904850 | PA      | $-4952409.57   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     238883 | NS      | $149301.76     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| MARICOPA COUNTY INDUSTRIAL DEV                                             | MARICOPA CNTY AZ INDL DEV AUTH MAREDU 10/29 FIXED 7.375     | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     850000 | PA      | $880778.76     | 0.01%             | 2029-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -43662932 | PA      | $-43709118.12  | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A           | CUSIP: 85573RAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $76511.84      | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2022-DNA1                                          | FREDDIE MAC   STACR STACR 2022 DNA1 B2 144A                 | CUSIP: 35564KQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3800000 | PA      | $4055723.28    | 0.06%             | 2042-01-25      | Floating      | 11.41%                | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2024-1 ISSUER TRUST                                     | STREAM INNOVATIONS ISSUER TRUS STRE 2024 1A A 144A          | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     352947 | PA      | $366823.02     | 0.01%             | 2044-07-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -906561 | PA      | $-909480.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3561741 | PA      | $-3565252.88   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1             | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3287301 | PA      | $2316511.79    | 0.03%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                             | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                     | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1925003 | PA      | $1738616.66    | 0.03%             | 2037-04-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A3             | CUSIP: 939344AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2963535 | PA      | $2613216.33    | 0.04%             | 2036-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2022 HC A 144A                     | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9131000 | PA      | $8688929.03    | 0.13%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7787594 | PA      | $-7813390.41   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | WINDSTREAMWARRANTS SLDENVWINDSTREAMWARRANTS                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     627561 | NC      | $12301313.29   | 0.19%             |  |  |  | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-2A                                             | MARLETTE FUNDING TRUST MFT 2020 2A CERT 144A                | CUSIP: 57108R101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8800 | PA      | $161287.29     | 0.00%             | 2030-09-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD HKD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $79395.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                             | ARGENT SECURITIES INC. ARSI 2006 W3 A2B                     | CUSIP: 040104SQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     985487 | PA      | $307713.95     | 0.00%             | 2036-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A         | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1874735 | PA      | $915644.18     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B6 144A             | CUSIP: 59981TBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267170 | PA      | $579464.55     | 0.01%             | 2059-08-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 A 144A         | CUSIP: 69544PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     574776 | PA      | $574992.48     | 0.01%             | 2032-04-15      | Fixed         | 5.16%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12789473 | PA      | $-12814679.15  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4                 | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1352011.52    | 0.02%             | 2035-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M2              | CUSIP: 03072SQ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $4052814.07    | 0.06%             | 2035-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A4                | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154243 | PA      | $532637.01     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3537.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 11R 2A2 144A         | CUSIP: 12646QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2599566 | PA      | $1349737.85    | 0.02%             | 2037-12-29      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                 | CARVANA CO SR SECURED 144A 06/30 9                          | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    4152744 | PA      | $4369759.80    | 0.07%             | 2030-06-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)                  | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |    1591211 | NS      | $6874031.52    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                            | BEAR STEARNS ALT A TRUST BALTA 2006 7 1AE4 144A             | CUSIP: 073875BJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3067390 | PA      | $1513516.06    | 0.02%             | 2046-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MTGE SEC INC 2004-1                                               | DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 1 1A1               | CUSIP: 251563CG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52780 | PA      | $53653.95      | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-204168.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7691216 | PA      | $-7778254.92   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5            | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1134000 | PA      | $1118652.90    | 0.02%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-3                                              | MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A                | CUSIP: 57109M101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      35261 | PA      | $9596.86       | 0.00%             | 2029-09-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7666204 | PA      | $-7714827.20   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/31 5.125                       | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    3090000 | PA      | $3597645.04    | 0.05%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -499261 | PA      | $-500728.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-10F                                           | GSR MORTGAGE LOAN TRUST GSR 2004 10F 8A3                    | CUSIP: 36242DFC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214439 | PA      | $218723.41     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 1A1                   | CUSIP: 12669GA50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2251 | PA      | $2213.03       | 0.00%             | 2035-06-20      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -3160500 | PA      | $-4345708.25   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1412502 | PA      | $-1665200.64   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250828                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-195932.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A2 144A          | CUSIP: 12646DAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29935500 | PA      | $11026388.01   | 0.17%             | 2047-02-27      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M2             | CUSIP: 59020UUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538087 | PA      | $538397.95     | 0.01%             | 2036-02-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2021-3                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2021 3 C 144A           | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     359568 | PA      | $351843.68     | 0.01%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-4                                                   | JP MORGAN REREMIC JPMRR 2009 4 4A2 144A                     | CUSIP: 46633JBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3825408 | PA      | $1075801.17    | 0.02%             | 2036-04-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-2                                                   | FANNIE MAE FNR 2020 2 S                                     | CUSIP: 3136B8JL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5587119 | PA      | $680746.29     | 0.01%             | 2059-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A           | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $294819.24     | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9                | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      15000 | PA      | $4315.77       | 0.00%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1           | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1987473 | PA      | $1884001.04    | 0.03%             | 2035-11-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3601498 | PA      | $-3651180.66   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| AUCHAN (ELO SACA)                                                          | ELO SACA SR UNSECURED REGS 07/27 3.25                       | CUSIP: ACI1NZ8Z5<br>LEI: 969500ASEC557H5A4F22 | Long             | DBT              | CORP              | FR        |    7300000 | PA      | $8305382.53    | 0.13%             | 2027-07-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-4                                       | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4                | CUSIP: 026934AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5345304 | PA      | $4816126.13    | 0.07%             | 2037-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 07/29 4                    | CUSIP: ACI1X3WT2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1300000 | PA      | $1287997.01    | 0.02%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FUTBOL CLUB BARCELONA SL                                                   | ESPAI BRCA FNDO DE TITULZACION EUR TERM LOAN                | CUSIP: 948FVAII8<br>LEI: 95980020140005871781 | Long             | LON              | CORP              | ES        |   23118229 | PA      | $31404855.01   | 0.47%             | 2028-05-31      | Fixed         | 4.27%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 XS 144A       | CUSIP: 617941AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   57861504 | PA      | $1991859.13    | 0.03%             | 2070-01-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                  | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   10607567 | PA      | $10607567.37   | 0.16%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A2            | CUSIP: 45661XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     284797 | PA      | $186871.63     | 0.00%             | 2036-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J7                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6            | CUSIP: 12667GF73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     702432 | PA      | $355291.98     | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN 123 CLO LTD 2025-123A                                               | DRYDEN SENIOR LOAN FUND DRSLF 2025 123A SUB 144A            | CUSIP: 26253PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8400000 | PA      | $7633959.31    | 0.12%             | 2038-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JEFFERIES & CO 2009-R7                                                     | JEFFERIES + CO JMAC 2009 R7 10A2 144A                       | CUSIP: 47233AAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3441966 | PA      | $889933.09     | 0.01%             | 2036-12-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $153896.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2           | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3631576 | PA      | $2801919.85    | 0.04%             | 2037-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805C 144A       | CUSIP: 17328CBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1510800 | PA      | $247815.32     | 0.00%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                         | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A3             | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8901 | PA      | $8857.97       | 0.00%             | 2037-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CORK STREET CLO DESIGNATED ACTIVITY CO 1A                                  | CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A            | CUSIP: ACI0QPJC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400594 | PA      | $197154.81     | 0.00%             | 2028-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-2                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2022 2 R                    | CUSIP: 33844X108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3330 | PA      | $0.00          | 0.00%             | 2029-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 2A1              | CUSIP: 059475AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79549 | PA      | $68008.97      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-852.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A Z 144A                                 | CUSIP: ACI2JTLB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5085000 | PA      | $6061100.44    | 0.09%             | 2049-12-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4054781 | PA      | $-4057263.79   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R5                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R5 M4              | CUSIP: 03072SE50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159894 | PA      | $159382.04     | 0.00%             | 2035-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2919585.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL SR SECURED 144A 02/28 10.5          | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19753000 | PA      | $20953834.45   | 0.32%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                    | BCAP LLC TRUST BCAP 2010 RR3 14A6 144A                      | CUSIP: 05532WGU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2016925 | PA      | $1604615.97    | 0.02%             | 2037-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A            | CUSIP: 22545YAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10300000 | PA      | $8072934.00    | 0.12%             | 2049-01-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 2A2            | CUSIP: 12667GS20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2351914 | PA      | $1532937.19    | 0.02%             | 2035-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300A 144A           | CUSIP: 08163DBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1196000 | PA      | $867724.55     | 0.01%             | 2054-04-15      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| SOLERA LLC (POLARIS NEWCO LLC)                                             | POLARIS NEWCO, LLC USD TERM LOAN B                          | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |    5182405 | PA      | $5057508.88    | 0.08%             | 2028-06-02      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A16                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A16 1A3            | CUSIP: 76114GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167234 | PA      | $63189.51      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9588150 | PA      | $-9599280.66   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                   | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1122071 | PA      | $1056395.66    | 0.02%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31601460 | PA      | $-31634766.11  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-D                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2004 D 5A2              | CUSIP: 05946XNF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71042 | PA      | $69399.37      | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 XS 144A             | CUSIP: 59981TBF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26373436 | PA      | $141957.65     | 0.00%             | 2059-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1                  | CUSIP: 46630GAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12509 | PA      | $12142.17      | 0.00%             | 2035-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9813768 | PA      | $-9952796.65   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4042887 | PA      | $-4059493.71   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5128265 | PA      | $-5170957.88   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A1             | CUSIP: 25151EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31720 | PA      | $27683.54      | 0.00%             | 2036-07-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A7          | CUSIP: 02149JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1657963 | PA      | $594558.24     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2011-RR1                                   | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR1 A3 144A       | CUSIP: 94987TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2550438 | PA      | $2403825.03    | 0.04%             | 2036-04-27      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CIRCOR                                                                     | CIRCOR INTERNATIONAL INC 2023 REVOLVER                      | CUSIP: 948FVPII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1065517 | PA      | $1094562.54    | 0.02%             | 2029-06-20      | Floating      | 0.50%                 | No            |                  3 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR2                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR2 2A1           | CUSIP: 32055GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7908 | PA      | $3816.79       | 0.00%             | 2037-07-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE SAS 2021 EUR TERM LOAN B                   | CUSIP: 937NEWII5<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    1000000 | PA      | $881071.75     | 0.01%             | 2028-06-30      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST-2007-4                                              | SLM STUDENT LOAN TRUST SLMA 2007 4 R                        | CUSIP: 78444A107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30999 | PA      | $6076416.34    | 0.09%             | 2042-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP COMPANY GUAR REGS 05/26 5.25            | CUSIP: ACI1SPDG8<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $20900.00      | 0.00%             | 2026-05-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $66794.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-7R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 7R 3A2 144A          | CUSIP: 12646JBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15188906 | PA      | $6977356.62    | 0.11%             | 2047-09-26      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M5              | CUSIP: 57643LJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184215 | PA      | $192425.84     | 0.00%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED REGS 02/28 4            | CUSIP: ACI1LBML5<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    5125000 | PA      | $2161989.85    | 0.03%             | 2028-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3276219 | PA      | $-3349922.30   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 E 144A            | CUSIP: 44644NAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     559014 | PA      | $560684.58     | 0.01%             | 2032-10-20      | Floating      | 11.80%                | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B3 144A         | CUSIP: 12656TAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7541100 | PA      | $4192127.65    | 0.06%             | 2060-01-25      | Variable      | 3.60%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -3271648 | PA      | $-3856468.06   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 1A1              | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17142 | PA      | $16983.16      | 0.00%             | 2036-12-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 3A4             | CUSIP: 61749CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1254132 | PA      | $478557.28     | 0.01%             | 2036-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                               | UBS GROUP AG REG COMMON STOCK USD.1                         | CUSIP: ACI09N1W4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |      12342 | NS      | $417647.87     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1               | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3618777 | PA      | $3038059.59    | 0.05%             | 2047-04-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 D 144A       | CUSIP: 46649JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     699367 | PA      | $662867.55     | 0.01%             | 2035-02-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 B2 144A          | CUSIP: 26844QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7689300 | PA      | $7591863.50    | 0.11%             | 2068-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A3                | CUSIP: 12668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1197 | PA      | $48167.21      | 0.00%             | 2032-10-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B           | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     925519 | PA      | $257588.64     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3211                                                           | FREDDIE MAC FHR 3211 SH                                     | CUSIP: 31397BA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     263130 | PA      | $26774.50      | 0.00%             | 2036-09-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A31          | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1447409 | PA      | $668170.32     | 0.01%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A           | CUSIP: 17311WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355654 | PA      | $329993.14     | 0.00%             | 2037-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260518                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-13.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                    | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1             | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1295132 | PA      | $962985.32     | 0.01%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2696.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                             | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A1                      | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2861233 | PA      | $2317298.07    | 0.03%             | 2035-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D                                  | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A          | CUSIP: 78471C109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14219400 | PA      | $1090399.19    | 0.02%             | 2040-09-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-3                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 3A1              | CUSIP: 86363GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990321 | PA      | $374919.34     | 0.01%             | 2047-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 3A1                | CUSIP: 12637HAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2351916 | PA      | $743162.26     | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                      | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN                | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |   30300000 | PA      | $30380825.25   | 0.46%             | 2029-12-18      | Floating      | 7.80%                 | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 2A3           | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82020 | PA      | $72538.77      | 0.00%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9448367 | PA      | $-9458453.48   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15221714 | PA      | $-15328160.29  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                          | CI FINANCIAL CORP CI FINANCIAL CORP                         | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     600000 | PA      | $633361.77     | 0.01%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250807                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $8969.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM D 144A          | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8800000 | PA      | $8307198.24    | 0.13%             | 2036-12-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A               | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     646000 | PA      | $874672.14     | 0.01%             | 2049-12-21      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P F 144A         | CUSIP: 61772WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18000000 | PA      | $15292199.70   | 0.23%             | 2038-12-15      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-891.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-4Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $781518.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2023-6                                                | PAGAYA AI DEBT SELECTION TRUST PAID 2023 6 C 144A           | CUSIP: 69547UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5523019 | PA      | $5546059.54    | 0.08%             | 2031-06-16      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/34 6.25                        | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     600000 | PA      | $713915.84     | 0.01%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN             | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |  162931604 | PA      | $154648975.70  | 2.33%             | 2028-06-20      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20250709                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-149.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                            | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                   | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1401211 | PA      | $639788.80     | 0.01%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5           | CUSIP: 02147MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6556735 | PA      | $1229488.71    | 0.02%             | 2036-07-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -18944744 | PA      | $-22331584.14  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M6              | CUSIP: 542514KW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6318490.75    | 0.10%             | 2035-04-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB2                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 AB2 A2C            | CUSIP: 84751VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2826696 | PA      | $1409992.00    | 0.02%             | 2037-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250724                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $16492.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-88                                                  | FANNIE MAE FNR 2007 88 MI                                   | CUSIP: 31396XUW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     215005 | PA      | $15030.76      | 0.00%             | 2037-09-25      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                            | BEAR STEARNS ALT A TRUST BALTA 2005 5 26A1                  | CUSIP: 07386HUN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183408 | PA      | $130532.04     | 0.00%             | 2035-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-3                                              | ROCKFORD TOWER CLO LTD ROCKT 2017 3A SUB 144A               | CUSIP: 77341TAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4966667 | PA      | $783969.12     | 0.01%             | 2030-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 BI                                     | CUSIP: 3137FURT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3938041 | PA      | $918770.54     | 0.01%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 M1            | CUSIP: 76113ACB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6176706 | PA      | $5198232.05    | 0.08%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5034400 | PA      | $-5039725.28   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/30 7.25         | CUSIP: ACI2L7QQ7<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      33042 | PA      | $4058.88       | 0.00%             | 2030-09-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-9R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 9R 3A2 144A          | CUSIP: 12648UAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8287740 | PA      | $7131608.00    | 0.11%             | 2037-11-27      | Floating      | 28.56%                | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. COMMON STOCK                                        | CUSIP: B7XL4M900<br>LEI: 254900YEMWCRRAGD4978 | Long             | EC               | CORP              | BR        |   24221572 | NS      | $2853215.67    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                       | GSAMP TRUST GSAMP 2006 FM1 A2C                              | CUSIP: 362334PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393273 | PA      | $261791.68     | 0.00%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                            | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2             | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     719734 | PA      | $664278.31     | 0.01%             | 2037-02-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2            | CUSIP: 86363DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675174 | PA      | $58983.66      | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 01/36 8.375                       | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1890000 | PA      | $1824816.74    | 0.03%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD TORREY PINES RE LTD                     | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1300000 | PA      | $1356875.00    | 0.02%             | 2027-06-07      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR4                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR4 DA            | CUSIP: 939345AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4660931 | PA      | $2600482.06    | 0.04%             | 2046-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25793635 | PA      | $-25979857.42  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| EL SALVADOR GOVT                                                           | REPUBLIC OF EL SALVADOR SR UNSECURED 144A 11/54 9.65        | CUSIP: 283875CG5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |    9200000 | PA      | $9499000.00    | 0.14%             | 2054-11-21      | Fixed         | 9.65%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                               | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                        | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166238 | PA      | $103654.36     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                            | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                     | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3568130 | PA      | $973003.39     | 0.01%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-9                                                   | FANNIE MAE FNR 2008 9 SA                                    | CUSIP: 31396YGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     359156 | PA      | $42522.07      | 0.00%             | 2038-02-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3225456 | PA      | $-3227584.24   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                            | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                    | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     600000 | PA      | $601140.00     | 0.01%             | 2032-01-07      | Floating      | 12.80%                | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2C            | CUSIP: 17309BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     346292 | PA      | $125157.95     | 0.00%             | 2036-05-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A F 144A          | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2537499 | PA      | $2580018.11    | 0.04%             | 2032-06-15      | Fixed         | 10.17%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                            | BEAR STEARNS ALT A TRUST BALTA 2005 7 26A1                  | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7189017 | PA      | $2469469.09    | 0.04%             | 2035-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7860080 | PA      | $-7944226.95   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 5.75         | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |   46005509 | PA      | $37935682.67   | 0.57%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-85                                                  | FANNIE MAE FNR 2012 85 PI                                   | CUSIP: 3136A7E73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     482112 | PA      | $38187.25      | 0.00%             | 2032-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | NUMERICABLE U S LLC TERM LOAN B 11                          | CUSIP: 67053NAL8<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     199490 | PA      | $206735.22     | 0.00%             | 2025-07-31      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-255838.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8541450 | PA      | $-10068542.57  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-10                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 10 1A2              | CUSIP: 61748HRT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151767 | PA      | $98655.25      | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 12/29 1.604           | CUSIP: ACI2J6N85<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $261458.72     | 0.00%             | 2029-12-23      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -214138 | PA      | $-252321.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 06/27 10                            | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   83079002 | PA      | $54098854.48   | 0.82%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A      | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $455458.95     | 0.01%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1128.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING 06/50 0                           | CUSIP: ACI2S8Z13<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        145 | PA      | $309676.93     | 0.00%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-830773.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                    | COREWEAVE COMPUTE ACQCO II LLC DDTL                         | CUSIP: 948GKAII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   18212500 | PA      | $19294087.52   | 0.29%             | 2028-07-31      | Floating      | 13.92%                | No            |                  3 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A       | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13987342 | PA      | $13332357.92   | 0.20%             | 2035-02-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                     | LUMEN TECHNOLOGIES INC 2024 EXTENDED TERM LOAN B1           | CUSIP: 55024EAF2<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |   10000000 | PA      | $9893800.00    | 0.15%             | 2029-04-16      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/28 5.75                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   91806000 | PA      | $79641705.00   | 1.20%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4             | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1341224 | PA      | $1349024.77    | 0.02%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                   | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A          | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94893 | PA      | $86288.88      | 0.00%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE    | CUSIP: 948FWLII3<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   17856510 | PA      | $4417158.39    | 0.07%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR12                                                   | BCAP LLC TRUST BCAP 2013 RR12 1A5 144A                      | CUSIP: 05490CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3976180 | PA      | $3528287.06    | 0.05%             | 2035-05-26      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 1A1                   | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2611592 | PA      | $2214995.21    | 0.03%             | 2037-03-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1853435 | PA      | $-1865301.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2011-63                                                         | FANNIE MAE FNR 2011 63 CS                                   | CUSIP: 31397USG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1312427 | PA      | $131513.72     | 0.00%             | 2041-07-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV5              | CUSIP: 126670PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     807090 | PA      | $588472.83     | 0.01%             | 2036-05-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1610328.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                   | TITANIUM 2L BONDCO S.? R.L. EO 01/31 6.25                   | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |   57660800 | PA      | $20029903.18   | 0.30%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR1                                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 3A1            | CUSIP: 45669AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13362 | PA      | $11346.66      | 0.00%             | 2037-03-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 3A2            | CUSIP: 86360KBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2610444 | PA      | $1132257.56    | 0.02%             | 2036-02-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250814                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $13668.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-116.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IM PASTOR FTH 3                                                            | PASTOR IM FTH/FTA IMPAS 3 A REGS                            | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    9723122 | PA      | $10112110.98   | 0.15%             | 2043-03-22      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E            | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2014138 | PA      | $727147.34     | 0.01%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A            | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226304 | PA      | $195418.95     | 0.00%             | 2046-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                           | FREDDIE MAC FHR 3136 NS                                     | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111728 | PA      | $9742.16       | 0.00%             | 2036-04-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                      | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C            | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2554259 | PA      | $838774.18     | 0.01%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                    | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |  830470000 | PA      | $52925629.47   | 0.80%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                          | FREDDIE MAC   SCRT SCRT 2022 1 M 144A                       | CUSIP: 35563PC80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3476125.77    | 0.05%             | 2061-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| YINSON PRODUCTION FINANCIAL SERVICES PTE LTD                               | YINSON PRODUCTION FINANC SR SECURED 144A REGS 05/29 9.6     | CUSIP: ACI2NT341<br>LEI: 254900TYMSC94RS33U73 | Long             | DBT              | CORP              | SG        |    8900000 | PA      | $9252496.43    | 0.14%             | 2029-05-03      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                   | IHEARTCOMMUNICATIONS INC 2024 TERM LOAN                     | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |   15085088 | PA      | $12338319.48   | 0.19%             | 2029-05-01      | Floating      | 10.22%                | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                           | FINASTRA USA INC 2023 TERM LOAN                             | CUSIP: 953PAVII5<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |    1380232 | PA      | $1388858.41    | 0.02%             | 2029-09-13      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| CHARLES RIVER RE LTD                                                       | CHARLES RIVER RE LTD SR UNSECURED 144A 05/31 VAR            | CUSIP: 159873AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $254425.00     | 0.00%             | 2031-05-10      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS 2 LLC                                                      | CLOVER HOLDINGS 2 LLC REVOLVER                              | CUSIP: 18914DAD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6574791 | PA      | $6560688.07    | 0.10%             | 2029-12-10      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-134                                                        | FANNIE MAE FNR 2010 134 BS                                  | CUSIP: 31398SPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1247731 | PA      | $69317.33      | 0.00%             | 2040-10-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A            | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2192902 | PA      | $1934401.37    | 0.03%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 259                                                     | FREDDIEMAC STRIP FHS 259 S17                                | CUSIP: 31325TCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     935023 | PA      | $104100.18     | 0.00%             | 2039-04-15      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2           | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6718631 | PA      | $1800926.96    | 0.03%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2          | CUSIP: 073888BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5582 | PA      | $5545.00       | 0.00%             | 2036-07-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                    | BCAP LLC TRUST BCAP 2010 RR7 1610 144A                      | CUSIP: 05533DGV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9728695 | PA      | $7967235.32    | 0.12%             | 2047-02-26      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                            | BEAR STEARNS ALT A TRUST BALTA 2005 9 25A1                  | CUSIP: 07386HYF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20288 | PA      | $12792.51      | 0.00%             | 2035-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                               | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 VAR             | CUSIP: ACI1Q6J43<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |   17685601 | PA      | $15386472.87   | 0.23%             | 2030-07-31      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2                          | FREDDIE MAC   SCRT SCRT 2022 2 M 144A                       | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3117923.76    | 0.05%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 X 144A           | CUSIP: 26844QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  232465469 | PA      | $3249937.00    | 0.05%             | 2068-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                               | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000          | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |   11400000 | PA      | $8310600.00    | 0.13%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250808                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $77868.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   17060470 | PA      | $10620142.58   | 0.16%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                               | LEHMAN MORTGAGE TRUST LMT 2007 8 3A1                        | CUSIP: 52521YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30802794 | PA      | $8893897.00    | 0.13%             | 2037-09-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1            | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7520 | PA      | $3128.68       | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A2 144A        | CUSIP: 74143JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4153004 | PA      | $4129427.09    | 0.06%             | 2051-09-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| START IRELAND 2019-1                                                       | START LTD. STARR 2019 1 A 144A                              | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     513437 | PA      | $508498.26     | 0.01%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3310639 | PA      | $-3318973.68   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTG SECURITIES 1999-2                                     | SALOMON BROTHERS MORTGAGE SECU SBM7 1999 2 A4               | CUSIP: 79548KH35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86575 | PA      | $85627.60      | 0.00%             | 2029-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 B3 144A        | CUSIP: 64832BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16143167 | PA      | $14485218.55   | 0.22%             | 2064-09-25      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 09/21/22-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $17946879.32   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -832519 | PA      | $-840291.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21221665 | PA      | $-21341744.40  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4762350 | PA      | $-4765128.04   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                             | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                      | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451140 | PA      | $444600.32     | 0.01%             | 2035-06-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTILITIES LIMITED 2021 GBP REVOLVER            | CUSIP: BA0008XV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | LON              | CORP              | GB        |    7235090 | PA      | $7274636.32    | 0.11%             | 2025-11-28      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -3890184 | PA      | $-4598674.88   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B3 144A       | CUSIP: 617941AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $648121.39     | 0.01%             | 2070-01-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3766.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                       | EUROSAIL PLC ESAIL 2007 1X D1A REGS                         | CUSIP: ACI05RDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    7067000 | PA      | $7205804.00    | 0.11%             | 2045-03-13      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI1 144A       | CUSIP: 760985X89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287210 | PA      | $289506.56     | 0.00%             | 2034-04-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250721                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $45803.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1            | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     472083 | PA      | $395177.22     | 0.01%             | 2037-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES CORP 2006-EMX8                                | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX8 1A3           | CUSIP: 74924UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2217376 | PA      | $2050442.05    | 0.03%             | 2036-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B3 144A               | CUSIP: 59980XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2759118 | PA      | $1944409.17    | 0.03%             | 2058-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI               | CUSIP: 38378HFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149205 | PA      | $16018.63      | 0.00%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRANSNET SOC LTD                                                           | TRANSNET SOC LTD 2015 ZAR TERM LOAN                         | CUSIP: BA000FR04<br>LEI: 378900B07CD6F01EA796 | Long             | LON              | CORP              | ZA        |  176657143 | PA      | $9897915.39    | 0.15%             | 2028-03-02      | Floating      | 11.56%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1556362 | PA      | $-1560979.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A          | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1297765 | PA      | $870426.09     | 0.01%             | 2035-07-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2606.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A G 144A          | CUSIP: 80290CCP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2202837 | PA      | $2204252.53    | 0.03%             | 2032-06-15      | Fixed         | 13.03%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 6A2 144A          | CUSIP: 12645KES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1030557 | PA      | $866826.98     | 0.01%             | 2036-05-27      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -3566107 | PA      | $-4202054.42   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-46                                                  | FANNIE MAE FNR 2012 46 LS                                   | CUSIP: 3136A5J64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2258771 | PA      | $2275640.23    | 0.03%             | 2041-01-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                    | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A             | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5600000 | PA      | $1781939.04    | 0.03%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ADAGIO VI CLO DAC VI-A                                                     | ADAGIO CLO ADAGI VI A SUB 144A                              | CUSIP: ACI0YQYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1746368 | PA      | $476432.52     | 0.01%             | 2031-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                 | EQTYWM927 WESTMORELAND MINING                               | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     240987 | NS      | $564812.27     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                          | FREDDIE MAC   SCRT SCRT 2021 1 BXS 144A                     | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1584340 | PA      | $1166016.80    | 0.02%             | 2060-09-25      | Fixed         | 13.42%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 2A5          | CUSIP: 02146VAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8376326 | PA      | $2480614.56    | 0.04%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -128563710 | PA      | $-129882095.40 | -1.96%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B            | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9884854 | PA      | $7551682.23    | 0.11%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 02/27 8.125                | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   20600000 | PA      | $18555553.00   | 0.28%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3             | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455768 | PA      | $225230.41     | 0.00%             | 2037-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2006-1F                                      | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 3S             | CUSIP: 86800RAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3884402 | PA      | $585920.08     | 0.01%             | 2036-04-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP F 144A       | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $56645.37      | 0.00%             | 2038-12-05      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1                          | FREDDIE MAC   SCRT SCRT 2018 1 BX                           | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4112510 | PA      | $1840409.12    | 0.03%             | 2057-05-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| GLGU-2021-1A                                                               | MAN GLG US CLO 2021 1 LTD GLGU 2021 1A SUB 144A             | CUSIP: 56166XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6450000 | PA      | $3264499.61    | 0.05%             | 2034-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO110626                                  | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 3372600000 | PA      | $1785144.87    | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-969.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                     | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 D 144A           | CUSIP: 39571MAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $935155.08     | 0.01%             | 2059-06-25      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8           | CUSIP: 12668AUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     689496 | PA      | $346706.68     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                          | VERUS SECURITIZATION TRUST VERUS 2024 5 B2 144A             | CUSIP: 92540HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $992832.00     | 0.01%             | 2069-06-25      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 1C 144A         | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24670407 | PA      | $8611277.19    | 0.13%             | 2036-11-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3           | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48571 | PA      | $43742.12      | 0.00%             | 2035-07-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5239811 | PA      | $-5239810.66   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                  | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $24272.69      | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP E 144A          | CUSIP: 12651QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7454000 | PA      | $7405605.65    | 0.11%             | 2032-07-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                    | FREDDIE MAC FHR 5000 IA                                     | CUSIP: 3137FVFL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5378540 | PA      | $859667.58     | 0.01%             | 2048-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                             | COUNTRYWIDE HOME LOANS CWHL 2005 24 A22                     | CUSIP: 126694KN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19206 | PA      | $7200.18       | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3            | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5827431 | PA      | $5080615.27    | 0.08%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FAB UK LTD 2004-1                                                          | FAB FAB 2004 1 S2 REGS                                      | CUSIP: ACI0MWFN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   15806000 | PA      | $4056678.30    | 0.06%             | 2045-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                      | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1           | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1081305 | PA      | $1003403.68    | 0.02%             | 2037-07-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                    | FREDDIE MAC FHR 5051 SX                                     | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29180818 | PA      | $970136.71     | 0.01%             | 2048-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA            | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2309310 | PA      | $2131220.08    | 0.03%             | 2037-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A           | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8005000 | PA      | $7661179.65    | 0.12%             | 2038-11-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2          | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1221431 | PA      | $697417.91     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 01/30 0.875           | CUSIP: ACI235LV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $674878.44     | 0.01%             | 2030-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A13           | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59072 | PA      | $48393.92      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8            | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     318197 | PA      | $151802.11     | 0.00%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $390.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12627809 | PA      | $-12745373.82  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -969220 | PA      | $-983116.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260615                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-192.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT INC/CENTRAL MERGER SUB INC)                     | CNTRL PARENT/CDK GLB INC SR SECURED 144A 06/29 7.25         | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11770000 | PA      | $9609148.05    | 0.14%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR12                                                   | BCAP LLC TRUST BCAP 2012 RR12 3A3 144A                      | CUSIP: 05542BAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1208433 | PA      | $1094862.58    | 0.02%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-2                                              | ROCKFORD TOWER CLO LTD ROCKT 2017 2A SUB 144A               | CUSIP: 77340HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11666667 | PA      | $2358008.75    | 0.04%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-39821.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                 | FANNIE MAE FNR 2006 113 BQ                                  | CUSIP: 31396LZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31331 | PA      | $1321.50       | 0.00%             | 2036-11-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                   | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A C 144A          | CUSIP: 37989EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1031934.40    | 0.02%             | 2030-08-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                    | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   65019546 | PA      | $633095321.14  | 9.55%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN ALTERNATIVE LN TRUST 2005-S1                                   | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 S1 2A12           | CUSIP: 46627MAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     481503 | PA      | $322156.31     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R03                               | FANNIE MAE   CAS CAS 2021 R03 1B2 144A                      | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5966000 | PA      | $6222106.66    | 0.09%             | 2041-12-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A3              | CUSIP: 05951EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66595 | PA      | $57443.50      | 0.00%             | 2047-01-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| LION III RE DESIGNATED ACTIVITY COMPANY                                    | LION III RE DAC UNSECURED 144A 07/25 VAR                    | CUSIP: ACI1YQSF5<br>LEI: 6354006E8VRXKKHS6U06 | Long             | DBT              | CORP              | IE        |     900000 | PA      | $1060685.66    | 0.02%             | 2025-07-16      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PEN SOLD USD 20250711                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $7640.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUCHAN (ELO SACA)                                                          | ELO SACA SR UNSECURED REGS 01/26 2.875                      | CUSIP: ACI1LZ6Q9<br>LEI: 969500ASEC557H5A4F22 | Long             | DBT              | CORP              | FR        |    2200000 | PA      | $2561041.40    | 0.04%             | 2026-01-29      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1              | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2437979 | PA      | $735891.93     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2006-AA2                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA2 2A1           | CUSIP: 32051GW76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370441 | PA      | $310279.16     | 0.00%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A C 144A                | CUSIP: 19424RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2647000 | PA      | $2714816.93    | 0.04%             | 2054-06-25      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 4A1           | CUSIP: 94985GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1211141 | PA      | $1065454.31    | 0.02%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M4            | CUSIP: 04541GUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2439000 | PA      | $2356868.87    | 0.04%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2009-R2                                       | MORGAN STANLEY REREMIC TRUST MSRR 2009 R2 1A1B 144A         | CUSIP: 61758MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5640307 | PA      | $5673524.20    | 0.09%             | 2036-04-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9030448 | PA      | $-9039790.20   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | FORESEA HLDG S A COMMON STOCK                               | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      26354 | NS      | $540257.00     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| ATLAS RE LIMITED                                                           | ATLAS RE LIMITED ATLAS RE LTD SIDECAR                       | CUSIP: 956BLH000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        528 | NS      | $53689752.44   | 0.81%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10439291 | PA      | $-10451359.00  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2             | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18369468 | PA      | $11840055.00   | 0.18%             | 2037-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                       | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A       | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2210000 | PA      | $2041260.31    | 0.03%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805A 144A       | CUSIP: 17328CBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $1023090.60    | 0.02%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A8                         | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1253362 | PA      | $1160872.95    | 0.02%             | 2031-02-01      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                          | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1              | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     199764 | PA      | $504.68        | 0.00%             | 2049-05-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLDING COMMON STOCK                      | CUSIP: ACI2J2G58<br>LEI: 529900GNB86RB7HRX793 | Long             | EC               | CORP              | LU        |     843935 | NS      | $0.99          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A           | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29203 | PA      | $27310.50      | 0.00%             | 2035-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M5                | CUSIP: 126673VT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     693219 | PA      | $569807.87     | 0.01%             | 2035-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 E 144A       | CUSIP: 46654PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $8856367.20    | 0.13%             | 2038-11-15      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -5858191 | PA      | $-8084463.44   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A              | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401082 | PA      | $329841.78     | 0.00%             | 2035-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A           | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238287 | PA      | $213089.91     | 0.00%             | 2037-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                          | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                 | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184210 | PA      | $179498.35     | 0.00%             | 2047-04-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                       | BX TRUST BX 2021 MC G 144A                                  | CUSIP: 05608GAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3694130.80    | 0.06%             | 2034-04-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A             | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        176 | PA      | $82449.11      | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING 06/60 0                           | CUSIP: ACI2S8XS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        145 | PA      | $0.00          | 0.00%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15             | CUSIP: ACI1FGXS4<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $76250.00      | 0.00%             | 2025-09-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                           | NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A2 144A               | CUSIP: 62955RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1056016 | PA      | $1044569.15    | 0.02%             | 2061-08-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| KENYA GOVT                                                                 | REPUBLIC OF KENYA 2024 TERM LOAN A                          | CUSIP: BA000C8P7<br>LEI: 549300VVURQQYU45PR87 | Long             | LON              | NUSS              | KE        |    5000000 | PA      | $4988075.15    | 0.08%             | 2028-04-05      | Floating      | 9.85%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG           | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     800000 | PA      | $96000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON B 144A        | CUSIP: 46649XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13293000 | PA      | $10451615.93   | 0.16%             | 2031-07-05      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7594369 | PA      | $-7667866.91   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18284364 | PA      | $-18301749.38  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3661352 | PA      | $-3672315.51   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19125753 | PA      | $-19237744.91  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                        | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                    | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |   77460000 | PA      | $62502179.21   | 0.94%             | 2030-11-30      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                      | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1457110 | PA      | $292060.29     | 0.00%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A       | CUSIP: 466309AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13002049 | PA      | $6291239.48    | 0.09%             | 2037-06-27      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                             | FREMONT HOME LOAN TRUST FHLT 2005 E M1                      | CUSIP: 35729PND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4700000 | PA      | $3906279.98    | 0.06%             | 2036-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2200000 | PA      | $2272270.00    | 0.03%             | 2032-06-07      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 SN                                     | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6033595 | PA      | $802202.09     | 0.01%             | 2050-05-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5                | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |    2710539 | PA      | $2578013.97    | 0.04%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-5                                                   | FANNIE MAE FNR 2013 5 GS                                    | CUSIP: 3136ABG72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1015433 | PA      | $847957.89     | 0.01%             | 2042-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A     | CUSIP: 36260AAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  104409679 | PA      | $364102.65     | 0.01%             | 2059-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2010624 | PA      | $-2037863.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTION BV                                               | YINSON BORONIA PRODUCTIO SR SECURED REGS 07/42 8.947        | CUSIP: N9733XAA5<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |     683914 | PA      | $728735.43     | 0.01%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M5              | CUSIP: 03072SA39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $873335.25     | 0.01%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250725                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $16736.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-511384.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AX66 CREDIT SUISSE GROUP AG           | CUSIP: 952NPJ000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $24000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2771.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14784830 | PA      | $-14915987.60  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $17443.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/34 8.625      | CUSIP: 368266AA0<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    1081000 | PA      | $945875.00     | 0.01%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $298903.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3                          | FREDDIE MAC   SCRT SCRT 2020 3 BXS 144A                     | CUSIP: 35563PUB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1872221 | PA      | $1089490.37    | 0.02%             | 2060-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -102 | NC      | $385717.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                     | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507        | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1393318 | PA      | $1459519.32    | 0.02%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 F 144A       | CUSIP: 46654PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1469089.80    | 0.02%             | 2038-11-15      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                            | ARGENT SECURITIES INC. ARSI 2006 W5 A2B                     | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6337932 | PA      | $1728394.75    | 0.03%             | 2036-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B E 144A          | CUSIP: 02007G4F7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     446434 | PA      | $449132.86     | 0.01%             | 2032-09-15      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-ACNT                                     | BX TRUST BX 2021 ACNT D 144A                                | CUSIP: 05609QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19182053 | PA      | $19159224.90   | 0.29%             | 2038-11-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                    | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                 | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8323874 | PA      | $8911952.37    | 0.13%             | 2041-11-25      | Floating      | 12.11%                | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A B 144A                           | CUSIP: 83743YAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2564774 | PA      | $256.48        | 0.00%             | 2041-01-06      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT AUD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $3796.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1168420 | PA      | $-1169530.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-516620.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                              | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                     | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   10000000 | NS      | $9712500.00    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1686248 | PA      | $-1687943.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-10                                              | LEHMAN MORTGAGE TRUST LMT 2007 10 1A1                       | CUSIP: 52522QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     303196 | PA      | $295526.83     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A D 144A          | CUSIP: 80290CCL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1525041 | PA      | $1536948.83    | 0.02%             | 2032-06-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                    | BCAP LLC TRUST BCAP 2010 RR2 2A2 144A                       | CUSIP: 05532VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4968172 | PA      | $2744919.72    | 0.04%             | 2035-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION                                                    | CLUE OPCO LLC SR SECURED 144A 10/31 9.5                     | CUSIP: 36267QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5528000 | PA      | $5865650.24    | 0.09%             | 2031-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3119300 | PA      | $-3122448.29   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 06/17/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $244107.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                 | ENCINA PRIVATE CREDIT LLC NOTE                              | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1809974 | PA      | $1764714.36    | 0.03%             | 2025-11-30      | Floating      | 8.05%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -6765980 | PA      | $-7974279.18   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95               | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       4000 | PA      | $1227.80       | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2010-C1                                     | GS MORTGAGE SECURITIES TRUST GSMS 2010 C1 X 144A            | CUSIP: 36249KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     971700 | PA      | $14.28         | 0.00%             | 2043-08-10      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-7F                                            | GSR MORTGAGE LOAN TRUST GSR 2006 7F 4A1                     | CUSIP: 36298NAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     590660 | PA      | $152302.28     | 0.00%             | 2036-08-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $25524.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M2              | CUSIP: 64352VPA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2194854 | PA      | $1876820.51    | 0.03%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8924593 | PA      | $-9038716.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                  | HILTON USA TRUST HILT 2016 SFP A 144A                       | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $850460.50     | 0.01%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10930856 | PA      | $-10941526.69  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO GBP ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -6921123 | PA      | $-9561225.66   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOFTBANK GROUP CORP SNR JP SP GST                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-20965.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                               | DBGS MORTGAGE TRUST DBGS 2021 W52 E 144A                    | CUSIP: 23308LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26404000 | PA      | $21890748.44   | 0.33%             | 2036-10-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                     | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 C 144A           | CUSIP: 39571MAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $512816.80     | 0.01%             | 2059-06-25      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1              | CUSIP: 225470B93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2849743 | PA      | $1677861.88    | 0.03%             | 2036-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                  | JETBLUE AIRWAYS/LOYALTY JETBLUE AIRWAYS/LOYALTY             | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25352000 | PA      | $24680330.96   | 0.37%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5         | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |   13740795 | PA      | $13637189.41   | 0.21%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                    | BCAP LLC TRUST BCAP 2010 RR7 2A13 144A                      | CUSIP: 05533DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2212724 | PA      | $2134613.07    | 0.03%             | 2045-07-26      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                             | ADLER GROUP SA   VTG SHS COMMON STOCK                       | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |   10224514 | NS      | $12.04         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -188829 | PA      | $-190357.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2677500 | PA      | $-2688799.10   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 4A3           | CUSIP: 94985GBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1328619 | PA      | $1168800.48    | 0.02%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3              | CUSIP: 86362TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4557679 | PA      | $3000317.48    | 0.05%             | 2037-02-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-42                                                  | FANNIE MAE FNR 2019 42 SK                                   | CUSIP: 3136B5VS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137075 | PA      | $15382.91      | 0.00%             | 2049-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2152503 | PA      | $-2156258.60   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A         | CUSIP: 74928XDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243595 | PA      | $217680.72     | 0.00%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625            | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    7200000 | PA      | $5040000.00    | 0.08%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1              | CUSIP: 05950PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425314 | PA      | $412409.62     | 0.01%             | 2046-09-20      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A            | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184255 | PA      | $158616.15     | 0.00%             | 2046-10-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -20618880 | PA      | $-20879537.01  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1              | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254294 | PA      | $215466.74     | 0.00%             | 2046-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                               | ACE SECURITIES CORP. ACE 2005 HE5 M5                        | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5096419 | PA      | $4250967.70    | 0.06%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20250703                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-272.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CLARITEV CORPORATION                                                       | CLARITEV CORP SR SECURED 144A 03/31 6.75                    | CUSIP: 62548MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26061695 | PA      | $18373494.98   | 0.28%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250922                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $14786.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PRODS INC 2005-SL1                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 SL1 A7             | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202153 | PA      | $130757.58     | 0.00%             | 2032-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C                | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11928253 | PA      | $6756158.75    | 0.10%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A           | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92197 | PA      | $74361.17      | 0.00%             | 2035-01-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A4             | CUSIP: 761119AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10263563 | PA      | $2884008.93    | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3977459 | PA      | $-4021851.90   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005-5                                            | FBR SECURITIZATION TRUST FBRSI 2005 5 M4                    | CUSIP: 30246QCS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3644000 | PA      | $2033597.24    | 0.03%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1              | CUSIP: 05946XRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     787659 | PA      | $731526.64     | 0.01%             | 2035-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13765338 | PA      | $12182324.13   | 0.18%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -537488 | PA      | $-537814.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.AA.06-2 SP ULO                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3539107.01   | -0.05%            |  |  |  | No            |                  3 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-7                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A2               | CUSIP: 61749JAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1695873 | PA      | $450354.92     | 0.01%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 X 144A                | CUSIP: 89178WAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   65367769 | PA      | $533306.21     | 0.01%             | 2060-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 1999-5                                     | GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2               | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4188108 | PA      | $4222522.98    | 0.06%             | 2029-12-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC JPY TERM LOAN                           | CUSIP: BA000FPQ9<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |  192883481 | PA      | $1314506.17    | 0.02%             | 2032-01-30      | Floating      | 6.00%                 | No            |                  3 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                    | ACHV ABS TRUST ACHV 2024 3AL A 144A                         | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      55415 | PA      | $55637.41      | 0.00%             | 2031-12-26      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM HOLDINGS II LLC                                                 | WINDSTREAM UNITS EQUITY                                     | CUSIP: 952YSX903<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    3155914 | NS      | $61861535.08   | 0.93%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $591.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A      | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52025000 | PA      | $7608656.25    | 0.11%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B14                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B14 225C 144A           | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $36274.14      | 0.00%             | 2062-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -94205181 | PA      | $-94517889.87  | -1.43%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/30 VAR              | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     605369 | PA      | $292538.52     | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1400000 | PA      | $-1411992.17   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11769000 | PA      | $11615428.91   | 0.18%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M5             | CUSIP: 04542BKW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245683 | PA      | $216322.79     | 0.00%             | 2035-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -143475 | PA      | $-143552.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $207.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                                       | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2            | CUSIP: 542514PS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50024795 | PA      | $47189519.96   | 0.71%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A            | CUSIP: 41161UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36682 | PA      | $31207.47      | 0.00%             | 2036-08-19      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                       | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   15554164 | PA      | $19921690.57   | 0.30%             | 2045-09-13      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                        | MARGATE FUNDING LTD MGATE 2004 1A A1S 144A                  | CUSIP: 56659NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14352188 | PA      | $2678721.01    | 0.04%             | 2044-12-04      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                    | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR         | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |    4300000 | NS      | $4320726.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | DRILLCO HLDG LUX S A COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |     237203 | NS      | $4862661.50    | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A             | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10939000 | PA      | $10744077.96   | 0.16%             | 2035-04-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                    | BCAP LLC TRUST BCAP 2010 RR3 7A6 144A                       | CUSIP: 05532WDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1864466 | PA      | $1584577.31    | 0.02%             | 2035-11-26      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HUF BOUGHT USD 20250822                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-33630.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X D1A REGS                         | CUSIP: G3299TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8666547 | PA      | $9721975.49    | 0.15%             | 2045-06-13      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A2 144A                               | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    3833286 | PA      | $3431062.10    | 0.05%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TOLL ROAD INVESTORS PARTNERSHIP II LP                                      | TOLL ROAD INV PART II INSURED 144A 02/43 0.00000            | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18028954 | PA      | $6113618.33    | 0.09%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 3A1           | CUSIP: 02150QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65862 | PA      | $59010.05      | 0.00%             | 2037-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST E 144A       | CUSIP: 46652DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $46320.00      | 0.00%             | 2036-12-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES LIMITED                                             | THAMES WATER UTIL LTD SR SECURED 144A 03/27 0.00000         | CUSIP: ACI2VX3Q4<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |     111900 | PA      | $129649.93     | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                                   | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                      | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3805201 | PA      | $3265590.79    | 0.05%             | 2037-03-27      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                | WAYFAIR LLC SR SECURED 144A 10/29 7.25                      | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3610612.80    | 0.05%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                      | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5                | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     183959 | PA      | $187109.46     | 0.00%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2014-150E                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25312000 | PA      | $22482784.11   | 0.34%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $43405.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                          | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2             | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5290 | PA      | $4837.04       | 0.00%             | 2035-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2            | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5286 | PA      | $2329.66       | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                             | COUNTRYWIDE HOME LOANS CWHL 2007 11 A1                      | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2970787 | PA      | $1270507.73    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PASTOR IM FTH/FTA 4                                                        | PASTOR IM FTH/FTA IMPAS 4 A REGS                            | CUSIP: B16Q8CII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   15383049 | PA      | $16203793.97   | 0.24%             | 2044-03-22      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST 2007-1                                      | BAYVIEW COMMERCIAL ASSET TRUST BAYC 2007 1 A1 144A          | CUSIP: 07325MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101237 | PA      | $96168.62      | 0.00%             | 2037-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11336983 | PA      | $-11348269.75  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A F 144A                                 | CUSIP: ACI2JTLG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8564000 | PA      | $11690765.51   | 0.18%             | 2049-12-28      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-37948297.14  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $113244.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -4818052 | PA      | $-6648603.56   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2005-HE2                                    | IXIS REAL ESTATE CAPITAL TRUST IXIS 2005 HE2 M5             | CUSIP: 45071KBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1568368 | PA      | $1649172.78    | 0.02%             | 2035-09-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6              | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1188961.92    | 0.02%             | 2035-05-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SABINE RE LTD                                                              | SABINE RE LTD UNSECURED 144A 04/31 VAR                      | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $310830.00     | 0.00%             | 2031-04-07      | Floating      | 12.55%                | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 B6 144A            | CUSIP: 59982HBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3865285 | PA      | $2112426.57    | 0.03%             | 2060-11-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A8          | CUSIP: 12668AU52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52739 | PA      | $50879.34      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD 2016-11A                                                       | OCP 2016 11A PREF 144A                                      | CUSIP: 955XGZII1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       2045 | PA      | $777930.52     | 0.01%             | 2036-04-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                     | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   49686866 | PA      | $68889611.38   | 1.04%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A               | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     646000 | PA      | $881943.34     | 0.01%             | 2049-12-21      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -593970 | PA      | $-699833.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19407500 | PA      | $-19661781.37  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                           | HSI ASSET LOAN OBLIGATION HALO 2007 1 1A1                   | CUSIP: 40431TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1411031 | PA      | $1277098.83    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1            | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44317 | PA      | $41999.07      | 0.00%             | 2045-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-BC1                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 BC1 B1             | CUSIP: 86359AMC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3846320 | PA      | $3503011.23    | 0.05%             | 2032-05-25      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14129877 | PA      | $-14161757.82  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                   | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     969686 | PA      | $875477.23     | 0.01%             | 2046-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 01/30 0.0000            | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     608886 | PA      | $510468.11     | 0.01%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1              | CUSIP: 059475AQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     258375 | PA      | $32200.30      | 0.00%             | 2037-06-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                     | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  276200000 | PA      | $6728506.76    | 0.10%             | 2028-05-17      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                                              | ARGENT SECURITIES INC. ARSI 2005 W3 M2                      | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14850602 | PA      | $13066069.02   | 0.20%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B           | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1132933 | PA      | $925977.55     | 0.01%             | 2047-06-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -57432710 | PA      | $-57432710.00  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9097852 | PA      | $-9107210.65   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                 | OCS GROUP HOLDINGS LTD GBP TERM LOAN B                      | CUSIP: BA000BQB0<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |   43500000 | PA      | $59607858.01   | 0.90%             | 2031-11-28      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.50000 09/16/20-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $6650242.97    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2              | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     298587 | PA      | $265781.61     | 0.00%             | 2036-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                           | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 A D 144A          | CUSIP: 02007GZ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     307860 | PA      | $311118.67     | 0.00%             | 2032-05-17      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2                | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248621 | PA      | $243531.89     | 0.00%             | 2035-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                       | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  355485000 | PA      | $32527872.86   | 0.49%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M4            | CUSIP: 83611PBX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106173 | PA      | $106122.17     | 0.00%             | 2035-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT 2022-B ASSET SECURITIZATION TRUST                             | LENDINGPOINT ASSET SECURITIZAT LDPT 2022 B B 144A           | CUSIP: 52606WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     780688 | PA      | $757205.29     | 0.01%             | 2029-10-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     395500 | PA      | $598457.88     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A YC 144A                                | CUSIP: ACI2JTLC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    9500000 | PA      | $19.56         | 0.00%             | 2049-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3             | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14015433 | PA      | $7225244.65    | 0.11%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TALON FUNDING LTD 1A                                                       | TALON FUNDING LTD TALON 1A A 144A                           | CUSIP: 87483UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     675547 | PA      | $102722.39     | 0.00%             | 2035-06-05      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1.87          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 02/30 3.5             | CUSIP: ACI0KSYW4<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $273294.24     | 0.00%             | 2030-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2712997 | PA      | $-2741566.92   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP B 144A        | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1464419 | PA      | $1440221.44    | 0.02%             | 2037-04-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.22 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-111042.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                     | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A       | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  253289618 | PA      | $15324047.23   | 0.23%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1680097 | PA      | $-1691054.28   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250908                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-231983.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO120626                                  | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 3382300000 | PA      | $1789339.26    | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                   | ANTHRACITE LTD SER 2004 HY1 CL D 144A                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2020690 | PA      | $20.21         | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1            | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     814891 | PA      | $759199.36     | 0.01%             | 2036-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                     | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        | 1484300000 | PA      | $35800043.72   | 0.54%             | 2028-09-06      | Fixed         | 49.96%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-12R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 12R 16A1 144A        | CUSIP: 12642MBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2930656 | PA      | $1517483.41    | 0.02%             | 2036-08-27      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7131517 | PA      | $-7210439.12   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3             | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258030 | PA      | $228189.38     | 0.00%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1            | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7570533 | PA      | $2457129.15    | 0.04%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1321968 | PA      | $-1329389.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                            | GSR MORTGAGE LOAN TRUST GSR 2004 14 3A1                     | CUSIP: 36242DPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7093 | PA      | $6691.21       | 0.00%             | 2034-12-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                           | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A        | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $284519.90     | 0.00%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1           | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2248196 | PA      | $941090.60     | 0.01%             | 2037-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                               | ACE SECURITIES CORP. ACE 2006 NC3 A2B                       | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20631007 | PA      | $5165725.65    | 0.08%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-224434.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -23272166 | PA      | $-23466650.20  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A1A             | CUSIP: 17312VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1561900 | PA      | $1392796.64    | 0.02%             | 2037-03-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                    | CUSIP: 46583VAB5<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |   11912869 | PA      | $12285145.89   | 0.19%             | 2029-06-01      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC CAD TERM LOAN                           | CUSIP: BA000FPR7<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    1803916 | PA      | $1299799.34    | 0.02%             | 2032-01-30      | Floating      | 7.68%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3719579 | PA      | $-3729584.67   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A          | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1329399 | PA      | $1227631.33    | 0.02%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA 2022 EUR TERM LOAN 1               | CUSIP: BA000GZZ6<br>LEI: 969500I7C8V1LBIMSM05 | Long             | LON              | CORP              | FR        |    5500000 | PA      | $6307874.07    | 0.10%             | 2025-12-22      | Floating      | 3.56%                 | Yes           |                  3 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                           | DUN + BRADSTREET CORPOR THE 2025 TERM LOAN                  | CUSIP: BA000K739<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   13642066 | PA      | $13505645.09   | 0.20%             | 2032-05-31      | Floating      | 9.58%                 | No            |                  3 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2            | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19181618 | PA      | $4795790.05    | 0.07%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -100663676 | PA      | $-101069604.02 | -1.52%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                        | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A         | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18810000 | PA      | $16493426.24   | 0.25%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A R 144A                                 | CUSIP: ACI2JTMW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    6403000 | PA      | $6214298.53    | 0.09%             | 2049-12-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -842672 | PA      | $-845065.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                              | PURPLE RE LTD UNSECURED 144A 06/27 VAR                      | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     700000 | PA      | $716520.00     | 0.01%             | 2027-06-07      | Floating      | 13.32%                | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   21344000 | PA      | $14321113.24   | 0.22%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1            | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     674578 | PA      | $648433.30     | 0.01%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 10/29 4.25                 | CUSIP: ACI20QTK8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   14800000 | PA      | $14672176.33   | 0.22%             | 2029-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $43.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -81915833 | PA      | $-82779134.88  | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA 2023 EUR TERM LOAN B14                     | CUSIP: F6628DAP9<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    1493161 | PA      | $1587063.15    | 0.02%             | 2028-08-15      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-22                                             | COUNTRYWIDE HOME LOANS CWHL 2005 22 2A1                     | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651280 | PA      | $539991.26     | 0.01%             | 2035-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9739125 | PA      | $-9826752.78   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $40962.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/28 6.75         | CUSIP: ACI2L7Q61<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      69993 | PA      | $8749.13       | 0.00%             | 2028-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| KENNEDY WILSON EUROPE REAL ESTATE LIMITED                                  | KENNEDY WILSON EUR REAL SR UNSECURED REGS 11/25 3.25        | CUSIP: ACI0HXJ38<br>LEI: 213800WIL553Z1T6DZ52 | Long             | DBT              | CORP              | JE        |    2463158 | PA      | $2882600.48    | 0.04%             | 2025-11-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A          | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     617752 | PA      | $575653.78     | 0.01%             | 2046-02-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                   | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875        | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |    3000000 | PA      | $3593036.09    | 0.05%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN 2011-RR3 TRUST                                   | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR3 A5 144A       | CUSIP: 94987VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2993894 | PA      | $1701389.38    | 0.03%             | 2037-03-27      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-382337.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1956698.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR              | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1593077 | PA      | $752728.88     | 0.01%             | 2036-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4           | CUSIP: 83612TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4967783 | PA      | $3270594.87    | 0.05%             | 2037-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M6             | CUSIP: 04542BKX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405300 | PA      | $292886.38     | 0.00%             | 2035-03-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A2              | CUSIP: 76111XZS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40018 | PA      | $28059.36      | 0.00%             | 2035-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                    | GATEWY CSINS + ENTRTINMNT LTD 2024 TERM LOAN B              | CUSIP: BA000DCX3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   67816176 | PA      | $67844659.02   | 1.02%             | 2030-12-18      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16060490 | PA      | $-16075635.72  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                        | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1200000 | PA      | $1205520.00    | 0.02%             | 2033-04-10      | Floating      | 14.04%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA 2023 USD TERM LOAN B14                     | CUSIP: F6628DAN4<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |   59613465 | PA      | $54165390.48   | 0.82%             | 2028-08-15      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -32872703 | PA      | $-33102583.63  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                        | MARGATE FUNDING LTD MGATE 2004 1A A1J 144A                  | CUSIP: 56659NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4126000 | PA      | $0.04          | 0.00%             | 2044-12-04      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1             | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5350223 | PA      | $2651894.52    | 0.04%             | 2036-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                      | ASTON MARTIN CAPITAL HOL ASTON MARTIN CAPITAL HOL           | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |   12724000 | PA      | $12062332.91   | 0.18%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                            | BEAR STEARNS ALT A TRUST BALTA 2007 2 2A1                   | CUSIP: 073870AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3387356 | PA      | $2353080.01    | 0.04%             | 2037-04-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A4          | CUSIP: 02149CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7280860 | PA      | $3500561.72    | 0.05%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B5 144A               | CUSIP: 59980XAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1379060 | PA      | $780328.57     | 0.01%             | 2058-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C                | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6242564 | PA      | $2146043.64    | 0.03%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS A 144A         | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6246000 | PA      | $5030608.97    | 0.08%             | 2036-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-39821.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805B 144A       | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $669746.24     | 0.01%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D                | CUSIP: 61753NAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4157544 | PA      | $1809339.18    | 0.03%             | 2037-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 2A              | CUSIP: 41161PDW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61930 | PA      | $56293.69      | 0.00%             | 2034-06-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU E 144A          | CUSIP: 36256AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10358000 | PA      | $10239868.05   | 0.15%             | 2032-11-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2004-6A                                                   | DUKE FUNDING LTD DUKEF 2004 6A A1S 144A                     | CUSIP: 264407AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7545721 | PA      | $594934.83     | 0.01%             | 2039-04-08      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M2                 | CUSIP: 70069FLH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6078 | PA      | $6074.16       | 0.00%             | 2035-07-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| INTERNET BRANDS INC (MH SUB I LLC)                                         | MH SUB I LLC 2024 TERM LOAN B4                              | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    4975000 | PA      | $4336035.88    | 0.07%             | 2031-12-31      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A               | CUSIP: 33844T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9000 | PA      | $384187.81     | 0.01%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                     | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4                | CUSIP: 61744CLX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6378689 | PA      | $5686198.93    | 0.09%             | 2035-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7365848.95    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-373324.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -16161169 | PA      | $-19199469.30  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2038808 | PA      | $-2055322.75   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                                     | FIRST BRANDS GROUP, LLC 2022 INCREMENTAL TERM LOAN          | CUSIP: 31935HAG2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6866917 | PA      | $6499262.41    | 0.10%             | 2027-03-30      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS E 144A         | CUSIP: 61692AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18590000 | PA      | $854954.10     | 0.01%             | 2036-12-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                        | VICI PROPERTIES INC REIT USD.01                             | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     711293 | NS      | $23188151.80   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1          | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2323022 | PA      | $1036920.04    | 0.02%             | 2036-10-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6628782.59   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -5941275 | PA      | $-8198850.40   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250822                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-103586.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2           | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177101 | PA      | $89138.00      | 0.00%             | 2037-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4745823 | PA      | $-4925494.17   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                         | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   11610000 | PA      | $6675750.00    | 0.10%             | 2029-04-09      | Floating      | 17.31%                | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL6 A1 144A       | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1503852.15    | 0.02%             | 2055-06-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                             | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9672842 | PA      | $5332357.11    | 0.08%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1B 144A                         | CUSIP: 83743YAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      47526 | PA      | $8726.37       | 0.00%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| TIERRA MOJADA LUXEMBOURG II SARL                                           | TIERRA MOJADA LUX II SRL SR SECURED 144A 12/40 5.75         | CUSIP: 30260LAA3<br>LEI: 254900H2U8PBIY32VI94 | Long             | DBT              | CORP              | LU        |      58090 | PA      | $54926.64      | 0.00%             | 2040-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                                    | FREDDIE MAC FHR 4687 SG                                     | CUSIP: 3137BY4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212765 | PA      | $26131.84      | 0.00%             | 2047-01-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                    | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2               | CUSIP: 00764MFS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     216903 | PA      | $213593.18     | 0.00%             | 2035-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 1A1            | CUSIP: 12667GNS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3581228 | PA      | $3223169.50    | 0.05%             | 2035-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -30551726 | PA      | $-30596628.06  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| JSC UZBEKNEFTEGAZ                                                          | UZBEKNEFTEGAZ SR UNSECURED 144A 05/30 8.75                  | CUSIP: 91825MAC7<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | MUN               | UZ        |    9550000 | PA      | $9844413.89    | 0.15%             | 2030-05-07      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                   | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A         | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2402867.00    | 0.04%             | 2034-09-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9            | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5100359 | PA      | $2278018.28    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 3A2 144A          | CUSIP: 75524MAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3309133 | PA      | $1660527.81    | 0.03%             | 2036-03-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 SD              | CUSIP: 38375GTB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1179608 | PA      | $132078.06     | 0.00%             | 2042-08-20      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN      | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  115342147 | PA      | $118802411.52  | 1.79%             | 2028-09-15      | Fixed         | 12.24%                | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A2             | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10333647 | PA      | $3014385.75    | 0.05%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.245 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-54693.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS (1261229 BC LTD)                                         | BAUSCH HEALTH COMPANIES INC 2025 TERM LOAN B                | CUSIP: C6903HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |   36400000 | PA      | $35185696.00   | 0.53%             | 2030-10-08      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265585 | PA      | $121611.90     | 0.00%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST D 144A       | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3030000 | PA      | $136168.20     | 0.00%             | 2036-12-15      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250708                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $23.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                      | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3              | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     391870 | PA      | $329848.85     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                     | LUMEN TECHNOLOGIES INC 2024 EXTENDED TERM LOAN B2           | CUSIP: 55024EAG0<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |   14360337 | PA      | $14202229.42   | 0.21%             | 2030-04-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                  | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   14345000 | PA      | $13340459.82   | 0.20%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 07/29 5.125                | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   54564000 | PA      | $45151710.00   | 0.68%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 4A1              | CUSIP: 86361BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2255570 | PA      | $387114.06     | 0.01%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-28694.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 01/33 8.875                       | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    3500000 | PA      | $3613068.10    | 0.05%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250729                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $25963.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                              | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                     | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7286113 | PA      | $2342035.64    | 0.04%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25590912 | PA      | $-25916826.07  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20250729                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-10118.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5              | CUSIP: 45660LTS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549874 | PA      | $319370.54     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                              | ARGENT SECURITIES INC. ARSI 2005 W5 M1                      | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1089031 | PA      | $1118897.19    | 0.02%             | 2036-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -8740240 | PA      | $-12014835.56  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA14                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA14 3A1          | CUSIP: 02146SAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2021771 | PA      | $1818524.67    | 0.03%             | 2046-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   69751000 | PA      | $65416358.98   | 0.99%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                                        | IMPAC CMB TRUST IMM 2004 8 1A                               | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26783 | PA      | $26300.99      | 0.00%             | 2034-10-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6606767 | PA      | $-6633656.26   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -28331079 | PA      | $-28600901.05  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250709                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $78825.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                    | CUSIP: 73110JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    6500000 | PA      | $6790550.00    | 0.10%             | 2027-01-07      | Floating      | 17.55%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 9/16/23-22Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $427304.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 2 B5 144A               | CUSIP: 89177JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   46197726 | PA      | $5748184.39    | 0.09%             | 2058-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -9068356 | PA      | $-10689360.64  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -9100708 | PA      | $-10784977.05  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4             | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4575093 | PA      | $2713436.34    | 0.04%             | 2036-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CLAVEAU RE LTD                                                             | CLAVEAU RE LTD UNSECURED 144A 07/28 VAR                     | CUSIP: 182896AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2720798 | PA      | $68156.00      | 0.00%             | 2028-07-08      | Floating      | 21.54%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 M1                | CUSIP: 045427AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36091238 | PA      | $28308328.70   | 0.43%             | 2046-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 B4 144A               | CUSIP: 89178BAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $2418908.80    | 0.04%             | 2059-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                         | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A2              | CUSIP: 76114QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6206192 | PA      | $2284470.79    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REV REPO STANDARD CHARTERED BA ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -14476650 | PA      | $-17147164.28  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-3Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3908130.43    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | ARAB REPUBLIC OF EGYPT SR UNSECURED REGS 04/31 6.375        | CUSIP: ACI1B3V91<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   13100000 | PA      | $14352052.93   | 0.22%             | 2031-04-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ASSET SECURITIES 2007-4                                      | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 4 1A5             | CUSIP: 32056CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213249 | PA      | $72137.17      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                             | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                     | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145874 | PA      | $84447.26      | 0.00%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13260000 | PA      | $-13602645.77  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A2A           | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213237 | PA      | $202168.30     | 0.00%             | 2035-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4886226 | PA      | $-4937221.21   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M5            | CUSIP: 76110W7H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1770817 | PA      | $1293198.80    | 0.02%             | 2035-12-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A X 144A                                 | CUSIP: ACI2JTNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    6950822 | PA      | $4356364.28    | 0.07%             | 2049-12-28      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 07/36 4.375           | CUSIP: B839Q3II7<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $811817.57     | 0.01%             | 2036-07-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 AIOS 144A       | CUSIP: 12656TAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  199087381 | PA      | $1752705.58    | 0.03%             | 2060-01-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A6           | CUSIP: 12668BSL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1158184 | PA      | $316331.56     | 0.00%             | 2036-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY5                                            | COUNTRYWIDE HOME LOANS CWHL 2007 HY5 1A1                    | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1569146 | PA      | $1236334.41    | 0.02%             | 2047-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                    | BCAP LLC TRUST BCAP 2013 RR1 3A4 144A                       | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1513282 | PA      | $1029600.73    | 0.02%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LN TR 2007-HE2                                   | GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE2 A6            | CUSIP: 36186LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     493527 | PA      | $487698.26     | 0.01%             | 2037-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3830.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI C 144A                            | CUSIP: 92943AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $11359156.48   | 0.17%             | 2037-07-05      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A3            | CUSIP: 12668BVC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141306 | PA      | $53179.38      | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A20         | CUSIP: 02148JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     537001 | PA      | $444835.15     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A       | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10498121 | PA      | $5754163.85    | 0.09%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB4                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB4 2A1                   | CUSIP: 12669GM24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18772 | PA      | $17718.82      | 0.00%             | 2035-08-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                       | EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39369703 | PA      | $39437277.41   | 0.59%             | 2038-07-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A R 144A                | CUSIP: 19424R108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      21173 | PA      | $10870269.02   | 0.16%             | 2054-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16623255 | PA      | $-16802259.82  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                       | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR               | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     700000 | PA      | $721945.00     | 0.01%             | 2031-05-27      | Floating      | 21.82%                | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR3                                      | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1            | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360037 | PA      | $279224.48     | 0.00%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 10 1AF5             | CUSIP: 12666PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6151046 | PA      | $4323791.83    | 0.07%             | 2046-09-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 X                     | CUSIP: 89178BBJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  321442638 | PA      | $32.14         | 0.00%             | 2059-10-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                        | MFRA TRUST MFRA 2020 NQM2 B1 144A                           | CUSIP: 552751AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14456000 | PA      | $13922345.20   | 0.21%             | 2065-04-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A1             | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2742901 | PA      | $2001570.88    | 0.03%             | 2036-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RIVERVIEW HECM TRUST-2007-1                                                | RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A                    | CUSIP: 769422AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2161996 | PA      | $1935249.35    | 0.03%             | 2047-05-25      | Floating      | 4.50%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                              | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                      | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26889 | PA      | $4248.57       | 0.00%             | 2036-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                             | SMRT SMRT 2022 MINI E 144A                                  | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30200000 | PA      | $29730205.78   | 0.45%             | 2039-01-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2             | FREDDIE MAC   STACR STACR 2022 DNA2 B2 144A                 | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2350000 | PA      | $2568804.27    | 0.04%             | 2042-02-25      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                   | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P D 144A         | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12600000 | PA      | $12267686.34   | 0.18%             | 2034-09-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -661098 | PA      | $-664273.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD PEN BOUGHT USD 20250929                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-7763.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1           | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255094 | PA      | $235543.10     | 0.00%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A3A             | CUSIP: 17307GE61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     565332 | PA      | $535052.24     | 0.01%             | 2035-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4           | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2504101 | PA      | $1164710.18    | 0.02%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                             | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $232164.65     | 0.00%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI E 144A                            | CUSIP: 92943AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14010000 | PA      | $14212150.29   | 0.21%             | 2037-07-05      | Variable      | 10.17%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260630                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $131.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M1              | CUSIP: 64352VNZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     982633 | PA      | $945255.40     | 0.01%             | 2035-12-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A         | CUSIP: 78486DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6612000 | PA      | $6591191.04    | 0.10%             | 2034-04-15      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                         | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5            | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |   12350000 | PA      | $11628327.75   | 0.18%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A Z 144A           | CUSIP: ACI2S8TX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3784000 | PA      | $4008471.10    | 0.06%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1306.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR            | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |    4260000 | PA      | $4425075.00    | 0.07%             | 2031-05-13      | Floating      | 15.81%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-563.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7              | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $15750.00      | 0.00%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                        | SAXON ASSET SECURITIES TRUST SAST 2005 3 M4                 | CUSIP: 805564SV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $1956931.24    | 0.03%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1           | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475505 | PA      | $418044.31     | 0.01%             | 2036-06-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                                | MCDERMOTT INTERNATIONAL LTD COMMON STOCK USD1.0             | CUSIP: G5924V148<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |       4683 | NS      | $51517.05      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                               | HUDSON PACIFIC PROPERTIE COMPANY GUAR 11/27 3.95            | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     200000 | PA      | $191917.06     | 0.00%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR9                                                    | BCAP LLC TRUST BCAP 2013 RR9 4A5 144A                       | CUSIP: 05542WAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4302580 | PA      | $2756533.67    | 0.04%             | 2037-10-26      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                       | GSAMP TRUST GSAMP 2006 FM1 A2D                              | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14022694 | PA      | $9481492.12    | 0.14%             | 2036-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A      | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41315094 | PA      | $6075384.62    | 0.09%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO C 144A                  | CUSIP: 83410JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $2412092.55    | 0.04%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.25         | CUSIP: ACI2L7PT2<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      23218 | PA      | $2902.25       | 0.00%             | 2027-09-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 2.25000 09/17/25-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1824471.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                       | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    9265829 | PA      | $12673853.37   | 0.19%             | 2045-09-13      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A A2 144A                               | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4870530 | PA      | $5182.24       | 0.00%             | 2041-07-05      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG           | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     660000 | PA      | $79200.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 01/34 2.625           | CUSIP: ACI0RZP43<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $537648.39     | 0.01%             | 2034-01-24      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CPS AUTO SECURITIZATION TRUST 2025-1                                       | CPS AUTO TRUST CPS 2025 1 A 144A                            | CUSIP: 22411GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17100000 | PA      | $17379122.45   | 0.26%             | 2032-06-16      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84                 | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    6700000 | PA      | $6477020.65    | 0.10%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5598536 | PA      | $-5615611.93   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MARINE ONE HOLDCO LLC                                                      | WEST MARINE NEW COMMON STOCK EQTYWM9A9                      | CUSIP: 902LVFII8<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      43000 | NS      | $271664.07     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CONSECO FINANCIAL SECURITIZATIONS 2000-1                                   | CONSECO FINANCE SECURITIZATION CNF 2000 1 A5                | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2914061 | PA      | $404281.03     | 0.01%             | 2029-09-01      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                     | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M6              | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     527212 | PA      | $529860.44     | 0.01%             | 2035-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                             | BONANZA RE LTD UNSECURED 144A 01/26 VAR                     | CUSIP: 09785EAN1<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $338520.00     | 0.01%             | 2026-01-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                    | FREDDIE MAC   STACR STACR 2021 DNA1 B2 144A                 | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3319000 | PA      | $3670768.86    | 0.06%             | 2051-01-25      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -45805035 | PA      | $-46320392.19  | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M3             | CUSIP: 59020UUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179687 | PA      | $171785.43     | 0.00%             | 2036-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -169489 | PA      | $-170051.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2002-3                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 3 M3               | CUSIP: 03072SCW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145070 | PA      | $152516.02     | 0.00%             | 2032-08-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR1                                          | SECURITIZED ASSET BACKED RECEI SABR 2005 FR1 M2             | CUSIP: 81375WDT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485721 | PA      | $413272.12     | 0.01%             | 2034-12-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-FXD1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 FXD1 3A6          | CUSIP: 68402VAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1244 | PA      | $1168.33       | 0.00%             | 2037-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 1A1            | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542172 | PA      | $476806.70     | 0.01%             | 2037-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| ACACIA CDO LTD 5A                                                          | ACACIA CDO LTD ACCDO 5A B 144A                              | CUSIP: 00388EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8674291 | PA      | $1904371.16    | 0.03%             | 2039-11-08      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED 02/34 6.5                  | CUSIP: 005048II6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $369641.11     | 0.01%             | 2034-02-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                           | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1                 | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2683858 | PA      | $2536609.52    | 0.04%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A2           | CUSIP: 32051GPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55707 | PA      | $2582.71       | 0.00%             | 2035-08-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250818                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $64661.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T A 144A                    | CUSIP: 23307CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17961000 | PA      | $17484018.70   | 0.26%             | 2036-12-10      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| COLT 2022-5 MORTGAGE LOAN TRUST                                            | COLT FUNDING LLC COLT 2022 5 M1 144A                        | CUSIP: 19688LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4637988.67    | 0.07%             | 2067-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A5           | CUSIP: 12668BSA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     709687 | PA      | $579438.60     | 0.01%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11600760 | PA      | $-11670319.50  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 02/32 7.75                        | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |  116310000 | PA      | $114376587.01  | 1.72%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING 06/50 0                           | CUSIP: ACI2S8XL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        145 | PA      | $0.00          | 0.00%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M5             | CUSIP: 03072SV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3417836.76    | 0.05%             | 2036-01-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -32439176 | PA      | $-32473633.64  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A E 144A          | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1186143 | PA      | $1194509.83    | 0.02%             | 2032-06-15      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B2 144A       | CUSIP: 617941AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1168947.84    | 0.02%             | 2070-01-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                          | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                  | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |    1500000 | PA      | $1500300.00    | 0.02%             | 2032-04-08      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $297079.15     | 0.00%             | 2028-07-05      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA C 144A               | CUSIP: 647622AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1169103.12    | 0.02%             | 2032-04-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 LI                                     | CUSIP: 3137FUQK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12320144 | PA      | $2946539.86    | 0.04%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                          | FREDDIE MAC   SCRT SCRT 2020 2 BXS 144A                     | CUSIP: 35563PRM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12645560 | PA      | $6014849.12    | 0.09%             | 2059-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 1A            | CUSIP: 021455AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5925893 | PA      | $5537706.34    | 0.08%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -334553 | PA      | $-334553.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2D            | CUSIP: 17307G4J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1315814 | PA      | $627362.40     | 0.01%             | 2036-03-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250807                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $74122.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1793205 | PA      | $-1796635.82   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL SR SECURED REGS 05/30 7.5          | CUSIP: ACI2FPJG4<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |   10543000 | PA      | $12698129.53   | 0.19%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS SPV III LLC                                                | CLOVER HOLDINGS SPV III LLC 2024 USD TERM LOAN              | CUSIP: BA000CCJ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     777253 | PA      | $776281.52     | 0.01%             | 2027-12-09      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                          | XEROX ISSUER CORPORATION SECURED 144A 04/31 13.5            | CUSIP: 98423RAA1<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2363155.70    | 0.04%             | 2031-04-15      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                               | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                    | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $990610.30     | 0.01%             | 2036-10-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                           | AEGIS ASSET BACKED SECURITIES AABST 2004 3 M3               | CUSIP: 00764MCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     740219 | PA      | $693767.10     | 0.01%             | 2034-09-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL SR SECURED 144A 01/28 5.5          | CUSIP: 16412EAA5<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |   20500000 | PA      | $19829875.50   | 0.30%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1            | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     646715 | PA      | $539682.30     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP D 144A       | CUSIP: 46651WAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $295463.42     | 0.00%             | 2038-12-05      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| TITULIZACION DE ACTIVOS 27                                                 | TITULIZACION DE ACTIVOS TDA 27 A3 REGS                      | CUSIP: E9053PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    4876969 | PA      | $5175457.48    | 0.08%             | 2050-12-28      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-42.85        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERDE CDO LTD 2005-1A                                                      | VERDE CDO LTD VERDE 2005 1A A1 144A                         | CUSIP: 923367AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  240688457 | PA      | $48321577.42   | 0.73%             | 2045-10-05      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                        | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32           | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2130310 | PA      | $2078191.95    | 0.03%             | 2046-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                           | GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3             | CUSIP: ACI1NC340<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $165000.00     | 0.00%             | 2027-06-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -418135 | PA      | $-423268.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                        | NEPTUNE QUASAR PPN                                          | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |          1 | PA      | $0.00          | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5428376 | PA      | $-5481285.50   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 9A1                | CUSIP: 12637HAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309716 | PA      | $129271.09     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D            | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2352244 | PA      | $765751.58     | 0.01%             | 2037-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $190.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2015-5                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 5 3A2 144A         | CUSIP: 17323XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4573518 | PA      | $4270026.44    | 0.06%             | 2034-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |    1755353 | NS      | $60554033.28   | 0.91%             |  |  |  | Yes           |                  3 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 C 144A            | CUSIP: 44644NAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     867959 | PA      | $871520.10     | 0.01%             | 2032-10-20      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1             | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237656 | PA      | $153003.72     | 0.00%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-1                                            | BEAR STEARNS ALT A TRUST BALTA 2005 1 M2                    | CUSIP: 07386HQJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     724997 | PA      | $689299.95     | 0.01%             | 2035-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                    | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1997361.80    | 0.03%             | 2038-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A10            | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144321 | PA      | $114522.34     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1495388 | PA      | $-1507276.12   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                            | BEAR STEARNS ALT A TRUST BALTA 2006 3 31A1                  | CUSIP: 07386HP54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6261695 | PA      | $2593726.12    | 0.04%             | 2036-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                         | FANNIE MAE FNR 2020 37 IA                                   | CUSIP: 3136B9T56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1847953 | PA      | $360774.72     | 0.01%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -49614445 | PA      | $-50073461.14  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6228320 | PA      | $-6232067.46   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M4                 | CUSIP: 70069FKH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $1956430.52    | 0.03%             | 2035-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 03/37 10.5             | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        | 3862000000 | PA      | $66049235.82   | 1.00%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M6              | CUSIP: 36242DN74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2101241 | PA      | $1941023.07    | 0.03%             | 2035-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| UNICORN BAY (HONG KONG) INVESTMENTS LIMITED                                | UNICORN BAY HKD FIXED TERM LOAN A                           | CUSIP: BA00077Z7<br>LEI: N/A                  | Long             | LON              | CORP              | HK        |  332115350 | PA      | $42836806.79   | 0.65%             | 2026-12-31      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC    | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   53916960 | PA      | $12209136.66   | 0.18%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6             | CUSIP: 939336PC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18779 | PA      | $18576.65      | 0.00%             | 2033-03-25      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -58714929 | PA      | $-60937799.52  | -0.92%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   91615000 | PA      | $83312390.63   | 1.26%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $19851.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2A                                | EXETER AUTOMOBILE RECEIVABLES EART 2021 2A R                | CUSIP: 30165XAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      26820 | PA      | $13022448.58   | 0.20%             | 2033-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X2 144A          | CUSIP: ACI2S8TR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     378000 | PA      | $524841.46     | 0.01%             | 2060-06-20      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A6                | CUSIP: 22942JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136677 | PA      | $63070.99      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B2 144A         | CUSIP: 12656TAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4624600 | PA      | $2800013.55    | 0.04%             | 2060-01-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A       | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7900000 | PA      | $5750151.67    | 0.09%             | 2036-03-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 10A3 144A        | CUSIP: 12642YGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4792067 | PA      | $4330487.50    | 0.07%             | 2037-07-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2359085.01   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORPORATION                                                   | CHORD ENERGY CORP COMPANY GUAR 144A 03/33 6.75              | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4088991.76    | 0.06%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16141698 | PA      | $-16150773.23  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2            | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59034 | PA      | $57873.64      | 0.00%             | 2034-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $9377.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                       | GSAMP TRUST GSAMP 2007 FM2 A2A                              | CUSIP: 3622MHAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2389288 | PA      | $1440412.63    | 0.02%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                   | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12621287 | PA      | $11316437.97   | 0.17%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13659672 | PA      | $-13691346.01  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11044040 | PA      | $-11050617.49  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| TTAN 2021-MHC                                                              | TTAN TTN 2021 MHC E 144A                                    | CUSIP: 87303TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8502556 | PA      | $8516109.90    | 0.13%             | 2038-03-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                    | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN  | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   79200000 | PA      | $81056104.27   | 1.22%             | 2029-05-30      | Floating      | 6.88%                 | No            |                  3 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Dynamic Income Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer