# EDGAR Filing Document

**Accession Number:** 0001688554
**File Stem:** 0001099263-26-003116
**Filing Date:** 2026-3
**Character Count:** 530797
**Document Hash:** c9e21356a35c22f265b62a52d86aaa93
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003116.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003116

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260630

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23211
- **FILM NUMBER:** 26705941

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-06-30

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6471861866.14

**Total Liabilities:** $2344745743.99

**Net Assets:** $4127116122.15

**Delayed Delivery Securities:** $93920000.00

**Cash Not Reported:** $89623240.31

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7989.510100 | **1-Year:** 28367.286400 | **5-Year:** 63318.959200 | **10-Year:** 34248.784600 | **30-Year:** -33153.823600

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

- **3-Month:** 491802.043200 | **1-Year:** 285483.715100 | **5-Year:** 490416.219100 | **10-Year:** 311113.665900 | **30-Year:** 17877.024500

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.58%                | 0.87%                | 0.62%                |
| Class ID N/A | 0.58%                | 0.87%                | 0.62%                |
| Class ID N/A | 0.56%                | 0.85%                | 0.60%                |
| Class ID N/A | 0.56%                | 0.85%                | 0.60%                |
| Class ID N/A | 0.62%                | 0.91%                | 0.67%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-33144056.55            | $5366183.19                                |
| Month 2  | $-19381833.88            | $22158082.91                               |
| Month 3  | $1479748.41              | $-4512122.84                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12325934 | PA      | $-12374443.40  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                   | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A             | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $446385.42     | 0.01%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MTAGE PASSTHRU CERT 2005-C6                                       | COMM MORTGAGE TRUST COMM 2005 C6 G 144A                       | CUSIP: 126171AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1135666 | PA      | $1068501.63    | 0.03%             | 2044-06-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                     | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A           | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7233000 | PA      | $7065049.02    | 0.17%             | 2034-09-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                          | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M6                   | CUSIP: 70069FDA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17379046 | PA      | $14688941.67   | 0.36%             | 2034-12-25      | Floating      | 5.95%                 | 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        |      26907 | PA      | $26833.29      | 0.00%             | 2035-05-25      | Floating      | 4.55%                 | 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        |     197899 | PA      | $196401.52     | 0.00%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8728378 | PA      | $-8748234.71   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/3.00 9/19/23-6Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1278561.14   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M6                | CUSIP: 64352VKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365941 | PA      | $377148.68     | 0.01%             | 2035-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-13483.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-79192.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD HKD BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $1.91          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                           | MLCC MORTGAGE INVESTORS INC MLCC 2004 C B2                    | CUSIP: 59020UDT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9382 | PA      | $5733.28       | 0.00%             | 2029-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-2                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7M2                | CUSIP: 007036CD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4519766 | PA      | $3795383.97    | 0.09%             | 2035-02-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A          | CUSIP: 36260AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6871000 | PA      | $4704431.47    | 0.11%             | 2059-07-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR                | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     777891 | PA      | $443397.87     | 0.01%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10194716 | PA      | $-10216736.78  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -790981 | PA      | $-794275.22    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 02/26 0.00000                                   | CUSIP: 912797SS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      67000 | PA      | $66652.48      | 0.00%             | 2026-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HANDSHAKE RE LTD                                                             | HANDSHAKE RE LTD UNSECURED 144A 01/30 VAR                     | CUSIP: 410290AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250303.78     | 0.01%             | 2030-01-08      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                  | COMM MORTGAGE TRUST COMM 2022 HC A 144A                       | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1448766.75    | 0.04%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                            | US RENAL CARE INC SR SECURED 144A 06/28 10.625                | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   21340900 | PA      | $18299821.75   | 0.44%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| ARIMA MORTGAGES PLC 2A                                                       | ARIMA MORTGAGES PLC ARIMA 2A R 144A                           | CUSIP: ACI2VMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1900000 | PA      | $2296842.09    | 0.06%             | 2056-07-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2              | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121903 | PA      | $122429.02     | 0.00%             | 2035-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                           | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5              | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |   12400000 | PA      | $11923409.97   | 0.29%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                    | MOTION FINCO SARL SR SECURED REGS 06/30 7.375                 | CUSIP: ACI2G9CJ0<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |   18500000 | PA      | $19805896.91   | 0.48%             | 2030-06-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A              | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15401 | PA      | $3541311.98    | 0.09%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BLUE RIDGE RE LTD                                                            | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00     | 0.01%             | 2029-01-08      | Floating      | 11.58%                | 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        |    2749000 | PA      | $2148796.92    | 0.05%             | 2027-12-31      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1                | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     800000 | PA      | $0.01          | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A             | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6010000 | PA      | $5382502.51    | 0.13%             | 2038-07-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                          | BFLD TRUST BFLD 2020 EYP F 144A                               | CUSIP: 05493AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5130000 | PA      | $23649.30      | 0.00%             | 2035-10-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                        | BBCCRE TRUST BBCCR 2015 GTP E 144A                            | CUSIP: 05490TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12300000 | PA      | $8987985.15    | 0.22%             | 2033-08-10      | Variable      | 4.56%                 | 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        |     208123 | PA      | $169642.39     | 0.00%             | 2035-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                              | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M2                | CUSIP: 03072SUA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280663 | PA      | $279608.73     | 0.01%             | 2034-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                             | AEGIS ASSET BACKED SECURITIES AABST 2004 6 B1                 | CUSIP: 00764MEA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5100000 | PA      | $1141536.57    | 0.03%             | 2035-03-25      | Floating      | 5.55%                 | 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        |     315666 | PA      | $318899.39     | 0.01%             | 2035-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-4                                               | HOME EQUITY ASSET TRUST HEAT 2006 4 M1                        | CUSIP: 437084VR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30300285 | PA      | $31169388.26   | 0.76%             | 2036-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 12/20/23-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $650033.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                        | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3              | CUSIP: 86363NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1371155 | PA      | $1240262.24    | 0.03%             | 2047-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2006-1X                                                  | LUDGATE FUNDING PLC LGATE 2006 1X RES REGS                    | CUSIP: ACI20ZV58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |  375000000 | PA      | $496898.37     | 0.01%             | 2060-12-01      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A1B             | CUSIP: 93363DAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6386327 | PA      | $5181954.97    | 0.13%             | 2046-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT MXN SOLD USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $0.04          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                             | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 2A2                    | CUSIP: 46628LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5746 | PA      | $3874.55       | 0.00%             | 2036-06-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                  | STRATTON MORTGAGE FUNDING 06/50 0                             | CUSIP: ACI2S8XL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        240 | PA      | $0.00          | 0.00%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURIT TR 2003-OPT1                                      | MASTR ASSET BACKED SECURITIES MABS 2003 OPT1 M4               | CUSIP: 57643LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443696 | PA      | $348533.87     | 0.01%             | 2032-12-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2003-NC8                                        | MORGAN STANLEY CAPITAL INC MSAC 2003 NC8 B3                   | CUSIP: 61746RDS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1543439 | PA      | $1594067.23    | 0.04%             | 2033-09-25      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                              | IHEARTMEDIA INC   CLASS A COMMON STOCK                        | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     171118 | NS      | $711850.88     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.1* 9/20/23-27Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12479903.33   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 B1               | CUSIP: 92922FS74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5302502 | PA      | $4377301.08    | 0.11%             | 2045-07-25      | Floating      | 4.85%                 | 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        |   67221357 | PA      | $69237998.14   | 1.68%             | 2028-09-15      | Fixed         | 11.86%                | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R2                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 6A2 144A          | CUSIP: 05990TAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2529537 | PA      | $2735088.65    | 0.07%             | 2037-02-27      | Variable      | 3.91%                 | 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        |      97910 | PA      | $97875.37      | 0.00%             | 2035-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -3498880 | PA      | $-4722186.17   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A1B             | CUSIP: 93364CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     470469 | PA      | $551116.36     | 0.01%             | 2047-05-25      | Floating      | 4.80%                 | 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        |     522908 | PA      | $537489.51     | 0.01%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                              | PROJECT NOVA TERM LOAN                                        | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     800000 | PA      | $800000.00     | 0.02%             | 2026-08-31      | Floating      | 6.61%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                                  | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A             | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16642 | PA      | $644929.87     | 0.02%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS 2 LLC                                                        | CLOVER HOLDINGS 2 LLC REVOLVER                                | CUSIP: 18914DAD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3583366 | PA      | $3553140.31    | 0.09%             | 2029-12-10      | Floating      | 0.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -805616 | PA      | $-952601.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A B 144A                                  | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3290000 | PA      | $329.00        | 0.00%             | 2041-07-05      | Floating      | 5.05%                 | 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        |   11710000 | PA      | $9939985.61    | 0.24%             | 2029-06-15      | Fixed         | 7.25%                 | 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        |   40848005 | PA      | $35876802.79   | 0.87%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                         | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $527150.00     | 0.01%             | 2031-05-13      | Floating      | 14.08%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -834267 | PA      | $-845115.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A           | CUSIP: 78486DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7023500 | PA      | $7011747.58    | 0.17%             | 2034-04-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -374386 | PA      | $-377540.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260220                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $960.67        | 0.00%             |  |  |  | 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        |     273776 | PA      | $219160.32     | 0.01%             | 2036-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2021-3                                            | FLAGSHIP CREDIT AUTO TRUST FCAT 2021 3 R 144A                 | CUSIP: 33846Q101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8473 | PA      | $122449.60     | 0.00%             | 2028-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| INTEGRITY RE III LTD                                                         | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $313620.00     | 0.01%             | 2027-06-06      | Floating      | 13.55%                | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2002-A                                            | KSLT 2002 A R SUB KSLT 2002 A R SUB                           | CUSIP: 933UTWII7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $6046143.74    | 0.15%             | 2050-01-01      | Fixed         | 1.13%                 | No            |                  3 | On Loan: No      |
| ALBA PLC 2006-2                                                              | ALBA FRN 15DEC38 GBP                                          | CUSIP: B1HMYZII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        100 | PA      | $433944.75     | 0.01%             | 2038-12-15      | Fixed         | 0.00%                 | 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      | $-389.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 NR 144A         | CUSIP: 46642CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1283235 | PA      | $42153.62      | 0.00%             | 2047-07-15      | Variable      | 3.50%                 | 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      | $-8429867.27   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL RE-REMIC TRUST 2016-RRLD11                                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 LD11 AJB 144A        | CUSIP: 05491JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $556006.50     | 0.01%             | 2050-06-17      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                           | NEWFOLD DIGITAL HLDGS GRP INC. 2025 TRANCHE A TERM LOAN       | CUSIP: 65131PAC3<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |   23787616 | PA      | $19951863.21   | 0.48%             | 2029-04-30      | Floating      | 7.38%                 | 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      | $142288.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE7                                                | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE7 M2              | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10882 | PA      | $10821.68      | 0.00%             | 2034-08-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| SEVITA (NATIONAL MENTOR HOLDINGS INC)                                        | NATIONAL MENTOR HOLDINGS SR SECURED 144A 12/30 10.5           | CUSIP: 63688RAF4<br>LEI: 5493004QULJVJP3CNZ62 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10062282.20   | 0.24%             | 2030-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                           | ALTICE FRANCE SA 2025 TERM LOAN B12                           | CUSIP: BA000QFP8<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |    4809050 | PA      | $4762474.14    | 0.12%             | 2028-10-30      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                       | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A            | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20935689 | PA      | $19355044.48   | 0.47%             | 2036-12-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 01/26 0.00000                                   | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $199510.50     | 0.00%             | 2026-01-27      | None          | 0.00%                 | 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        |     113883 | PA      | $89865.85      | 0.00%             | 2035-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                    | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC      | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   43576529 | PA      | $7537511.10    | 0.18%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                  | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805B 144A         | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5650000 | PA      | $1394547.69    | 0.03%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $38189.32      | 0.00%             |  |  |  | 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        |   95599562 | PA      | $110488110.94  | 2.68%             | 2029-12-31      | Floating      | 7.48%                 | 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      | $20740.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-9459.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6267171 | PA      | $-6269735.38   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4968317 | PA      | $-4983707.53   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-BOP                                      | MORGAN STANLEY CAPITAL I TRUST MSC 2018 BOP A 144A            | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6330701 | PA      | $5209058.67    | 0.13%             | 2033-08-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                 | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A             | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10750000 | PA      | $9524942.90    | 0.23%             | 2038-11-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-3                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A6                 | CUSIP: 863587AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $6484836.00    | 0.16%             | 2036-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-D                                      | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 D M1                | CUSIP: 73316QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8879775 | PA      | $7976655.99    | 0.19%             | 2036-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A           | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     637623 | PA      | $638643.13     | 0.02%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M10               | CUSIP: 542514JC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1049725 | PA      | $944079.53     | 0.02%             | 2034-10-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 F 144A          | CUSIP: 46642CAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1490332 | PA      | $116665.28     | 0.00%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| 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        |    1854759 | PA      | $1662327.75    | 0.04%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10171367 | PA      | $-10208172.81  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| OBOL FRANCE 25                                                               | OBOL FRANCE 3 SAS 2024 EUR TERM LOAN B                        | CUSIP: BA0006XM9<br>LEI: 969500K3AWY66FOPOS97 | Long             | LON              | CORP              | FR        |    7944644 | PA      | $9234449.99    | 0.22%             | 2028-12-31      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                  | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                       | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1100000 | PA      | $25767.30      | 0.00%             | 2026-05-20      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                               | WINSTON RE LTD UNSECURED 144A 02/31 VAR                       | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    2800000 | PA      | $2967440.00    | 0.07%             | 2031-02-26      | Floating      | 15.31%                | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X D1A REGS                           | CUSIP: ACI01VU93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5421236 | PA      | $6049311.88    | 0.15%             | 2045-06-13      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1000528 | PA      | $-1008797.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                              | IHEARTMEDIA INC   CLASS B COMMON STOCK                        | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     132822 | NS      | $486234.78     | 0.01%             |  |  |  | No            |                  3 | 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        |   34326644 | PA      | $142622.06     | 0.00%             | 2059-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                          | BCP TRUST BCP 2021 330N F 144A                                | CUSIP: 05553BAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $146966.40     | 0.00%             | 2038-06-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12646119 | PA      | $-12692099.28  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1469400 | PA      | $-1474257.94   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCH1                                          | PARK PLACE SECURITIES INC PPSI 2005 WCH1 M6                   | CUSIP: 70069FFN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1730000 | PA      | $1477408.93    | 0.04%             | 2035-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A Z 144A             | CUSIP: ACI2S8TX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    6241000 | PA      | $6787606.03    | 0.16%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260218                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $12284.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WHLN-2025-CV3-PF-FF3                                                         | WHLN 2025 CV3 PF FF3 WHLN 2025 CV3 PF FF3                     | CUSIP: 958AAUII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34725278 | PA      | $34754371.59   | 0.84%             | 2027-08-01      | Fixed         | 9.00%                 | Yes           |                  3 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                   | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M2 144A                  | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29726500 | PA      | $29835768.67   | 0.72%             | 2037-10-25      | Floating      | 5.60%                 | 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        |   15680000 | PA      | $16733272.64   | 0.41%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                | NPC UKRENERGO GOVT GUARANT REGS 11/28 6.875                   | CUSIP: ACI21LG55<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |     800000 | PA      | $688000.00     | 0.02%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                  | EUROSAIL PLC ESAIL 2007 4X E1C REGS                           | CUSIP: G3299TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1525473 | PA      | $1563409.14    | 0.04%             | 2045-06-13      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| WHLN 2025-NVES-PF-FF3                                                        | WHLN 2025 NVES PF FF3 WHLNPL9Z6                               | CUSIP: 990AAZNM9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   15611199 | PA      | $15623725.76   | 0.38%             | 2027-03-01      | Fixed         | 8.62%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-125536.86    | -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        |    -283304 | PA      | $-284308.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260320                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $14717.92      | 0.00%             |  |  |  | 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        |     540067 | PA      | $431819.69     | 0.01%             | 2035-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2014-7                               | JP MORGAN REREMIC JPMRR 2014 7 1C 144A                        | CUSIP: 46643WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7331534 | PA      | $1413303.55    | 0.03%             | 2036-05-26      | 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        |   -1510930 | PA      | $-1520310.67   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3443440 | PA      | $-3451233.65   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-5                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M2                | CUSIP: 542514HE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182375 | PA      | $186824.02     | 0.00%             | 2034-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9282000 | PA      | $-9300151.47   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13304182 | PA      | $-13346318.75  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| COHESITY INC                                                                 | CLOVER 2024 HOLDINGS INC VERITAS G PREFERRED                  | CUSIP: 955EHZ901<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |      30944 | NS      | $595241.23     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                           | NEWFOLD DIGITAL HLDGS GR SECURED 144A 04/29 11.75             | CUSIP: 650929AD4<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   13198469 | PA      | $9238928.30    | 0.22%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2973196 | PA      | $-2981290.53   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                        | ENVALIOR FINANCE GMBH EUR TERM LOAN B1                        | CUSIP: D255LZAB1<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    2500000 | PA      | $2875567.47    | 0.07%             | 2030-03-29      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| CIRCOR                                                                       | CIRCOR INTERNATIONAL INC 2023 REVOLVER                        | CUSIP: 948FVPII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     734483 | PA      | $753850.77     | 0.02%             | 2029-06-20      | Floating      | 0.50%                 | No            |                  3 | 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      | $471708.00     | 0.01%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                      | FREDDIE MAC FHR 5069 PI                                       | CUSIP: 3137F9CZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2841600 | PA      | $515356.56     | 0.01%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                          | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                  | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     300000 | PA      | $311700.00     | 0.01%             | 2033-04-10      | Floating      | 13.33%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5106330 | PA      | $-5130504.21   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                 | ECOPETROL SA SR UNSECURED 01/36 8.375                         | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1030000 | PA      | $1060684.43    | 0.03%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E B1                | CUSIP: 05949AHJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100559 | PA      | $83487.57      | 0.00%             | 2034-06-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                         | MFT TRUST MOFT 2020 ABC D 144A                                | CUSIP: 55317BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10886000 | PA      | $7128623.08    | 0.17%             | 2042-02-10      | Variable      | 3.48%                 | 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      | $-837.99       | -0.00%            |  |  |  | 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        |   13289000 | PA      | $4060194.90    | 0.10%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                       | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 M2              | CUSIP: 12489WJS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1136916 | PA      | $899333.51     | 0.02%             | 2035-05-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260316                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $118338.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $7728.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE7                                          | MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M3                   | CUSIP: 61744CWN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5824514 | PA      | $5155613.26    | 0.12%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                           | VERUS SECURITIZATION TRUST VERUS 2021 R1 AIOS 144A            | CUSIP: 92538BAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  106374634 | PA      | $231997.76     | 0.01%             | 2063-10-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B3 144A         | CUSIP: 617941AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1262000 | PA      | $1193977.06    | 0.03%             | 2070-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                          | NISSAN MOTOR CO SR UNSECURED 144A 07/30 7.5                   | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2225000 | PA      | $2336774.10    | 0.06%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| APLD COMPUTECO LLC                                                           | APLD COMPUTECO LLC SR SECURED 144A 12/30 9.25                 | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     735000 | PA      | $721531.43     | 0.02%             | 2030-12-15      | Fixed         | 9.25%                 | 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        |   10980323 | PA      | $11723738.41   | 0.28%             | 2050-12-28      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21484001 | PA      | $-21551120.67  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR5                                                      | BCAP LLC TRUST BCAP 2009 RR5 5A2 144A                         | CUSIP: 05531UAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5700764 | PA      | $4769572.33    | 0.12%             | 2037-05-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2007-1                                        | ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M3                 | CUSIP: 00438QAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5235000 | PA      | $4651212.69    | 0.11%             | 2037-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M5                 | CUSIP: 86358ETK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8047781 | PA      | $7342809.34    | 0.18%             | 2035-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                  | COMEXPOSIUM 2019 EUR REVOLVER                                 | CUSIP: 945BLZII6<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |    3338048 | PA      | $4785906.07    | 0.12%             | 2031-10-16      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO GBP ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -5897150 | PA      | $-7961883.67   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1029513 | PA      | $-1032840.71   | -0.03%            |  |  |  | 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      | $2684726.36    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 B1               | CUSIP: 92922FM39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     415360 | PA      | $317098.52     | 0.01%             | 2035-05-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                         | EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR                 | CUSIP: 27332EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     500000 | PA      | $509250.00     | 0.01%             | 2026-03-31      | Floating      | 12.54%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3005532 | PA      | $-3044960.28   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MSDB TRUST 2017-712F                                                         | MSDB TRUST MSDB 2017 712F A 144A                              | CUSIP: 55354JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3386116.30    | 0.08%             | 2039-07-11      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR4                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR4 2A1              | CUSIP: 39538WBU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15975716 | PA      | $10856147.81   | 0.26%             | 2045-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260115                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-14499.28     | -0.00%            |  |  |  | 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        |   23685000 | PA      | $24466725.79   | 0.59%             | 2041-10-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2020-1A                                               | ROCKFORD TOWER CLO LTD ROCKT 2020 1A SUB 144A                 | CUSIP: 77341HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8300000 | PA      | $5171924.80    | 0.13%             | 2036-01-20      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1717020 | PA      | $-1720612.86   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A A1 144A                                 | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13905445 | PA      | $2218224.38    | 0.05%             | 2041-07-05      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                                | X CORP 2025 FIXED TERM LOAN                                   | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6700000 | PA      | $6689213.00    | 0.16%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -970815 | PA      | $-974260.58    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1167520 | PA      | $-1181740.39   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -861630 | PA      | $-864912.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MKP CBO IV LTD                                                               | MKP CBO LTD MKP 4A A2 144A                                    | CUSIP: 553121AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   43784246 | PA      | $12802951.50   | 0.31%             | 2040-07-12      | Floating      | 7.75%                 | 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        |    2389988 | PA      | $1255080.70    | 0.03%             | 2038-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC1                                                        | GSAMP TRUST GSAMP 2005 WMC1 M2                                | CUSIP: 362341PV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4946199 | PA      | $4465893.40    | 0.11%             | 2035-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR                | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     920505 | PA      | $439541.14     | 0.01%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2460000 | PA      | $-2469414.18   | -0.06%            |  |  |  | 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      | $1009443.60    | 0.02%             | 2069-06-25      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| GREENE KING FINANCE PLC                                                      | GREENE KING FINANCE PLC SECURED REGS 03/36 VAR                | CUSIP: B14551II6<br>LEI: 213800QIJMYMW6TSBG41 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $248378.67     | 0.01%             | 2036-03-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10067988 | PA      | $-10141014.22  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA SR SECURED 144A 10/30 6.875                  | CUSIP: 02090DAB4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     891287 | PA      | $865276.46     | 0.02%             | 2030-10-15      | Fixed         | 6.88%                 | 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        |     483222 | PA      | $500543.03     | 0.01%             | 2059-10-27      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI E 144A           | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7462500 | PA      | $7427254.61    | 0.18%             | 2035-03-15      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7268230 | PA      | $-7283747.84   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT HKD SOLD USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $-107.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260312                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $110901.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1753924 | PA      | $-2367325.84   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1360000 | PA      | $-1839325.98   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6866441 | PA      | $-6880929.19   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2606582 | PA      | $-2610028.76   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                  | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 C 144A          | CUSIP: 90117PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2824687.50    | 0.07%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                           | ALTICE FRANCE SA 2025 TERM LOAN B13                           | CUSIP: BA000QF03<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |   10741845 | PA      | $10674762.26   | 0.26%             | 2029-05-14      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8531081 | PA      | $-8609974.53   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15601033 | PA      | $-15630085.60  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE2                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE2 M4               | CUSIP: 04542BNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     880189 | PA      | $844986.27     | 0.02%             | 2035-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 11                                                    | SEQUOIA MORTGAGE TRUST SEMT 11 B1                             | CUSIP: 81744AAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111158 | PA      | $73601.65      | 0.00%             | 2032-12-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M6                | CUSIP: 126673YP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135900 | PA      | $135156.43     | 0.00%             | 2035-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20260303                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $16173.29      | 0.00%             |  |  |  | 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        |     218243 | PA      | $237243.05     | 0.01%             | 2026-12-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| WHLN LOAN                                                                    | WALGREENS MAGNOLIA WHLN0MAG1                                  | CUSIP: 938SYFII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     417158 | PA      | $413021.84     | 0.01%             | 2030-03-06      | Fixed         | 6.00%                 | No            |                  3 | 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        |    9916917 | PA      | $0.10          | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260326                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $241.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                                              | OCADO GROUP PLC COMPANY GUAR REGS 06/30 11                    | CUSIP: ACI2WWMJ0<br>LEI: 213800LO8F61YB8MBC74 | Long             | DBT              | CORP              | GB        |    4789000 | PA      | $6532860.65    | 0.16%             | 2030-06-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC                                                  | ION PLATFORM FINANCE US SR SECURED 144A 09/32 7.875           | CUSIP: 46205QAB4<br>LEI: 213800FKHT3BRRKMCC89 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $950107.32     | 0.02%             | 2032-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2547557 | PA      | $-2573509.89   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                              | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                      | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |    1300000 | PA      | $1367925.00    | 0.03%             | 2028-01-07      | Floating      | 14.09%                | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                 | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A             | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12700000 | PA      | $10890774.51   | 0.26%             | 2038-11-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                   | ION PLATFORM FINANCE SAR SR SECURED 144A 05/29 7.875          | CUSIP: ACI30ZWV8<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |    3800000 | PA      | $4542524.32    | 0.11%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                            | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     400000 | PA      | $400000.00     | 0.01%             | 2029-01-08      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6024932 | PA      | $-6045687.64   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                           | ALTICE FRANCE SA 2025 TERM LOAN B11                           | CUSIP: BA000QF29<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |    3453121 | PA      | $3420316.29    | 0.08%             | 2028-04-30      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2022-2                                                             | FIRST HELP FINANCIAL LLC FHF 2022 2A C 144A                   | CUSIP: 31568EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $999164.90     | 0.02%             | 2030-01-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M3                | CUSIP: 07388GAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3945226 | PA      | $3651806.46    | 0.09%             | 2036-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1039478 | PA      | $-1041839.57   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-110.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                                | MRCD MORTGAGE TRUST MRCD 2019 PARK G 144A                     | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $5995000.00    | 0.15%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CITY OF DETROIT                                                              | DETROIT MI DET 04/44 ADJUSTABLE VAR                           | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |    7159089 | PA      | $5613313.54    | 0.14%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                                 | ACE SECURITIES CORP. ACE 2006 NC1 M2                          | CUSIP: 004421UV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3058546 | PA      | $2445072.36    | 0.06%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-66.85        | -0.00%            |  |  |  | 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        |     799246 | PA      | $798234.98     | 0.02%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260212                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $28657.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A           | CUSIP: 61691KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2429791.00    | 0.06%             | 2034-11-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2013-R9                                | MORGAN STANLEY REREMIC TRUST MSRR 2013 R9 3B2 144A            | CUSIP: 61763DAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9335548 | PA      | $8490640.73    | 0.21%             | 2046-06-26      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 E 144A                     | CUSIP: 12430YAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6154000 | PA      | $5110008.98    | 0.12%             | 2036-09-15      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N4                                       | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N4 R 144A           | CUSIP: 14687HAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12000 | PA      | $477349.15     | 0.01%             | 2028-09-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                                  | MCAFEE LLC 2024 USD 1ST LIEN TERM LOAN B                      | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |    2393955 | PA      | $2217125.20    | 0.05%             | 2029-03-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                         | EAST LANE RE VII LTD SR UNSECURED 144A 03/32 VAR              | CUSIP: 27332EAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $999694.80     | 0.02%             | 2032-03-31      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| GLG EURO CLO 1A                                                              | MAN GLG EURO CLO GLGE 1A SUBR 144A                            | CUSIP: ACI11ZRZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1431135 | PA      | $1681.86       | 0.00%             | 2030-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GUARDIAN BIDCO INC                                                           | GUARDIAN DELAYED DRAW TERM LOAN A                             | CUSIP: BA000P6T2<br>LEI: 254900FNRUS0FT2AXJ89 | Long             | LON              | CORP              | US        |    1300000 | PA      | $1300000.00    | 0.03%             | 2032-08-29      | Fixed         | 1.00%                 | No            |                  3 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                        | ASTON MARTIN CAPITAL HOL SR SECURED REGS 03/29 10.375         | CUSIP: ACI2N9Q99<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |   15350000 | PA      | $18938274.97   | 0.46%             | 2029-03-31      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 03/26 0.00000                                   | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     156000 | PA      | $154767.55     | 0.00%             | 2026-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                  | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                             | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |    6732048 | PA      | $9652032.80    | 0.23%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6310304 | PA      | $-6319033.31   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                             | AEGIS ASSET BACKED SECURITIES AABST 2004 3 B2                 | CUSIP: 00764MCK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     638439 | PA      | $581052.57     | 0.01%             | 2034-09-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                         | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP E 144A         | CUSIP: 50085PAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22339000 | PA      | $14376198.67   | 0.35%             | 2044-11-05      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| ABSLT DE 2024 LLC                                                            | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                          | CUSIP: 00401BAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   31400000 | PA      | $31645453.80   | 0.77%             | 2033-05-20      | Floating      | 12.23%                | No            |                  3 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                           | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 04/29 11.75          | CUSIP: 650929AC6<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |    3687633 | PA      | $3549346.76    | 0.09%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF1             | CUSIP: 46630LAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $622038.00     | 0.02%             | 2036-11-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                                | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE D 144A           | CUSIP: 26210YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5805878 | PA      | $4925880.49    | 0.12%             | 2043-10-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000              | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      41600 | PA      | $40856.35      | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                               | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A          | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     671043 | PA      | $659327.07     | 0.02%             | 2034-06-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/2.50 12/20/17-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-53300.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $30799.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-13                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 1M1                | CUSIP: 126698AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9916000 | PA      | $8674530.67    | 0.21%             | 2047-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2006-1A                                              | BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A                  | CUSIP: 078452AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   96560572 | PA      | $214557.59     | 0.01%             | 2046-07-05      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                            | U S RENAL CARE INC 2025 TERM LOAN                             | CUSIP: BA000SL02<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |   40260000 | PA      | $39454800.00   | 0.96%             | 2030-09-25      | Floating      | 9.72%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE LUX 3                                                          | LUXCO3 SHARES COMMON STOCK                                    | CUSIP: 929YHW907<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |    1112333 | NS      | $19623525.19   | 0.48%             |  |  |  | Yes           |                  3 | 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      | $-7391.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -5599823 | PA      | $-7643935.97   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-29                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 29 1B2               | CUSIP: 22541NPU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433202 | PA      | $279806.22     | 0.01%             | 2032-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-NC7                                          | MORGAN STANLEY CAPITAL INC MSAC 2004 NC7 M4                   | CUSIP: 61744CFS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9441 | PA      | $14031.68      | 0.00%             | 2034-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5241647 | PA      | $-5308425.45   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4447347 | PA      | $-5241262.41   | -0.13%            |  |  |  | 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        |   83793032 | PA      | $34383524.35   | 0.83%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                       | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                        | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |   55290096 | PA      | $53547628.37   | 1.30%             | 2027-05-13      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-FR1                                                | BEAR STEARNS ASSET BACKED SECU BSABS 2004 FR1 M3              | CUSIP: 073879DG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64491 | PA      | $72740.72      | 0.00%             | 2034-07-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM1 B3 144A          | CUSIP: 64832DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10971000 | PA      | $10439843.42   | 0.25%             | 2065-01-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -7059623 | PA      | $-8339383.69   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                                | DBGS MORTGAGE TRUST DBGS 2019 1735 E 144A                     | CUSIP: 23307EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16777000 | PA      | $12816913.30   | 0.31%             | 2037-04-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -7168257 | PA      | $-8431511.21   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X E1C REGS                           | CUSIP: G3299SAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1780941 | PA      | $1989522.69    | 0.05%             | 2045-06-13      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3907                                                      | FREDDIE MAC FHR 3907 MS                                       | CUSIP: 3137AEE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44958 | PA      | $238.15        | 0.00%             | 2026-08-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                          | DOLP TRUST DOLP 2021 NYC G 144A                               | CUSIP: 23345LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $5805546.40    | 0.14%             | 2041-05-10      | Variable      | 3.70%                 | 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        |   49611055 | PA      | $42183784.32   | 1.02%             | 2029-07-06      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                        | DIRECTV FINANCING LLC SR SECURED 144A 02/30 8.875             | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4660002.49    | 0.11%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -952518 | PA      | $-960079.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $929.22        | 0.00%             |  |  |  | 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        |      11857 | PA      | $11290.33      | 0.00%             | 2060-07-25      | Fixed         | 4.00%                 | 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        |    8082705 | PA      | $9204487.39    | 0.22%             | 2054-09-15      | Fixed         | 0.00%                 | 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        |    2800000 | PA      | $559353.48     | 0.01%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2021-1                    | FREDDIE MAC   SLST SLST 2021 1 SUB 144A                       | CUSIP: 35564CJM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   53800498 | PA      | $50550226.66   | 1.22%             | 2061-04-25      | Variable      | 8.74%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                              | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                      | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $528750.00     | 0.01%             | 2032-01-07      | Floating      | 12.09%                | No            |                  2 | On Loan: No      |
| ARM MUSTANG EXPRESS HOLDCO LLC                                               | MUSTANG EXPRESS SERIES A PFD U MUSTANG EXPRESS SERIES A PFD U | CUSIP: 958LNU906<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      93920 | NS      | $93920000.00   | 2.28%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -416368 | PA      | $-494150.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-2R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 2R 28A2 144A           | CUSIP: 12648ELY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1135409 | PA      | $988097.05     | 0.02%             | 2037-06-27      | Variable      | 7.68%                 | 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        |    7950000 | PA      | $6207436.32    | 0.15%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-4                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 4 B1                 | CUSIP: 17307GWF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2501142 | PA      | $2328071.98    | 0.06%             | 2035-08-25      | Variable      | 5.80%                 | 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        |    1484784 | PA      | $1328915.97    | 0.03%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2579427 | PA      | $-2602755.05   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $293.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4225021 | PA      | $-4242446.70   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                             | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                  | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1750000 | PA      | $1917125.00    | 0.05%             | 2026-06-08      | Floating      | 26.38%                | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                         | EUROSAIL PLC ESAIL 2007 1X D1A REGS                           | CUSIP: ACI05RDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     250000 | PA      | $259784.83     | 0.01%             | 2045-03-13      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18208714 | PA      | $-18275868.02  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3899667 | PA      | $-3907384.89   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 B1             | CUSIP: 94982DAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850554 | PA      | $689053.36     | 0.02%             | 2035-08-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                        | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A5                  | CUSIP: 872224AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4192369 | PA      | $1711698.32    | 0.04%             | 2036-09-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| ALTICE SA                                                                    | ALTICE HOLDINGS 1 12/99 0                                     | CUSIP: 000000000<br>LEI: 549300LA7PKCH18B3S39 | Long             | EC               | CORP              | LU        |      72681 | NS      | $1206482.79    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $22762.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-4                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 MV7                 | CUSIP: 126673R53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12313554 | PA      | $10566805.90   | 0.26%             | 2035-10-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2256425 | PA      | $-2657580.76   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                               | GRAY MEDIA INC SECURED 144A 07/32 9.625                       | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2077046.74    | 0.05%             | 2032-07-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A                                | LAKESIDE CDO LTD LAKES 2004 1A A2B 144A                       | CUSIP: 51210VAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19448541 | PA      | $4248047.65    | 0.10%             | 2040-01-04      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                      | FREDDIE MAC   STACR STACR 2021 HQA3 B2 144A                   | CUSIP: 35564KKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3813006.51    | 0.09%             | 2041-09-25      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 E 144A              | CUSIP: 22545YAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $131250.00     | 0.00%             | 2049-01-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2696506 | PA      | $-2722405.59   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                           | VERUS SECURITIZATION TRUST VERUS 2021 R1 B3 144A              | CUSIP: 92538BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8976025 | PA      | $9032594.60    | 0.22%             | 2063-10-25      | Variable      | 6.00%                 | 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        |   40354003 | PA      | $40354002.99   | 0.98%             | 2030-01-31      | Fixed         | 12.22%                | No            |                  3 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 E 144A         | CUSIP: 46653DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $2005843.50    | 0.05%             | 2036-03-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 AIOS 144A       | CUSIP: 36261WAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   77703850 | PA      | $624346.55     | 0.02%             | 2060-12-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                                | DBGS MORTGAGE TRUST DBGS 2019 1735 F 144A                     | CUSIP: 23307EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3461358.00    | 0.08%             | 2037-04-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| HARP FINCO LIMITED                                                           | HARP FINCO LIMITED GBP TERM LOAN                              | CUSIP: BA0008GH5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   10134514 | PA      | $13414061.82   | 0.33%             | 2032-03-27      | Floating      | 8.72%                 | No            |                  3 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                             | WESTMORELAND COAL CO PIK TERM LOAN                            | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2729922 | PA      | $1160217.05    | 0.03%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                           | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M2                | CUSIP: 57643LNH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9120486 | PA      | $8375568.98    | 0.20%             | 2036-01-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| ARIMA MORTGAGES PLC 2A                                                       | ARIMA MORTGAGES PLC ARIMA 2A Z 144A                           | CUSIP: ACI2VMGV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   43339000 | PA      | $52390968.04   | 1.27%             | 2056-07-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                                            | INEOS FINANCE PLC SR SECURED 144A 03/31 7.25                  | CUSIP: ACI30LWW7<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2542771.32    | 0.06%             | 2031-03-31      | Fixed         | 7.25%                 | 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        |     422602 | PA      | $420271.37     | 0.01%             | 2035-11-25      | Floating      | 4.82%                 | 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        |       1646 | PA      | $1652.70       | 0.00%             | 2037-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-32.96        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SVC AND SEC 2006-RP2                                     | CREDIT BASED ASSET SERVICING A CBASS 2006 RP2 M1 144A         | CUSIP: 1248M3AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     773318 | PA      | $885219.31     | 0.02%             | 2036-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071            | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                   | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24637000 | PA      | $870501.58     | 0.02%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -730078 | PA      | $-736938.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                    | HILTON USA TRUST HILT 2016 SFP E 144A                         | CUSIP: 43289VAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $7509.00       | 0.00%             | 2035-11-05      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR                | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1328710 | PA      | $813834.88     | 0.02%             | 2034-02-01      | Variable      | 4.50%                 | 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      | $-64.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                      | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2                 | CUSIP: 00764MFS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24919 | PA      | $24755.80      | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -498052 | PA      | $-499199.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-BOP                                      | MORGAN STANLEY CAPITAL I TRUST MSC 2018 BOP E 144A            | CUSIP: 61768FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $129150.00     | 0.00%             | 2035-06-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                        | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                       | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   28507135 | PA      | $44481798.21   | 1.08%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625              | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    4600000 | PA      | $3220000.00    | 0.08%             | 2042-04-04      | Fixed         | 5.62%                 | 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      | $302143.92     | 0.01%             | 2028-07-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 01/26 0.00000                                   | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     601000 | PA      | $600357.51     | 0.01%             | 2026-01-13      | None          | 0.00%                 | 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        |    7175283 | PA      | $3483843.07    | 0.08%             | 2064-05-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                         | COLLEGE AVE STUDENT LOANS CASL 2024 A R 144A                  | CUSIP: 19424R108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      22164 | PA      | $12159234.68   | 0.29%             | 2054-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260226                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2445.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-11R                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 11R 6A2 144A           | CUSIP: 12649FBU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2038373 | PA      | $491608.38     | 0.01%             | 2036-12-27      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2015-1R                                        | NOMURA RESECURITIZATION TRUST NMRR 2015 1R 2A8 144A           | CUSIP: 65540TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6745968 | PA      | $6097109.27    | 0.15%             | 2036-10-26      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                      | VALE SA SUBORDINATED 12/49 VAR                                | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |  313730000 | PA      | $23759833.93   | 0.58%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                               | DATABRICKS INC USD DELAYED DRAW TERM LOAN                     | CUSIP: BA000TDP4<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    1649127 | PA      | $1653249.46    | 0.04%             | 2031-12-08      | Floating      | 4.50%                 | No            |                  3 | On Loan: No      |
| VANTIVE HEALTH LLC                                                           | SPRUCE BIDCO II INC TERM LOAN                                 | CUSIP: BA000FPP1<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    5125510 | PA      | $5169538.92    | 0.13%             | 2032-01-30      | Fixed         | 8.45%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6112792 | PA      | $-6123523.41   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260211                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-28446.27     | -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        |   -1600226 | PA      | $-1602137.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                               | DATABRICKS INC DELAYED DRAW TERM LOAN                         | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    1649127 | PA      | $1677986.36    | 0.04%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA 2025 EUR EXT TERM LOAN B14                   | CUSIP: BA000QF86<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    1151047 | PA      | $1355726.77    | 0.03%             | 2031-05-31      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10091329 | PA      | $-10128896.66  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1                   | CUSIP: 617451DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3698000 | PA      | $3144393.50    | 0.08%             | 2036-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING 06/60 0                             | CUSIP: ACI2S8XS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        240 | PA      | $0.00          | 0.00%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2608069 | PA      | $-2609103.40   | -0.06%            |  |  |  | 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        |     127158 | PA      | $126798.03     | 0.00%             | 2035-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1710000 | PA      | $-2317252.03   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATEGIC GAMING MANAGEMENT LLC                                              | STRATEGIC GAMING COMMITMENT TERM LOAN                         | CUSIP: BA000QXN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   11300000 | PA      | $11168906.55   | 0.27%             | 2030-10-15      | Fixed         | 10.90%                | No            |                  3 | On Loan: No      |
| VERAISON RE LTD                                                              | VERAISON RE LTD UNSECURED 144A 03/31 VAR                      | CUSIP: 92335TAB5<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    3100000 | PA      | $3148825.00    | 0.08%             | 2031-03-10      | Floating      | 16.42%                | 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        |    1800000 | PA      | $1776151.44    | 0.04%             | 2035-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005-5                                              | FBR SECURITIZATION TRUST FBRSI 2005 5 M4                      | CUSIP: 30246QCS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $596799.80     | 0.01%             | 2035-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                          | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR               | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     600000 | PA      | $611340.00     | 0.01%             | 2031-06-05      | Floating      | 12.97%                | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-FF1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FF1 B3 144A          | CUSIP: 59023WAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3082336 | PA      | $3941191.31    | 0.10%             | 2036-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2372814 | PA      | $-2395112.52   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4640933 | PA      | $-4652302.82   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2526625 | PA      | $-2533808.33   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1B3               | CUSIP: 06050HKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15106 | PA      | $14363.65      | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A           | CUSIP: 61691KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6258000 | PA      | $5979070.30    | 0.14%             | 2034-11-15      | Floating      | 8.40%                 | 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        |    3606130 | PA      | $3139112.92    | 0.08%             | 2035-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                              | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAE2<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $400000.00     | 0.01%             | 2029-01-08      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| DISH NETWORK CORPORATION                                                     | DISH NETWORK CORP SR UNSECURED 08/26 3.375                    | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3201000.00    | 0.08%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $-64440.42     | -0.00%            |  |  |  | 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        |   28036953 | PA      | $28985223.44   | 0.70%             | 2029-05-30      | Floating      | 9.84%                 | 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        |   91855239 | PA      | $3325306.63    | 0.08%             | 2070-01-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG             | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $59000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.50000 03/18/26-5Y LCH                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-234614.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2264472 | PA      | $-2668051.28   | -0.06%            |  |  |  | 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        |   88790168 | PA      | $83851215.22   | 2.03%             | 2028-06-28      | Floating      | 8.83%                 | 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        |   29372500 | PA      | $27561097.93   | 0.67%             | 2031-12-19      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4672332 | PA      | $-4699096.68   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                         | MFT TRUST MOFT 2020 ABC C 144A                                | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $3189046.05    | 0.08%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M3               | CUSIP: 59020UUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79508 | PA      | $78233.48      | 0.00%             | 2036-02-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12431606 | PA      | $-12569558.83  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| C-BASS LTD 18A                                                               | C BASS LTD CBCL 18A A2 144A                                   | CUSIP: 1248MMAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   31296933 | PA      | $2347.27       | 0.00%             | 2047-03-13      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| 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        |     348605 | PA      | $352135.25     | 0.01%             | 2032-09-15      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                                              | OCADO GROUP PLC COMPANY GUAR REGS 08/29 10.5                  | CUSIP: ACI2QDHC0<br>LEI: 213800LO8F61YB8MBC74 | Long             | DBT              | CORP              | GB        |   29643000 | PA      | $40282895.36   | 0.98%             | 2029-08-08      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                           | NEWFOLD DIGITAL HLDGS GRP INC. 2025 SUPER PRTY NEW MONEY TL A | CUSIP: 65131PAB5<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |    2279931 | PA      | $2150259.47    | 0.05%             | 2029-04-30      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $12056.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 D 144A              | CUSIP: 22545YAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2870000 | PA      | $632835.00     | 0.02%             | 2049-01-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP B 144A                     | CUSIP: 98162JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $334901.90     | 0.01%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -11075200 | PA      | $-13100328.37  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE1                                                 | ACE SECURITIES CORP. ACE 2005 HE1 M6                          | CUSIP: 004421KZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14430225 | PA      | $11512756.53   | 0.28%             | 2035-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.20000 09/17/24-3Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3480134.27    | 0.08%             |  |  |  | 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        |     148097 | PA      | $149527.77     | 0.00%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                          | BFLD TRUST BFLD 2020 EYP D 144A                               | CUSIP: 05493AAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $19930.05      | 0.00%             | 2035-10-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                                | STEINHOFF CVR                                                 | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |  233504654 | NS      | $274.41        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7137000 | PA      | $7065900.14    | 0.17%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -30627326 | PA      | $-30828854.51  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR                 | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     629200 | PA      | $619396.60     | 0.02%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                | HESTIA RE LTD UNSECURED 144A 03/32 VAR                        | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $416320.00     | 0.01%             | 2032-03-13      | Floating      | 11.87%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2681215 | PA      | $-2707736.70   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                        | BX TRUST BX 2022 AHP E 144A                                   | CUSIP: 05610FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10250000 | PA      | $10228282.30   | 0.25%             | 2039-01-17      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD HKD BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $11745.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INEOS US FINANCE LLC                                                         | INEOS US FINANCE LLC 2023 USD TERM LOAN B                     | CUSIP: G4768PAN1<br>LEI: 5493008MHJ4R367SNK31 | Long             | LON              | CORP              | US        |   16145535 | PA      | $13143514.67   | 0.32%             | 2030-02-18      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                         | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     775956 | PA      | $504888.73     | 0.01%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                  | SES S A COMMON STOCK                                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |     670263 | NS      | $10416892.41   | 0.25%             |  |  |  | No            |                  3 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                      | ION PLAT FIN US/SARL SR SECURED 144A 05/28 4.625              | CUSIP: 46206AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $836660.61     | 0.02%             | 2028-05-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-5                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M5                | CUSIP: 542514HH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64165 | PA      | $69141.54      | 0.00%             | 2034-09-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                     | VIRIDIEN SR SECURED 144A 10/30 8.5                            | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    8908421 | PA      | $11004550.32   | 0.27%             | 2030-10-15      | Fixed         | 8.50%                 | 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      | $-793.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                              | VERAISON RE LTD UNSECURED 144A 03/33 VAR                      | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |     450000 | PA      | $463882.50     | 0.01%             | 2033-03-08      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                         | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0      | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1200000 | PA      | $115760.52     | 0.00%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BIOGROUP (CAB SELAS)                                                         | BIOGROUP LCD 2021 EUR TERM LOAN B                             | CUSIP: 937HMKII5<br>LEI: 9695008EGX5O9K1MS743 | Long             | LON              | CORP              | FR        |    2000000 | PA      | $2307211.38    | 0.06%             | 2028-02-09      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7873911 | PA      | $-7903359.74   | -0.19%            |  |  |  | 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        |     301644 | PA      | $247453.05     | 0.01%             | 2036-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                              | NEW UNITY COMMON STOCKK                                       | CUSIP: 958WDX907<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |    1637865 | NS      | $11038243.76   | 0.27%             |  |  |  | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                     | FANNIE MAE FNR 2022 3 YS                                      | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  171855505 | PA      | $263935.68     | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| C-BASS LTD 13A                                                               | C BASS LTD CBCL 13A A 144A                                    | CUSIP: 12498FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   51642206 | PA      | $546736.03     | 0.01%             | 2040-03-17      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-63059.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                         | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $530750.00     | 0.01%             | 2031-05-13      | Floating      | 16.33%                | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                         | GSAMP TRUST GSAMP 2006 HE4 M1                                 | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7435000 | PA      | $6538624.50    | 0.16%             | 2036-06-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-4479848.34   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -264690 | PA      | $-266599.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                           | SPRUCE BIDCO II INC CAD TERM LOAN                             | CUSIP: BA000FPR7<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |     927974 | PA      | $682021.54     | 0.02%             | 2032-01-30      | Floating      | 7.00%                 | No            |                  3 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                      | ION PLAT FIN US/SARL SR SECURED 144A 05/29 9.5                | CUSIP: 46206AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1723278.41    | 0.04%             | 2029-05-30      | Fixed         | 9.50%                 | 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        |    1712000 | PA      | $332898.57     | 0.01%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 7M1                | CUSIP: 007036NH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1470656 | PA      | $1356125.18    | 0.03%             | 2035-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                            | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A                 | CUSIP: 33844T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20000 | PA      | $890465.51     | 0.02%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                        | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M4                | CUSIP: 68389FJL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6267404 | PA      | $5521774.27    | 0.13%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                              | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN D                   | CUSIP: 953BAHII7<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    3200000 | PA      | $2792745.26    | 0.07%             | 2029-02-16      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| SABINE RE LTD                                                                | SABINE RE LTD UNSECURED 144A 04/31 VAR                        | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $418440.00     | 0.01%             | 2031-04-07      | Floating      | 12.16%                | No            |                  2 | On Loan: No      |
| WHLN 2025-CV3-PF-FF4                                                         | WHLN 2025 CV3 PF FF4 144A WHLNTY9X9                           | CUSIP: 990AASMZ7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   32944082 | PA      | $32978709.69   | 0.80%             | 2027-09-01      | Fixed         | 8.62%                 | Yes           |                  3 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1B              | CUSIP: 41161PLE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1278167 | PA      | $1289460.60    | 0.03%             | 2035-03-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PLN SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3893.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1774203 | PA      | $-1813867.32   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TDA FTA 28                                                                   | TITULIZACION DE ACTIVOS TDA 28 A REGS                         | CUSIP: B241Q4II4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   21525546 | PA      | $14091581.51   | 0.34%             | 2050-10-28      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                         | GSAMP TRUST GSAMP 2006 HE3 M1                                 | CUSIP: 36244KAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28286648 | PA      | $25473609.05   | 0.62%             | 2046-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -26047044 | PA      | $-26375590.99  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                         | SOHO TRUST 2021 SOHO SOHO 2021 SOHO B 144A                    | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1530000 | PA      | $1213089.11    | 0.03%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2063440 | PA      | $-2784982.74   | -0.07%            |  |  |  | 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        |    6064461 | PA      | $6825732.41    | 0.17%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -34698824 | PA      | $-34948463.05  | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16532621 | PA      | $-16596271.18  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -6761844 | PA      | $-9128416.43   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-137.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                             | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A          | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $60030.00      | 0.00%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4861139 | PA      | $-4912747.80   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-11                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 11 2M1                | CUSIP: 23247LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26400000 | PA      | $20870628.18   | 0.51%             | 2047-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SECURITIES INC 2006-3                          | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 3 M2                 | CUSIP: 17310NAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5639449 | PA      | $5030207.75    | 0.12%             | 2036-11-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                                  | LUCA RE LTD UNSECURED 144A 07/31 VAR                          | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |    1700000 | PA      | $1756780.00    | 0.04%             | 2031-07-22      | Floating      | 10.88%                | 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        |   25707427 | PA      | $24915078.02   | 0.60%             | 2030-03-22      | Fixed         | 5.38%                 | 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      | $-67980.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                     | IHEARTCOMMUNICATIONS INC 2024 TERM LOAN                       | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |    4740120 | PA      | $4352449.29    | 0.11%             | 2029-05-01      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                | ARGENT SECURITIES INC. ARSI 2005 W2 M3                        | CUSIP: 040104NF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38366569 | PA      | $36314813.48   | 0.88%             | 2035-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4932.37      | -0.00%            |  |  |  | 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      | $-268.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A RES                      | CUSIP: ACI2C6R96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3705000 | PA      | $7.49          | 0.00%             | 2062-10-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -13340232 | PA      | $-18049644.01  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                          | IMPAC CMB TRUST IMM 2005 7 A1                                 | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7314301 | PA      | $6709298.48    | 0.16%             | 2035-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -496723 | PA      | $-497656.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $-218872.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEC LOAN TRUST 2004-1                                                       | CHEC LOAN TRUST CHEC 2004 1 A3 144A                           | CUSIP: 162765AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45456 | PA      | $45218.55      | 0.00%             | 2034-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| LONG WALK REINSURANCE LTD                                                    | LONG WALK REINSURANCE UNSECURED 144A 01/31 VAR                | CUSIP: 54289CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3500000 | PA      | $3522750.00    | 0.09%             | 2031-01-30      | Floating      | 13.83%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A2               | CUSIP: 12668AWJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315814 | PA      | $333918.13     | 0.01%             | 2035-12-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1538109 | PA      | $-1807585.68   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                     | ANTHRACITE LTD SER 2004 HY1 CL D 144A                         | CUSIP: 03702YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6135413 | PA      | $61.35         | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M5               | CUSIP: 04542BKW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6465797 | PA      | $5827922.61    | 0.14%             | 2035-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA SR SECURED 144A 07/32 6.875                  | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    4706634 | PA      | $4516483.07    | 0.11%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2726282 | PA      | $-3676222.41   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -5235282 | PA      | $-7093006.39   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -270459 | PA      | $-271354.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INEOS US PETROCHEM LLC                                                       | INEOS QUATTRO HOLDINGS UK LTD 2023 USD 1ST LIEN TERM LOAN B   | CUSIP: G4770MAL8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   10944304 | PA      | $7770455.70    | 0.19%             | 2029-03-09      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3967799 | PA      | $-3975459.44   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE10                                               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE10 M6             | CUSIP: 073879MW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393109 | PA      | $492591.72     | 0.01%             | 2034-12-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A2A             | CUSIP: 126680AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2366616 | PA      | $1545582.35    | 0.04%             | 2047-05-25      | Floating      | 4.27%                 | 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        |    2408035 | PA      | $1440201.30    | 0.03%             | 2061-03-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                             | PROJECT CASHMERE CLASS M 144A                                 | CUSIP: 990ABJSM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   13740000 | PA      | $9169389.45    | 0.22%             | 2057-12-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $804914.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260206                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $38427.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 12/17/25-20Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1629875.06    | 0.04%             |  |  |  | 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        |   19138161 | PA      | $7721174.36    | 0.19%             | 2061-11-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2805517 | PA      | $-2814658.14   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                       | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M4              | CUSIP: 04541GUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $688181.06     | 0.02%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6067032 | PA      | $-6112679.93   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/30 VAR                | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     246331 | PA      | $146566.95     | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                       | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B               | CUSIP: 81879MAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4243336 | PA      | $2108993.22    | 0.05%             | 2036-02-25      | Floating      | 4.21%                 | 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        |   14226300 | PA      | $14368563.00   | 0.35%             | 2028-04-26      | Floating      | 8.83%                 | No            |                  3 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                             | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M4                      | CUSIP: 66987XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $3932835.75    | 0.10%             | 2036-01-25      | Floating      | 4.73%                 | 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        |     124473 | PA      | $110269.31     | 0.00%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5477018 | PA      | $-5479236.44   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2003-A                                            | KSLT 2003 A R SUB KSLT 2003 A R SUB                           | CUSIP: 933RCTII9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $10410059.39   | 0.25%             | 2050-01-01      | Fixed         | 2.96%                 | No            |                  3 | 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        |     479077 | PA      | $456220.26     | 0.01%             | 2035-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 08/45 4.875                                   | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2197000 | PA      | $2218970.00    | 0.05%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1119089 | PA      | $-1120525.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                        | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4                | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $377676.88     | 0.01%             | 2035-10-25      | Floating      | 4.75%                 | 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        |   15636617 | PA      | $15882002.46   | 0.38%             | 2032-06-16      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| IVANTI SOFTWARE INC                                                          | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN                   | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |   24115525 | PA      | $20159131.93   | 0.49%             | 2029-06-01      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B2 144A         | CUSIP: 617941AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1998078.60    | 0.05%             | 2070-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3853385 | PA      | $-3865856.95   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA 2025 EUR TERM LOAN B11                       | CUSIP: BA000QF11<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |   10230441 | PA      | $11908596.99   | 0.29%             | 2028-04-30      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7762847 | PA      | $-7827740.60   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                          | UPSTART SECURITIZATION TRUST UPST 2025 3 D 144A               | CUSIP: 91684FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18950000 | PA      | $18815845.37   | 0.46%             | 2035-09-20      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-3R                                        | NOMURA RESECURITIZATION TRUST NMRR 2014 3R 2A8 144A           | CUSIP: 65540LAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223264 | PA      | $200761.55     | 0.00%             | 2035-07-26      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                 | ECOPETROL SA SR UNSECURED 02/32 7.75                          | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2900000 | PA      | $2988189.00    | 0.07%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ASTON BIDCO (HOLDING) LIMITED                                                | ASTON XLN TOPCO LIMITED 2025 GBP TERM LOAN                    | CUSIP: BA000N1C9<br>LEI: 254900476AM2MRUEVQ86 | Long             | LON              | CORP              | JE        |    6700000 | PA      | $8864538.37    | 0.21%             | 2032-07-30      | Floating      | 10.09%                | No            |                  3 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                   | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M5                 | CUSIP: 00764MFF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $248202.56     | 0.01%             | 2035-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 1M2               | CUSIP: 61748HBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103939 | PA      | $103858.79     | 0.00%             | 2034-07-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4              | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $929904.10     | 0.02%             | 2035-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8763476 | PA      | $-8767135.20   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 B1               | CUSIP: 92922FJ74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10318822 | PA      | $8690314.57    | 0.21%             | 2045-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                   | PALISADES CDO LTD PALIS 2004 1A B2 144A                       | CUSIP: 696399AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1952237 | PA      | $451540.67     | 0.01%             | 2039-07-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.00000 09/17/24-4Y* CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $412450.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ C 144A           | CUSIP: 05523GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $1240750.00    | 0.03%             | 2034-08-14      | Variable      | 3.61%                 | 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      | $7968093.03    | 0.19%             |  |  |  | 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        |    6226619 | PA      | $6226618.58    | 0.15%             | 2026-11-03      | Floating      | 11.86%                | No            |                  3 | 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        |   34983069 | PA      | $14914177.83   | 0.36%             | 2057-05-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CDO LTD 2013-1A                                                  | EATON VANCE CDO LTD EATON 2013 1A SUB2 144A                   | CUSIP: 27830CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   38315000 | PA      | $14572854.31   | 0.35%             | 2038-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-MX1                                       | CREDIT BASED ASSET SERVICING A CBASS 2007 MX1 M1 144A         | CUSIP: 1248MPAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1802045.70    | 0.04%             | 2036-12-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260206                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $9193.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -693669 | PA      | $-694984.57    | -0.02%            |  |  |  | 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        |    7503000 | PA      | $7349929.05    | 0.18%             | 2032-07-15      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 02/26 0.00000                                   | CUSIP: 912797SQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     111000 | PA      | $110575.23     | 0.00%             | 2026-02-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1175521 | PA      | $-1187849.43   | -0.03%            |  |  |  | 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        |   32500000 | PA      | $39919878.80   | 0.97%             | 2029-03-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A A2 144A                                 | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8111158 | PA      | $9798.28       | 0.00%             | 2041-07-05      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| WHLN-2018-TOCU4                                                              | WHLN92622 WHLN RTL PFLX                                       | CUSIP: 964EJZII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2819376 | PA      | $2406515.39    | 0.06%             | 2049-06-01      | Fixed         | 8.00%                 | Yes           |                  3 | On Loan: No      |
| C-BASS LTD 18A                                                               | C BASS LTD CBCL 18A A1 144A                                   | CUSIP: 1248MMAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   54781542 | PA      | $5478.15       | 0.00%             | 2047-03-13      | Floating      | 4.77%                 | 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        |  -43726781 | PA      | $-44186434.54  | -1.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A5                  | CUSIP: 22942JAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487734 | PA      | $98313.30      | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7381128 | PA      | $-7441775.81   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A5                        | CUSIP: 12669GZS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1822594 | PA      | $1500102.00    | 0.04%             | 2035-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260115                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $131553.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                  | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                      | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   36518419 | PA      | $355725914.86  | 8.62%             |  |  |  | No            |                  1 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                          | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3                  | CUSIP: 126673VR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78778 | PA      | $74592.02      | 0.00%             | 2035-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-103259.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 M1              | CUSIP: 073879V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4884004 | PA      | $3867512.54    | 0.09%             | 2034-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M7                | CUSIP: 542514KX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4361456 | PA      | $3611754.08    | 0.09%             | 2035-04-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4629679 | PA      | $-4646672.69   | -0.11%            |  |  |  | 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        |   -3207236 | PA      | $-3230938.96   | -0.08%            |  |  |  | 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        |     798918 | PA      | $502305.59     | 0.01%             | 2026-12-31      | Fixed         | 8.00%                 | 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 REGS 05/30 8.25            | CUSIP: ACI2WX3R1<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    2000000 | PA      | $2272868.20    | 0.06%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 G 144A          | CUSIP: 46642CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1490332 | PA      | $71612.39      | 0.00%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A                                | LAKESIDE CDO LTD LAKES 2004 1A A2A 144A                       | CUSIP: 51210VAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14637134 | PA      | $3197116.09    | 0.08%             | 2040-01-03      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR3                            | SECURITIZED ASSET BACKED RECEI SABR 2005 FR3 M2               | CUSIP: 81375WEV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1121818 | PA      | $1030574.02    | 0.02%             | 2035-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2013-8                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 8 2A2 144A           | CUSIP: 17321PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     434251 | PA      | $286236.57     | 0.01%             | 2036-11-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6825000 | PA      | $-6893761.88   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5312391 | PA      | $-5322904.75   | -0.13%            |  |  |  | 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        |   40587864 | PA      | $39152677.35   | 0.95%             | 2030-07-31      | Fixed         | 9.09%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                          | BCP TRUST BCP 2021 330N A 144A                                | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $713638.88     | 0.02%             | 2038-06-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                  | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                       | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  155800000 | PA      | $3626827.41    | 0.09%             | 2028-05-17      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC5 M6                | CUSIP: 126670NK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3674355 | PA      | $3434763.80    | 0.08%             | 2036-01-25      | Floating      | 5.11%                 | 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        |    1146000 | PA      | $155106.06     | 0.00%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                       | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 B1                  | CUSIP: 61744CRX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6216335 | PA      | $5104560.66    | 0.12%             | 2035-06-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -45298975 | PA      | $-45385118.19  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8156907 | PA      | $-8184440.76   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -828360 | PA      | $-829701.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 M1                 | CUSIP: 12667TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27945974 | PA      | $25247949.14   | 0.61%             | 2047-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                             | GOLDEN BEAR RE LTD UNSECURED 144A 01/29 VAR                   | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2450000 | PA      | $2451983.28    | 0.06%             | 2029-01-08      | Floating      | 13.46%                | No            |                  2 | On Loan: No      |
| MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY                                | MICHIGAN ST TOBACCO SETTLEMENT MISGEN 06/46 ZEROCPNOID 0      | CUSIP: 594751AL3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   43500000 | PA      | $5942639.40    | 0.14%             | 2046-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | WEST MARINE NEW WARRANT WARRWM911                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       6096 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -4081000 | PA      | $-4821205.95   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NEW WINDSTREAM WARRANTS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     319065 | NC      | $2147406.68    | 0.05%             |  |  |  | No            |                  3 | 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        |    1543624 | PA      | $1550534.01    | 0.04%             | 2029-04-25      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REPO BANK AMERICA REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   15100000 | PA      | $15100000.00   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                              | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A        | CUSIP: 52607QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $379048.56     | 0.01%             | 2028-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                               | LIBERTY STREET TRUST LBTY 2016 225L E 144A                    | CUSIP: 902055AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7616273 | PA      | $7040228.38    | 0.17%             | 2036-02-10      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                         | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 F 144A              | CUSIP: 78437XAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1626238.08    | 0.04%             | 2033-06-15      | Fixed         | 8.71%                 | 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        |      26408 | PA      | $28934.06      | 0.00%             | 2035-05-25      | Floating      | 4.82%                 | 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      | $106144.44     | 0.00%             |  |  |  | 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        |    7517971 | PA      | $8651819.15    | 0.21%             | 2026-04-17      | Floating      | 5.18%                 | No            |                  3 | On Loan: No      |
| MSSG TRUST 2017-237P                                                         | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P E 144A          | CUSIP: 55375KAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8006000 | PA      | $6895373.25    | 0.17%             | 2039-09-13      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6621892 | PA      | $-6679717.83   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                 | ROMANIA SR UNSECURED REGS 09/34 6.25                          | CUSIP: ACI2TMW89<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    5300000 | PA      | $6544783.93    | 0.16%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PLN SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4168.45       | 0.00%             |  |  |  | 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        |     294327 | PA      | $321315.82     | 0.01%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -576753 | PA      | $-577226.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4855200 | PA      | $-4865339.28   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260320                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1849.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2004-FM1                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 FM1 B2               | CUSIP: 59020UFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271836 | PA      | $244666.54     | 0.01%             | 2035-01-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1                              | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A        | CUSIP: 52607NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $207207.00     | 0.01%             | 2028-03-15      | Fixed         | 0.00%                 | 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        |   39993925 | PA      | $40127305.12   | 0.97%             | 2030-12-18      | Floating      | 9.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -3401148 | PA      | $-4600759.64   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                        | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A              | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15418914 | PA      | $2500822.92    | 0.06%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                | HESTIA RE LTD UNSECURED 144A 04/29 VAR                        | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     100570 | PA      | $56319.16      | 0.00%             | 2029-04-22      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-21714.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                             | PROJECT CASHMERE CLASS F 144A                                 | CUSIP: 990ABJSF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   15434000 | PA      | $10299880.41   | 0.25%             | 2057-12-30      | Floating      | 8.64%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-7564010.37   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| ARM MUSTANG EXPRESS HOLDCO LLC                                               | MUSTANG EXPRESS SERIES A PFD                                  | CUSIP: 990ABAYE9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      22306 | NS      | $23480000.00   | 0.57%             |  |  |  | No            |                  3 | On Loan: No      |
| DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS2                          | DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS2 1A2 144A        | CUSIP: 25160GAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1432641 | PA      | $1007143.79    | 0.02%             | 2035-12-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                  | PALM RE LTD UNSECURED 144A 06/32 VAR                          | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     700000 | PA      | $731920.00     | 0.02%             | 2032-06-07      | Floating      | 11.37%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1647945 | PA      | $-1653679.04   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                   | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A             | CUSIP: 85573RAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $155837.84     | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                              | OI S.A. SR SECURED 144A 12/28 8.5                             | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |  141257169 | PA      | $1677428.88    | 0.04%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                  | URSA RE LTD UNSECURED 144A 12/28 VAR                          | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    4200000 | PA      | $4367580.00    | 0.11%             | 2028-12-07      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| BB GROVES                                                                    | BB GROVES DELAYED DRAW TERM LOAN                              | CUSIP: BA0008C06<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   57178496 | PA      | $56556154.04   | 1.37%             | 2027-03-31      | Floating      | 5.96%                 | Yes           |                  3 | On Loan: No      |
| BONANZA RE LTD                                                               | BONANZA RE LTD UNSECURED 144A 01/27 VAR                       | CUSIP: 09785EAR2<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |     950000 | PA      | $798000.00     | 0.02%             | 2027-01-08      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                         | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A          | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11484 | PA      | $11335.87      | 0.00%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -722217 | PA      | $-723746.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 02/26 0.00000                                   | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $99688.77      | 0.00%             | 2026-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3078254 | PA      | $-3083598.24   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XV DAC 15A                                                       | HARVEST CLO HARVT 15A SUB 144A                                | CUSIP: ACI13DPQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2000000 | PA      | $79678.56      | 0.00%             | 2029-05-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-46.90        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2061336 | PA      | $-2063531.22   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -535856 | PA      | $-537084.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2005-2                                         | MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M6                | CUSIP: 61744CQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5603187 | PA      | $5453981.56    | 0.13%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $3114.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KNOLLWOOD CDO LTD. 2004-1A                                                   | KNOLLWOOD CDO LTD KNOLL 2004 1A A1 144A                       | CUSIP: 499169AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8050900 | PA      | $2728474.08    | 0.07%             | 2039-01-10      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-OP1                                                 | ACE SECURITIES CORP. ACE 2004 OP1 M5                          | CUSIP: 004421FA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101595 | PA      | $86395.41      | 0.00%             | 2034-04-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                         | SOHO TRUST 2021 SOHO SOHO 2021 SOHO A 144A                    | CUSIP: 83410JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5696000 | PA      | $4714462.43    | 0.11%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| MERCADOLIBRE INC                                                             | MERCADOLIBRE INC COMPANY GUAR 01/33 4.9                       | CUSIP: 58733RAG7<br>LEI: 549300DKPDN9M5S8GB14 | Long             | DBT              | CORP              | US        |   13900000 | PA      | $13783083.21   | 0.33%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-AHL2 2005-AHL2                                              | GSAMP TRUST GSAMP 2005 AHL2 M1                                | CUSIP: 362341C64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6952764 | PA      | $5366870.91    | 0.13%             | 2035-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-5R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 5R 6A7 144A            | CUSIP: 12645LCB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3423348 | PA      | $3280544.98    | 0.08%             | 2037-11-27      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC3                                       | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC3 M6                  | CUSIP: 61744CQC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8770047 | PA      | $7655146.66    | 0.19%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2020-1A                                               | FEE1009C2 ROCKT 2020 1A SUB FEE                               | CUSIP: 948ZWHII8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8300000 | PA      | $47497.25      | 0.00%             | 2032-01-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST E 144A         | CUSIP: 46652DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4240000 | PA      | $10896.80      | 0.00%             | 2036-12-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                              | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR                   | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $322710.00     | 0.01%             | 2031-05-07      | Floating      | 13.79%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3258553 | PA      | $-3267525.64   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2368695 | PA      | $-2397269.36   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                          | NEPTUNE QUASAR PPN                                            | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |          1 | PA      | $0.00          | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2007-2                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 2 1A2                | CUSIP: 17310SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3577707 | PA      | $2861084.32    | 0.07%             | 2036-11-25      | Floating      | 4.20%                 | 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      | $92483.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6733211 | PA      | $-6745163.02   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PLN SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1410.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                         | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1209000 | PA      | $883007.78     | 0.02%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R4                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R4 5A2 144A          | CUSIP: 05990RAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17653151 | PA      | $6713292.06    | 0.16%             | 2036-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC)   | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8               | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15900000 | PA      | $13839255.06   | 0.34%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT CNY SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $789.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ1 M1               | CUSIP: 83612JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21927356 | PA      | $22501549.73   | 0.55%             | 2036-10-25      | Floating      | 4.22%                 | 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        |   15200000 | PA      | $20533718.31   | 0.50%             | 2031-11-28      | Floating      | 9.72%                 | 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        |   11687000 | PA      | $11949957.50   | 0.29%             | 2029-01-23      | Floating      | 10.90%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -479232 | PA      | $-648929.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                           | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                     | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |     725704 | NS      | $1603805.84    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2772257 | PA      | $-2794975.65   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                | HESTIA RE LTD UNSECURED 144A 03/32 VAR                        | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $309450.00     | 0.01%             | 2032-03-13      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -908215 | PA      | $-914699.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260122                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1038.35       | 0.00%             |  |  |  | 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      | $6605272.95    | 0.16%             | 2034-04-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                      | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                   | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20205000 | PA      | $21104639.75   | 0.51%             | 2041-10-25      | Floating      | 11.37%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.4* 08/17/23-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5104192.73    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH H 144A         | CUSIP: 46654EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3278765.00    | 0.08%             | 2038-06-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260713                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-620.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -26873768 | PA      | $-36297380.05  | -0.88%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A            | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22329200 | PA      | $22226007.84   | 0.54%             | 2032-07-15      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| TOLL ROAD INVESTORS PARTNERSHIP II LP                                        | TOLL ROAD INV PART II INSURED 144A 02/43 0.00000              | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   56175583 | PA      | $19874921.10   | 0.48%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SCRIPPS (E.W. SCRIPPS COMPANY)                                               | EW SCRIPPS CO SECURED 144A 08/30 9.875                        | CUSIP: 811054AH8<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6196702.90    | 0.15%             | 2030-08-15      | Fixed         | 9.88%                 | 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        |   38749694 | PA      | $618675.68     | 0.01%             | 2059-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                          | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4                   | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $360297.08     | 0.01%             | 2035-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A               | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8169267 | PA      | $4500767.83    | 0.11%             | 2039-09-07      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                           | VERUS SECURITIZATION TRUST VERUS 2021 R1 XS 144A              | CUSIP: 92538BAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  106374634 | PA      | $8405393.79    | 0.20%             | 2063-10-25      | Variable      | 5.10%                 | 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        |     200000 | PA      | $143018.92     | 0.00%             | 2035-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                   | PALISADES CDO LTD PALIS 2004 1A B1 144A                       | CUSIP: 696399AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20888934 | PA      | $6902790.10    | 0.17%             | 2039-07-22      | Floating      | 8.20%                 | 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        |    3362125 | PA      | $3366722.30    | 0.08%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                     | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P E 144A           | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9645000 | PA      | $9536422.38    | 0.23%             | 2034-09-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| ATLAS RE LIMITED                                                             | ATLAS RE LIMITED ATLAS RE LTD SIDECAR                         | CUSIP: 956BLH000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        273 | NS      | $27517253.37   | 0.67%             |  |  |  | No            |                  3 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A SUB 144A         | CUSIP: 03290BAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5600000 | PA      | $3825920.00    | 0.09%             | 2039-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/2.2* 9/20/23-5Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1885252.81   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                         | DISH DBS CORP COMPANY GUAR 07/26 7.75                         | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   33117000 | PA      | $32734770.87   | 0.79%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| QUERCUS II RE DESIGNATED ACTIVITY COMPANY                                    | QUERCUS II RE DAC UNSECURED 144A 01/31 VAR                    | CUSIP: ACI37KKF2<br>LEI: 635400PTO1PTKKKHEA32 | Long             | DBT              | CORP              | IE        |     800000 | PA      | $940159.99     | 0.02%             | 2031-01-07      | Floating      | 14.61%                | No            |                  3 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV INC 2004-WMC4                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC4 M3              | CUSIP: 59020UDH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     635871 | PA      | $619292.45     | 0.02%             | 2035-04-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| MEDIAPRO (SUBCALIDORA 2 SARL)                                                | SUBCALIDORA 2 2024 EUR TERM LOAN                              | CUSIP: BA0007DG2<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |   27536000 | PA      | $32522108.45   | 0.79%             | 2029-08-14      | Floating      | 7.77%                 | No            |                  3 | 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        |     336902 | PA      | $340827.20     | 0.01%             | 2035-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2820173 | PA      | $-2840345.21   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 06/20/24-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-234723.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                         | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581              | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   76280000 | PA      | $80659131.06   | 1.95%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                            | U S RENAL CARE INC 2025 DELAYED DRAW TERM LOAN                | CUSIP: BA000SL28<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    5032500 | PA      | $4982175.00    | 0.12%             | 2030-09-25      | Floating      | 1.50%                 | No            |                  3 | 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      | $7518657.22    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 F 144A         | CUSIP: 46649JAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7734177 | PA      | $6722515.12    | 0.16%             | 2035-02-15      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 06/26 0.00000        | CUSIP: ACI37LQK3<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      96690 | PA      | $15470.34      | 0.00%             | 2026-06-23      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| VIRIDIEN                                                                     | VIRIDIEN SR SECURED 144A 10/30 10                             | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    9605000 | PA      | $10135163.54   | 0.25%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37937161.59   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A A2 144A                | CUSIP: 82639RAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16000000 | PA      | $4874816.00    | 0.12%             | 2039-09-07      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2006-2                                                              | ALBA PLC ALBA 2006 2 SUB REGS                                 | CUSIP: 991ZCLII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3491000 | PA      | $3040263.56    | 0.07%             | 2038-12-15      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2014-RR2                                                      | BCAP LLC TRUST BCAP 2014 RR2 11A4 144A                        | CUSIP: 05543DCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2227537 | PA      | $2143839.53    | 0.05%             | 2037-05-26      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                       | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6                | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $402042.56     | 0.01%             | 2035-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA SR SECURED 144A 11/29 9.5                    | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   13521730 | PA      | $13969300.62   | 0.34%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4887000 | PA      | $4841750.98    | 0.12%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -3799580 | PA      | $-4474401.40   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3             | CUSIP: 02147CAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490208 | PA      | $532454.24     | 0.01%             | 2046-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                              | UNITI GROUP INC COMMON STOCK USD.0001                         | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |     243237 | NS      | $1705091.37    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                         | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX E 144A          | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17240000 | PA      | $15690477.42   | 0.38%             | 2038-09-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                          | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A9                | CUSIP: 761136AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1793287 | PA      | $526717.14     | 0.01%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW1                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW1 M3              | CUSIP: 46628MAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4624974 | PA      | $4673226.81    | 0.11%             | 2036-05-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                             | FINASTRA USA INC 2025 2ND LIEN TERM LOAN                      | CUSIP: 31772YAB2<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |    7000000 | PA      | $6874560.00    | 0.17%             | 2033-09-15      | Floating      | 10.72%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                       | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 B3                  | CUSIP: 61746RHX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549617 | PA      | $545083.66     | 0.01%             | 2034-07-25      | Floating      | 9.10%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                        | BBCCRE TRUST BBCCR 2015 GTP F 144A                            | CUSIP: 05490TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3660000 | PA      | $1982103.74    | 0.05%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA 2025 EUR TERM LOAN B12                       | CUSIP: BA000QF37<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    4302982 | PA      | $5014210.29    | 0.12%             | 2028-10-30      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.50000 03/18/26-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $500903.00     | 0.01%             |  |  |  | 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        |     359542 | PA      | $361196.61     | 0.01%             | 2035-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 06/15/22-30Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22231666.30   | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7675500 | PA      | $-7694752.71   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2015-CR26                                                | COMM MORTGAGE TRUST COMM 2015 CR26 XE 144A                    | CUSIP: 12593QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28636000 | PA      | $286.36        | 0.00%             | 2048-10-10      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-12                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 12 M5                 | CUSIP: 126670EP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2390000 | PA      | $2146005.62    | 0.05%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1682450 | PA      | $-1694772.54   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO GBP ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -986607 | PA      | $-1334743.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.11525 05/31/24-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $2405770.35    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260303                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7222.01       | 0.00%             |  |  |  | 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      | $568936.81     | 0.01%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7M1                | CUSIP: 007036QX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1552093 | PA      | $1703154.80    | 0.04%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MIZUHO SECURITIES                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11071940 | PA      | $-11109076.68  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                         | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     570000 | PA      | $626743.50     | 0.02%             | 2031-05-27      | Floating      | 21.52%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2491450 | PA      | $-2932459.16   | -0.07%            |  |  |  | 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      | $450934.87     | 0.01%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -17225223 | PA      | $-20279192.86  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                          | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M6                   | CUSIP: 61744CNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     261419 | PA      | $232930.06     | 0.01%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT US CORP                                                | UPFIELD BV 2025 USD TERM LOAN B12                             | CUSIP: BA000FVY5<br>LEI: 254900U4MHW4MZWGFU47 | Long             | LON              | CORP              | NL        |   26987437 | PA      | $26172281.65   | 0.63%             | 2027-12-31      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2124228 | PA      | $-2143402.20   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1555165 | PA      | $-2115125.06   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  DEC25 XCME 20260317                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -68 | NC      | $60980.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7509750 | PA      | $-7534459.16   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                     | TITANIUM 2L BONDCO SARL SR SECURED 01/31 6.25                 | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |   40172900 | PA      | $8705417.52    | 0.21%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-2A                                                           | RCKT TRUST RCKTL 2025 2A E 144A                               | CUSIP: 74939HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3300000 | PA      | $3307686.03    | 0.08%             | 2034-11-27      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE1                                          | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE1 B1                  | CUSIP: 12506YCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     658900 | PA      | $656812.87     | 0.02%             | 2034-06-25      | Floating      | 6.40%                 | 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        |     119440 | PA      | $160150.19     | 0.00%             | 2050-06-28      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625              | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    1600000 | PA      | $1120000.00    | 0.03%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-84.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -650519 | PA      | $-651048.36    | -0.02%            |  |  |  | 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      | $367367.52     | 0.01%             | 2029-01-17      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                           | SPRUCE BIDCO II INC JPY TERM LOAN                             | CUSIP: BA000FPQ9<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |   99472767 | PA      | $641456.65     | 0.02%             | 2032-01-30      | Floating      | 5.75%                 | No            |                  3 | On Loan: No      |
| NUMERICABLE US LLC                                                           | ALTICE FRANCE SA 2025 EXT TERM LOAN B14                       | CUSIP: BA000QF60<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |   23362301 | PA      | $23386598.04   | 0.57%             | 2031-05-31      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                           | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300A 144A             | CUSIP: 08163DBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1505675.80    | 0.04%             | 2054-04-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                 | ALAMO RE LTD UNSECURED 144A 06/27 VAR                         | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     950000 | PA      | $1011180.00    | 0.02%             | 2027-06-07      | Floating      | 12.01%                | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-2                            | FREDDIE MAC   SCRT SCRT 2018 2 BX                             | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1410523 | PA      | $529574.48     | 0.01%             | 2057-11-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M2               | CUSIP: 59020UC37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4412326 | PA      | $3769891.53    | 0.09%             | 2036-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                               | ARGENT SECURITIES INC. ARSI 2004 W11 M5                       | CUSIP: 040104MK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1887859 | PA      | $1788702.90    | 0.04%             | 2034-11-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                      | XBP GLOBAL HOLDINGS INC COMMON STOCK                          | CUSIP: 98400V200<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |         77 | NS      | $524.37        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SVB FINANCIAL TRUST                                                          | SVB FINL TR COMMON STOCK UNIT                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      47859 | NS      | $22804813.50   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-62.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARINE ONE HOLDCO LLC                                                        | WEST MARINE NEW COMMON STOCK EQTYWM9A9                        | CUSIP: 902LVFII8<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       3579 | NS      | $22611.30      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| 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        |   17360759 | PA      | $16605413.68   | 0.40%             | 2035-02-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                              | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                      | CUSIP: 73110JAB8<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |    3500000 | PA      | $3651900.00    | 0.09%             | 2027-01-07      | Floating      | 16.84%                | 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        |      53471 | PA      | $47522.00      | 0.00%             | 2036-09-20      | Variable      | 4.99%                 | 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        |   54580000 | PA      | $53618160.68   | 1.30%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                          | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                  | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     500000 | PA      | $521825.00     | 0.01%             | 2032-06-07      | Floating      | 10.74%                | 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        |     259259 | PA      | $258464.09     | 0.01%             | 2029-10-15      | Fixed         | 5.99%                 | 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      | $14420521.33   | 0.35%             |  |  |  | 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        |   20389000 | PA      | $21145472.68   | 0.51%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2B1                        | CUSIP: 81743PBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24080 | PA      | $22716.41      | 0.00%             | 2033-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $14316.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-2                                       | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M5                  | CUSIP: 126673J52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13987749 | PA      | $12660062.73   | 0.31%             | 2035-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                          | BFLD TRUST BFLD 2020 EYP E 144A                               | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $91654.50      | 0.00%             | 2035-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2               | FREDDIE MAC   STACR STACR 2022 DNA2 B2 144A                   | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1715869.92    | 0.04%             | 2042-02-25      | Floating      | 12.37%                | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                               | WINSTON RE LTD UNSECURED 144A 02/31 VAR                       | CUSIP: 975660AA9<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |     450000 | PA      | $478035.00     | 0.01%             | 2031-02-26      | Floating      | 13.83%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -5287546 | PA      | $-6225387.88   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                       | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A B1 144A          | CUSIP: 16678RCV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2868872 | PA      | $2140702.13    | 0.05%             | 2036-01-25      | Floating      | 4.22%                 | 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        |    1453205 | PA      | $1271296.90    | 0.03%             | 2034-12-25      | Floating      | 4.82%                 | 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      | $-17005.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260224                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $186073.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 X 144A          | CUSIP: 36261WAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   90301452 | PA      | $2795443.99    | 0.07%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                              | NGD HOLDINGS BV SR SECURED 12/26 6.75                         | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |    1053970 | PA      | $964983.15     | 0.02%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9465466 | PA      | $-9532589.05   | -0.23%            |  |  |  | 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        |    6600000 | PA      | $2222812.02    | 0.05%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM1 AIOS 144A        | CUSIP: 64832DAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  249716205 | PA      | $1732168.94    | 0.04%             | 2065-01-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| DELTA FUNDING HOME EQ LN TR 1999-3                                           | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 M1                | CUSIP: 24763LFY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1016326 | PA      | $640594.97     | 0.02%             | 2030-01-15      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                               | ADLER GROUP SA   VTG SHS COMMON STOCK                         | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |    7118576 | NS      | $8.37          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12259096 | PA      | $-12349404.22  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-SEA2                                                        | GSAMP TRUST GSAMP 2004 SEA2 M2                                | CUSIP: 36228F6A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2085014 | PA      | $1775281.08    | 0.04%             | 2034-03-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                                | MRCD MORTGAGE TRUST MRCD 2019 PARK J 144A                     | CUSIP: 55348UBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $5940000.00    | 0.14%             | 2036-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1527531 | PA      | $-1540050.07   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5559376 | PA      | $-5606667.70   | -0.14%            |  |  |  | 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        |    1958740 | PA      | $3042840.35    | 0.07%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 03/26 0.00000                                   | CUSIP: 912797SZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1153000 | PA      | $1144748.34    | 0.03%             | 2026-03-17      | None          | 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        |      11251 | PA      | $7600.20       | 0.00%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LNR CDO LTD 2005-1A                                                          | LNR CDO LTD LNR 2005 1A A 144A                                | CUSIP: 53944PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2058379 | PA      | $207.90        | 0.00%             | 2043-02-28      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1             | CUSIP: 161630BD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32585 | PA      | $30315.96      | 0.00%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260113                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $545.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                 | FANNIE MAE   CAS CAS 2022 R01 1B2 144A                        | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $933276.06     | 0.02%             | 2041-12-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MOR-2007-LD11                                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD11 AJ             | CUSIP: 46631BAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14792890 | PA      | $2640530.95    | 0.06%             | 2049-06-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| IVANTI SECURITY HOLDINGS LLC                                                 | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                      | CUSIP: 46583VAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8218480 | PA      | $8504441.85    | 0.21%             | 2029-06-01      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MIZUHO SECURITIES                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -119149882 | PA      | $-119534306.20 | -2.90%            |  |  |  | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                                  | MCDERMOTT INTERNATIONAL LTD COMMON STOCK USD1.0               | CUSIP: G5924V148<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |        461 | NS      | $9611.85       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                   | EQTYWM927 WESTMORELAND MINING                                 | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     284189 | NS      | $799282.15     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14638272 | PA      | $-14778396.86  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP                 | CUSIP: 61749BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193170 | PA      | $101523.32     | 0.00%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260108                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $103486.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260306                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $77958.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SEC CORP 2001-3                                              | CONSECO FINANCE SECURITIZATION CNF 2001 3 M1                  | CUSIP: 20846QHQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1546490 | PA      | $1605659.25    | 0.04%             | 2033-05-01      | Variable      | 7.15%                 | 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        | 1841600000 | PA      | $31407077.45   | 0.76%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-2                                                       | LEHMAN XS TRUST LXS 2005 2 1M1                                | CUSIP: 86359DMR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7641892 | PA      | $7632259.40    | 0.18%             | 2035-08-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                               | COMEXPOSIUM 2019 EUR TERM LOAN B                              | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |   60260867 | PA      | $86398655.67   | 2.09%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2000-A                                            | KSLT 2000 A CERT SUB KSLT 2000 A CERT SUB                     | CUSIP: 934MAWII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $4133352.54    | 0.10%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1790018 | PA      | $-1813291.16   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF E 144A           | CUSIP: 61691KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21060000 | PA      | $20275319.14   | 0.49%             | 2034-11-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                      | ION PLAT FIN US/SARL SR SECURED 144A 05/28 5                  | CUSIP: 46206AAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3170996.74    | 0.08%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3 / ALTICE HOLDINGS 1                                      | ALTICE FRAN LUX 3/HOLD 1 SR UNSECURED 144A 01/33 10           | CUSIP: 020956AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   17381336 | PA      | $15962647.02   | 0.39%             | 2033-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2006-1                                     | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 1 M1                 | CUSIP: 17309NAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285921 | PA      | $284688.07     | 0.01%             | 2036-07-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                          | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR                  | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3600000 | PA      | $3731040.00    | 0.09%             | 2027-04-05      | Floating      | 12.27%                | 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        |     687405 | PA      | $494416.17     | 0.01%             | 2035-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-12AL                                              | TERWIN MORTGAGE TRUST TMTS 2005 12AL M1                       | CUSIP: 881561WE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435064 | PA      | $328228.90     | 0.01%             | 2036-07-25      | Variable      | 5.87%                 | 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        |    7557013 | PA      | $7400242.31    | 0.18%             | 2030-10-08      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                    | HILTON USA TRUST HILT 2016 SFP F 144A                         | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $626.25        | 0.00%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF1                                           | STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M6               | CUSIP: 86359BW49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     414276 | PA      | $415714.97     | 0.01%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A           | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11620000 | PA      | $10298039.08   | 0.25%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                               | URSA RE II LTD UNSECURED 144A 06/28 VAR                       | CUSIP: 91734PAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1200000 | PA      | $1200000.00    | 0.03%             | 2028-06-07      | Floating      | 11.61%                | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 M                 | CUSIP: 863579GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1782746 | PA      | $1387378.07    | 0.03%             | 2034-12-25      | Floating      | 4.38%                 | 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        |    3326294 | PA      | $3265297.32    | 0.08%             | 2040-02-15      | Variable      | 6.21%                 | 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        |     295596 | PA      | $243045.60     | 0.01%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.50000 12/20/23-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-508271.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH (SPRUCE BIDCO II INC)                                         | SPRUCE BIDCO II INC REVOLVER                                  | CUSIP: BA000FL00<br>LEI: 254900ZDXA1N7X9RDU49 | Long             | LON              | CORP              | US        |    1160917 | PA      | $1160917.43    | 0.03%             | 2032-01-30      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-3                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M3                  | CUSIP: 126670WE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4386706 | PA      | $4167440.07    | 0.10%             | 2036-06-25      | Floating      | 4.48%                 | 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        |       4409 | PA      | $0.00          | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| WHLN 2025-CV3-PF-FF1                                                         | WHLN 2025 CV3 PF FF1 WHLNRH9K6                                | CUSIP: 959AACII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   10934055 | PA      | $10945488.60   | 0.27%             | 2027-02-01      | Fixed         | 9.25%                 | Yes           |                  3 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M5                | CUSIP: 64352VKX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290998 | PA      | $291055.15     | 0.01%             | 2035-06-25      | Floating      | 4.82%                 | 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        |     477070 | PA      | $372773.71     | 0.01%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WHLN 2025-CV3-PF-FF5                                                         | WHLN 2025 CV3 PF FF5                                          | CUSIP: 958BHMII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   34274987 | PA      | $34308177.62   | 0.83%             | 2027-10-01      | Fixed         | 8.62%                 | Yes           |                  3 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-8                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M2                 | CUSIP: 86358EXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21318510 | PA      | $18286591.57   | 0.44%             | 2035-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                    | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     759003 | PA      | $678548.86     | 0.02%             | 2029-07-09      | Fixed         | 1.00%                 | 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        |   20800000 | PA      | $18107866.91   | 0.44%             | 2029-02-16      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                             | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                  | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1750000 | PA      | $1875125.00    | 0.05%             | 2026-06-08      | Floating      | 20.81%                | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-C3                                        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 C3 D                 | CUSIP: 225458VX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14947 | PA      | $13635.01      | 0.00%             | 2037-07-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                               | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000           | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    8059000 | PA      | $6223119.51    | 0.15%             | 2032-04-05      | None          | 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      | $85451.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.10000 09/17/24-4Y* CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5156991.55    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3                 | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M6              | CUSIP: 04541GQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $186399.10     | 0.00%             | 2035-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| DOGWOOD LLC                                                                  | MARKET GARDEN EQTYQL9A8                                       | CUSIP: 902FLS002<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   28283586 | NS      | $29106807.80   | 0.71%             |  |  |  | Yes           |                  3 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF2             | CUSIP: 46630LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1657194 | PA      | $2430254.76    | 0.06%             | 2036-11-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA SR SECURED 144A 11/29 7.25                   | CUSIP: ACI30QTN0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     269535 | PA      | $315677.83     | 0.01%             | 2029-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                         | INTEGRITY RE III UNSECURED 144A 06/28 VAR                     | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     600000 | PA      | $633240.00     | 0.02%             | 2028-06-06      | Floating      | 16.05%                | No            |                  2 | On Loan: No      |
| TERWIN MTGE TRUST 2006-5                                                     | TERWIN MORTGAGE TRUST TMTS 2006 5 1M1 144A                    | CUSIP: 8815612H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11252836 | PA      | $10772502.60   | 0.26%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1865688 | PA      | $-2192556.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15220835 | PA      | $-15256212.96  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO GBP ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1042456 | PA      | $-1410332.17   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                     | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5260000 | PA      | $4705790.09    | 0.11%             | 2038-12-15      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7920451 | PA      | $-7940687.37   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| HOUGHTON MIFFLIN HARCOURT COMPANY                                            | HOUGHTON MIFFLIN HARCOURT COMP TERM LOAN B                    | CUSIP: 44157YAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1710635 | PA      | $1514117.14    | 0.04%             | 2029-04-09      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1415928 | PA      | $-1420265.01   | -0.03%            |  |  |  | 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        |     191287 | PA      | $181601.68     | 0.00%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1055100 | PA      | $-1243839.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                                 | CORESTATE CAPITAL HOLDING COMMON STOCK                        | CUSIP: ACI2J2G58<br>LEI: 529900GNB86RB7HRX793 | Long             | EC               | CORP              | LU        |     632951 | NS      | $0.74          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR                | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1575161 | PA      | $929344.99     | 0.02%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-SD1                                                         | GSAMP TRUST GSAMP 2006 SD1 M2 144A                            | CUSIP: 362341X79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1284093 | PA      | $1074960.38    | 0.03%             | 2045-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MERCURY CDO LTD 2004-1A                                                      | MERCURY CDO LTD MRCY 2004 1A A2A 144A                         | CUSIP: 58936RAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5541696 | PA      | $4963037.29    | 0.12%             | 2040-12-08      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GUARDIAN BIDCO INC                                                           | GUARDIAN 1ST LIEN DELAYED DRAW TL                             | CUSIP: BA000P6S4<br>LEI: 254900FNRUS0FT2AXJ89 | Long             | LON              | CORP              | US        |   10600000 | PA      | $10518595.50   | 0.25%             | 2032-08-29      | Fixed         | 9.67%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2148959 | PA      | $-2148959.13   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-4                                          | BANC OF AMERICA FUNDING CORPOR BAFC 2006 4 A12                | CUSIP: 05950FAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1675063 | PA      | $1339142.38    | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | 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      | $16716434.90   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260707                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-476.27       | -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        |    4000000 | PA      | $390000.00     | 0.01%             | 2036-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -689962 | PA      | $-691736.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC              | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 06/32 8.625         | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4732036.94    | 0.11%             | 2032-06-15      | Fixed         | 8.62%                 | 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        |    1300000 | PA      | $1112285.33    | 0.03%             | 2036-01-25      | Floating      | 4.52%                 | 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        |  164828965 | PA      | $21443628.46   | 0.52%             | 2026-12-31      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $409077.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-111.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 CB1                | CUSIP: 007036AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1411288 | PA      | $1375246.18    | 0.03%             | 2035-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COHESITY INC                                                                 | CLOVER 2024 HOLDINGS INC VERITAS G 1 PREFERRED                | CUSIP: 955EKAII3<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |      21380 | NS      | $411267.37     | 0.01%             |  |  |  | Yes           |                  3 | 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        |       8252 | PA      | $9562.38       | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3709498 | PA      | $-3745474.26   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1945000 | PA      | $-1958556.65   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-HE1                                         | NOMURA HOME EQUITY LOAN INC NHELI 2005 HE1 M6                 | CUSIP: 65536HBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2682581.40    | 0.06%             | 2035-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                  | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                       | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  778100000 | PA      | $18105753.60   | 0.44%             | 2028-09-06      | Fixed         | 41.72%                | 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      | $-318.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                       | FIRST NLC TRUST FNLC 2005 1 M2                                | CUSIP: 32113JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3340405 | PA      | $2196433.40    | 0.05%             | 2035-05-25      | Floating      | 4.49%                 | 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        |     302517 | PA      | $294197.61     | 0.01%             | 2035-12-25      | Floating      | 4.49%                 | 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      | $309600.00     | 0.01%             | 2028-02-21      | Floating      | 10.12%                | 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      | $10019326.50   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -475124 | PA      | $-476872.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                             | HSI ASSET LOAN OBLIGATION HALO 2007 1 2A12                    | CUSIP: 40431TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6380836 | PA      | $2285585.46    | 0.06%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QUIDELORTHO CORPORATION                                                      | QUIDELORTHO CORP TERM LOAN                                    | CUSIP: 74840YAH7<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |    3092250 | PA      | $3094661.96    | 0.07%             | 2032-08-20      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AHL                                                         | GSAMP TRUST GSAMP 2004 AHL M2                                 | CUSIP: 36242DHR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445403 | PA      | $446555.74     | 0.01%             | 2034-08-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                       | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                        | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |     450000 | PA      | $541294.18     | 0.01%             | 2027-07-08      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6142403 | PA      | $-6162652.65   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 03/26 0.00000                                   | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9206000 | PA      | $9127191.94    | 0.22%             | 2026-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                                | CHEPLAPHARM ARZNEIMITTEL SR SECURED REGS 05/30 7.5            | CUSIP: ACI2FPJG4<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |    1000000 | PA      | $1220247.03    | 0.03%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 1999-B                                            | KEYCORP STUDENT LOAN TRUST 199 KSLT 1999 B                    | CUSIP: 934GPPII6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $5541489.86    | 0.13%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MIZUHO SECURITIES                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11078560 | PA      | $-11113808.28  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                          | MARGATE FUNDING LTD MGATE 2004 1A A1S 144A                    | CUSIP: 56659NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30325421 | PA      | $5131000.63    | 0.12%             | 2044-12-04      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                         | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A          | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5300000 | PA      | $3862017.25    | 0.09%             | 2037-07-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-FIX1                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 FIX1 M1              | CUSIP: 22541S5V6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     978439 | PA      | $611942.67     | 0.01%             | 2035-05-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | PEMEX SNR LA SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1117200.18   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14922313 | PA      | $-14974120.89  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 12/17/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $156744.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW IMMO HOLDING SA                                                          | NEW IMMO HOLDING SA SR UNSECURED REGS 07/27 3.25              | CUSIP: ACI1NZ8Z5<br>LEI: 5493007LOTJ0I8E94R81 | Long             | DBT              | CORP              | FR        |    2600000 | PA      | $3057315.97    | 0.07%             | 2027-07-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2004-3                                        | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 1M3                | CUSIP: 004375BG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1863046 | PA      | $1682173.06    | 0.04%             | 2034-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9504820 | PA      | $-9523512.48   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CHF BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-13704.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                             | FINASTRA USA INC 2025 1ST LIEN TERM LOAN                      | CUSIP: 31772YAD8<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |   20700000 | PA      | $20302870.50   | 0.49%             | 2032-09-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | PETROLEOS MEXICANOS (PEMEX) LA SP CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-620666.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                                       | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A4              | CUSIP: 466287AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4202871 | PA      | $3537284.41    | 0.09%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-11                                        | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 5A1               | CUSIP: 007036UQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28144 | PA      | $16782.56      | 0.00%             | 2036-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2005-R10                                         | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R10 M5               | CUSIP: 03072ST21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1041287.72    | 0.03%             | 2036-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                               | FREMONT HOME LOAN TRUST FHLT 2006 2 M1                        | CUSIP: 35729PPZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10755895 | PA      | $7823768.97    | 0.19%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| ARIMA MORTGAGES PLC 2A                                                       | ARIMA MORTGAGES PLC ARIMA 2A YC 144A                          | CUSIP: ACI2VMBV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    9500000 | PA      | $9533363.53    | 0.23%             | 2056-07-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2005-3 2005-3                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 3 B1                 | CUSIP: 576433YZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688176 | PA      | $501314.33     | 0.01%             | 2035-04-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 1999-A                                            | KEYCORP STUDENT LN TR SER 2004 A CL 1A1                       | CUSIP: 4932689N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $4006123.38    | 0.10%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20260122                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $157.41        | 0.00%             |  |  |  | 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        |    1348175 | PA      | $847640.66     | 0.02%             | 2026-12-31      | Fixed         | 8.00%                 | 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      | $25427020.32   | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | PETERSEN CLAIM UNITS                                          | CUSIP: 958CFGII7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | CORP              | US        |     160000 | PA      | $4672000.00    | 0.11%             | 2099-12-31      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29464507 | PA      | $-29753316.19  | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC1                                      | STRUCTURED ASSET SECURITIES CO SASC 2007 BC1 M1               | CUSIP: 86362PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16931252 | PA      | $14540206.70   | 0.35%             | 2037-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.90000 09/17/24-6Y* CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3717193.89    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-73671.06     | -0.00%            |  |  |  | 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        |     300000 | PA      | $30000.00      | 0.00%             | 2030-10-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                      | ION PLAT FIN US/SARL SR SECURED 144A 08/29 9                  | CUSIP: 46206AAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7318343.96    | 0.18%             | 2029-08-01      | Fixed         | 9.00%                 | 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        |     600000 | PA      | $631920.00     | 0.02%             | 2027-06-07      | Floating      | 12.76%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PLN SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1135.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A X 144A                   | CUSIP: ACI2C6PW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    7667000 | PA      | $13350939.75   | 0.32%             | 2062-10-16      | Floating      | 12.96%                | 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        |   -4711307 | PA      | $-4721896.72   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                | NPC UKRENERGO GOVT GUARANT 144A 11/28 6.875                   | CUSIP: 63718LAA2<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |    1000000 | PA      | $860000.00     | 0.02%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X B1C REGS                           | CUSIP: ACI00RTY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1792096 | PA      | $2327837.12    | 0.06%             | 2045-06-13      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A              | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7992 | PA      | $7899547.31    | 0.19%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PTHW 2025-RTL1 PT                                                            | PTHW 2025 RTL1 PT                                             | CUSIP: 990ABZHM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   58451984 | PA      | $58949140.89   | 1.43%             | 2045-11-01      | Fixed         | 7.75%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -684775 | PA      | $-690655.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.40000 09/17/24-2Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2114941.47    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE SECURITIES INC RE-REMIC TRUST CERTIFICATES SERIES 2007-RS8 | DEUTSCHE MORTGAGE SECURITIES, DMSI 2007 RS8 3A1 144A          | CUSIP: 25156WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3146301 | PA      | $2315693.98    | 0.06%             | 2036-09-28      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                       | SOUTH COAST FUNDING SCF 5A C1 144A                            | CUSIP: 84129VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   40756241 | PA      | $4075.62       | 0.00%             | 2039-08-06      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                                | AMSURG EQUITY EQTYAS910                                       | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    2562021 | NS      | $115069875.89  | 2.79%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                   | ION PLATFORM FINANCE SAR SR SECURED 144A 09/30 6.5            | CUSIP: ACI30SHJ8<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |   10100000 | PA      | $11514586.36   | 0.28%             | 2030-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                                 | PERATON CORP TERM LOAN B                                      | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |   94516318 | PA      | $87917188.45   | 2.13%             | 2028-02-01      | Floating      | 7.69%                 | 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        |    9787500 | PA      | $10206605.75   | 0.25%             | 2028-07-31      | Floating      | 13.39%                | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4304970 | PA      | $-4345931.79   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-3230.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6244304 | PA      | $-6267983.29   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                            | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6            | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     430000 | PA      | $103200.00     | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOLERA LLC (POLARIS NEWCO LLC)                                               | POLARIS NEWCO LLC EUR TERM LOAN B                             | CUSIP: 73108RAC2<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |   30510547 | PA      | $34143154.12   | 0.83%             | 2028-06-02      | Floating      | 6.07%                 | 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        |     700000 | PA      | $114611.98     | 0.00%             | 2035-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                       | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 E 144A             | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9933131.00    | 0.24%             | 2038-05-15      | Floating      | 6.76%                 | 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        |     573357 | PA      | $515357.66     | 0.01%             | 2035-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/0.75000 09/21/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $2259098.54    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B D 144A           | CUSIP: 63874EAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $4742733.80    | 0.11%             | 2037-04-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260223                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-55311.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 06/28 0.00000        | CUSIP: ACI37LP99<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      11492 | PA      | $2470.84       | 0.00%             | 2028-06-23      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV INC 2004-WMC3                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC3 M2              | CUSIP: 59020UCP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46420 | PA      | $45778.59      | 0.00%             | 2035-01-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                       | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE F 144A            | CUSIP: 36258BAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7663841 | PA      | $6981549.19    | 0.17%             | 2036-12-15      | Floating      | 7.27%                 | 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      | $-1280.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOCA CLO XIII  13X                                                          | AVOCA CLO AVOCA 13X SUB REGS                                  | CUSIP: ACI0B8BB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2250000 | PA      | $971037.23     | 0.02%             | 2034-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 B4 144A          | CUSIP: 64830NAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12875000 | PA      | $9845633.53    | 0.24%             | 2059-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                    | CAESARS ENTERTAINMENT INC COMMON STOCK                        | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |          1 | NS      | $23.39         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -337500 | PA      | $-337936.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                   | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL               | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     170649 | PA      | $143344.84     | 0.00%             | 2027-06-30      | Floating      | 6.83%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25224597 | PA      | $-25234918.04  | -0.61%            |  |  |  | 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        |   24174262 | PA      | $24054961.56   | 0.58%             | 2030-12-19      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $23957.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -26576045 | PA      | $-26643171.66  | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| WHLN 2024-CV3-FF1                                                            | WHLNPL994 WHLN 2024 CV3 FF2                                   | CUSIP: 958LWZII6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17606912 | PA      | $17596784.17   | 0.43%             | 2027-10-01      | Fixed         | 9.25%                 | Yes           |                  3 | On Loan: No      |
| ALAMO RE LTD                                                                 | ALAMO RE LTD UNSECURED 144A 06/26 VAR                         | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     450000 | PA      | $470025.00     | 0.01%             | 2026-06-08      | Floating      | 15.46%                | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                            | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00     | 0.01%             | 2029-01-08      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4011000 | PA      | $-4019891.05   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC3                                                        | GSAMP TRUST GSAMP 2005 WMC3 M1                                | CUSIP: 362341L64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20240504 | PA      | $17940522.47   | 0.43%             | 2035-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A2                        | CUSIP: 12669GYZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2098564 | PA      | $1693603.43    | 0.04%             | 2035-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                        | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/28 2.375        | CUSIP: ACI2B1W92<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |    6500000 | PA      | $7476474.52    | 0.18%             | 2028-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-29.66        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.90000 09/17/24-6Y* CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $808564.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31118947 | PA      | $-31416832.77  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5140                                                      | FREDDIE MAC FHR 5140 JI                                       | CUSIP: 3137H24K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3177359 | PA      | $720521.97     | 0.02%             | 2050-12-25      | Fixed         | 4.50%                 | 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        |    6400000 | PA      | $6475910.40    | 0.16%             | 2029-11-15      | Fixed         | 8.50%                 | 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        |   26755629 | PA      | $25862793.40   | 0.63%             | 2028-06-02      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21493450 | PA      | $-21609619.11  | -0.52%            |  |  |  | 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        |      87606 | PA      | $94113.13      | 0.00%             | 2035-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3222862 | PA      | $-3227213.36   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 A 144A         | CUSIP: 46653DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $5270229.16    | 0.13%             | 2036-03-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2014-A                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A R 144A              | CUSIP: 784456105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15318 | PA      | $341423.79     | 0.01%             | 2045-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2155530 | PA      | $-2174039.86   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                     | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |    3581000 | NS      | $38127598.89   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1819682 | PA      | $-1830913.79   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -11183507 | PA      | $-15220072.35  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-FM1                                         | NOMURA HOME EQUITY LOAN INC NHELI 2006 FM1 M1                 | CUSIP: 65536HBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10778099 | PA      | $7732800.75    | 0.19%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-124.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                                                | PENNYMAC CORP COMPANY GUAR 03/26 5.5                          | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |   18075000 | PA      | $18102112.50   | 0.44%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                           | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300D 144A             | CUSIP: 08163DBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $3387869.32    | 0.08%             | 2054-04-15      | Variable      | 2.99%                 | 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        |    4588000 | PA      | $4543168.36    | 0.11%             | 2028-01-15      | Fixed         | 5.50%                 | 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        |    1843462 | PA      | $96932.53      | 0.00%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                    | MOTION FINCO SARL 2024 USD TERM LOAN B                        | CUSIP: L6526BAG9<br>LEI: 2549002L1LBQZKA7UN30 | Long             | LON              | CORP              | LU        |    4500000 | PA      | $4002210.00    | 0.10%             | 2029-11-12      | Floating      | 7.17%                 | 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        |   13458368 | PA      | $18231282.60   | 0.44%             | 2028-05-31      | Fixed         | 4.39%                 | No            |                  3 | 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        |   29618000 | PA      | $0.30          | 0.00%             | 2044-12-04      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE7                                       | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE7 M2              | CUSIP: 04541GMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35294 | PA      | $35917.27      | 0.00%             | 2034-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR                | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     648244 | PA      | $367878.47     | 0.01%             | 2036-02-01      | Variable      | 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      | $-785.10       | -0.00%            |  |  |  | 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        |   15096520 | PA      | $14228470.06   | 0.34%             | 2030-12-31      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| ZIGGO (VZ SECURED FINANCING BV)                                              | VZ SECURED FINANCING BV SR SECURED 144A 01/33 7.5             | CUSIP: 91845AAB1<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |   10200000 | PA      | $10343389.56   | 0.25%             | 2033-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                                | BSST MORTGAGE TRUST BSST 2021 1818 F 144A                     | CUSIP: 07403PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3125000 | PA      | $437425.31     | 0.01%             | 2036-03-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                              | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAD4<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $400000.00     | 0.01%             | 2029-01-08      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI D 144A           | CUSIP: 63875JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3213642 | PA      | $3206114.37    | 0.08%             | 2035-03-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                  | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6             | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   37876000 | PA      | $35267766.22   | 0.85%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PATTERSON CO (PARADIGM PARENT LLC)                                           | PARADIGM PARENT LLC 1ST LIEN TERM LOAN                        | CUSIP: 69902BAB5<br>LEI: 254900EDT9YE5UFH3458 | Long             | LON              | CORP              | US        |   26878719 | PA      | $23741569.59   | 0.58%             | 2032-04-16      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X2 144A            | CUSIP: ACI2S8TR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     624000 | PA      | $894170.63     | 0.02%             | 2060-06-20      | Floating      | 8.73%                 | 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      | $-20169.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8725446 | PA      | $-10286143.07  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL X 144A           | CUSIP: 95003WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  355000000 | PA      | $483811.75     | 0.01%             | 2039-12-15      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                      | ION PLAT FIN US/SARL SR SECURED 144A 05/28 5.75               | CUSIP: 46206AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6300000 | PA      | $5946893.82    | 0.14%             | 2028-05-15      | Fixed         | 5.75%                 | 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        |   55460000 | PA      | $23556775.44   | 0.57%             | 2030-11-30      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                        | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN                  | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |   15700000 | PA      | $15813577.73   | 0.38%             | 2029-12-18      | Floating      | 7.22%                 | No            |                  3 | On Loan: No      |
| VENEZUELAN GOVT                                                              | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25                 | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      65000 | PA      | $21693.75      | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6495.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                 | UBS GROUP AG REG COMMON STOCK USD.1                           | CUSIP: ACI09N1W4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |       5143 | NS      | $237475.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4521456 | PA      | $-4538382.38   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260323                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $22748.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28                | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR28 CB1             | CUSIP: 22541QU91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     482632 | PA      | $449153.80     | 0.01%             | 2033-12-25      | Variable      | 4.85%                 | 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        |     224663 | PA      | $74953.60      | 0.00%             | 2038-09-04      | Fixed         | 6.00%                 | 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        |   12062155 | PA      | $12116147.91   | 0.29%             | 2029-04-25      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MIZUHO SECURITIES                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4612858 | PA      | $-4627976.22   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| C-BASS CBO XVI CORP 16A                                                      | C BASS LTD CBCL 16A A 144A                                    | CUSIP: 12498YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   21237598 | PA      | $106633.98     | 0.00%             | 2041-09-06      | Floating      | 7.25%                 | 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      | $-1867216.15   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3                | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148032 | PA      | $148112.38     | 0.00%             | 2035-03-25      | Floating      | 4.63%                 | 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        |    8228187 | PA      | $6582549.60    | 0.16%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2615589 | PA      | $-2618611.86   | -0.06%            |  |  |  | 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      | $211208.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                             | PROJECT CASHMERE CLASS G 144A                                 | CUSIP: 990ABJSK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   20955000 | PA      | $13984319.94   | 0.34%             | 2057-12-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7973152 | PA      | $-8026124.91   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2015-7R                                         | GS MORTGAGE SECURITIES CORP. GSMSC 2015 7R B 144A             | CUSIP: 36254RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38352441 | PA      | $14574932.59   | 0.35%             | 2037-09-26      | Variable      | 2.97%                 | 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        |   12695470 | PA      | $4710378.09    | 0.11%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                        | ENVALIOR FINANCE GMBH USD TERM LOAN B1                        | CUSIP: D255LZAC9<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |   46011977 | PA      | $42988299.47   | 1.04%             | 2030-04-01      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3                                      | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 M1              | CUSIP: 83611MPK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10074564 | PA      | $9026429.33    | 0.22%             | 2036-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -155474 | PA      | $-182713.04    | -0.00%            |  |  |  | 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        |    5700000 | PA      | $3505500.00    | 0.08%             | 2049-01-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                        | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1               | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |    2330820 | NS      | $970200.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M5                | CUSIP: 64352VKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221822 | PA      | $222797.06     | 0.01%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-2                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M3                  | CUSIP: 126670UY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300834 | PA      | $2243879.51    | 0.05%             | 2036-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-2                            | FREDDIE MAC   SCRT SCRT 2025 2 M 144A                         | CUSIP: 35563VCH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4096434.30    | 0.10%             | 2065-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -5033124 | PA      | $-5923129.57   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-5                                              | BEAR STEARNS ALT A TRUST BALTA 2004 5 B1                      | CUSIP: 07386HJK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83192 | PA      | $56955.91      | 0.00%             | 2034-06-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -35612223 | PA      | $-35752520.63  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3190088 | PA      | $-3221671.52   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                             | DUN + BRADSTREET CORPOR THE 2025 TERM LOAN                    | CUSIP: BA000K739<br>LEI: 2549003M8H6SW81O1D67 | Long             | LON              | CORP              | US        |    7763636 | PA      | $7692409.11    | 0.19%             | 2032-08-26      | Floating      | 9.23%                 | No            |                  3 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1123.46      | -0.00%            |  |  |  | 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        |     108844 | PA      | $87361.68      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                            | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR                    | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     700000 | PA      | $722750.00     | 0.02%             | 2031-09-14      | Floating      | 14.58%                | 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        |   68151787 | PA      | $30327545.22   | 0.73%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6678726 | PA      | $-6749879.17   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M5              | CUSIP: 542514LM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15032032 | PA      | $14473524.57   | 0.35%             | 2035-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A F 144A                   | CUSIP: ACI2C6Q06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   15333000 | PA      | $20633247.68   | 0.50%             | 2062-10-16      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6                   | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252567 | PA      | $234126.00     | 0.01%             | 2035-03-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                 | DBGS MORTGAGE TRUST DBGS 2021 W52 F 144A                      | CUSIP: 23308LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $4555644.00    | 0.11%             | 2039-10-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO GBP ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1031128 | PA      | $-1401566.43   | -0.03%            |  |  |  | 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      | $-270.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260109                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $181649.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                         | DISH DBS CORP SR SECURED 144A 12/26 5.25                      | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   41888000 | PA      | $40652404.11   | 0.99%             | 2026-12-01      | Fixed         | 5.25%                 | 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      | $-443.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM1 XS 144A          | CUSIP: 64832DAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  249716204 | PA      | $6886323.88    | 0.17%             | 2065-01-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1298800 | PA      | $-1301130.74   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7757758 | PA      | $-7803459.47   | -0.19%            |  |  |  | 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        |     173885 | PA      | $170080.16     | 0.00%             | 2035-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                          | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 12A4 144A           | CUSIP: 75524MCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2336831 | PA      | $1126206.61    | 0.03%             | 2037-10-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -423984 | PA      | $-425338.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $-3591468.31   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2006-1X                                                  | LUDGATE FUNDING PLC LGATE 2006 1X MC REGS                     | CUSIP: ACI20ZV82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |  375000000 | PA      | $5.05          | 0.00%             | 2060-12-01      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M5               | CUSIP: 03072SV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $987787.68     | 0.02%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                           | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M5              | CUSIP: 40430HEE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24675000 | PA      | $18665514.80   | 0.45%             | 2036-01-25      | Floating      | 4.66%                 | 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        |   32800000 | PA      | $36523058.01   | 0.88%             | 2032-04-26      | Floating      | 6.60%                 | 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        |    3422207 | PA      | $179945.75     | 0.00%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2009-RR4                                                      | BCAP LLC TRUST BCAP 2009 RR4 1A2 144A                         | CUSIP: 05531RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1961495 | PA      | $452084.15     | 0.01%             | 2037-06-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA SR SECURED 144A 10/30 4.75                   | CUSIP: ACI30QTM2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      77010 | PA      | $85325.50      | 0.00%             | 2030-10-15      | Fixed         | 4.75%                 | 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        |     232053 | PA      | $198240.40     | 0.00%             | 2035-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP1                                                 | ACE SECURITIES CORP. ACE 2006 OP1 M1                          | CUSIP: 00442PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7943500 | PA      | $6369059.38    | 0.15%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.50 9/21/23-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-358119.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                            | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375        | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     440000 | PA      | $103180.00     | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL D 144A           | CUSIP: 95003WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3459434.88    | 0.08%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260203                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $159167.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1145560 | PA      | $-1153787.98   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -699776 | PA      | $-944437.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 08/35 4.25                                    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3284000 | PA      | $3308116.88    | 0.08%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4765857 | PA      | $-4801631.14   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR                | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1605651 | PA      | $963390.60     | 0.02%             | 2035-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ACACIA CDO LTD 5A                                                            | ACACIA CDO LTD ACCDO 5A B 144A                                | CUSIP: 00388EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27881649 | PA      | $6129083.50    | 0.15%             | 2039-11-08      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                  | URSA RE LTD UNSECURED 144A 02/28 VAR                          | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    1900000 | PA      | $1937525.00    | 0.05%             | 2028-02-22      | Floating      | 11.12%                | No            |                  2 | On Loan: No      |
| JPMCC-2019-BKWD                                                              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 BKWD A 144A         | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     648100 | PA      | $629939.72     | 0.02%             | 2029-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -35277356 | PA      | $-35591589.30  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A           | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7835000 | PA      | $7404613.26    | 0.18%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-4                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 4 B                   | CUSIP: 1266715S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254930 | PA      | $386913.77     | 0.01%             | 2033-08-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260311                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $632.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -860727 | PA      | $-863570.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                          | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                  | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     800000 | PA      | $837640.00     | 0.02%             | 2032-06-07      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-A                                               | FREMONT HOME LOAN TRUST FHLT 2004 A M3                        | CUSIP: 35729PCM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1883437 | PA      | $1675846.82    | 0.04%             | 2034-01-25      | Floating      | 5.95%                 | 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        |     332887 | PA      | $362271.89     | 0.01%             | 2036-01-25      | Floating      | 4.54%                 | 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        |    7000000 | PA      | $8393553.70    | 0.20%             | 2034-01-25      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                         | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $311280.00     | 0.01%             | 2027-06-06      | Floating      | 11.80%                | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                       | SOUTH COAST FUNDING SCF 5A B 144A                             | CUSIP: 84129VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24341450 | PA      | $7509459.13    | 0.18%             | 2039-08-06      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260220                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $23297.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WHLN 2024-ACRA-FF2                                                           | WHLN 2024 ACRA FF2                                            | CUSIP: 937NATII6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542500 | PA      | $542898.92     | 0.01%             | 2027-08-01      | Fixed         | 9.50%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -50086158 | PA      | $-50334989.17  | -1.22%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                          | SAXON ASSET SECURITIES TRUST SAST 2007 3 2M1                  | CUSIP: 80557BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10946000 | PA      | $8840192.10    | 0.21%             | 2047-09-25      | 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        |      52100 | PA      | $52038.77      | 0.00%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                               | LIBERTY STREET TRUST LBTY 2016 225L A 144A                    | CUSIP: 902055AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3431116.15    | 0.08%             | 2036-02-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7697034 | PA      | $-7745012.66   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-76813.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-4                                          | BANC OF AMERICA FUNDING CORPOR BAFC 2006 4 A11                | CUSIP: 05950FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     384666 | PA      | $307524.63     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |     167282 | PA      | $138024.80     | 0.00%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD MXN BOUGHT USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-41.48        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD TRY BOUGHT USD 20260319                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2376.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-158.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 G 144A                     | CUSIP: 12430YAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2248625.70    | 0.05%             | 2036-09-15      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260127                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $228427.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 06/20/24-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $793.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                       | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A6              | CUSIP: 466286AU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11177979 | PA      | $9130216.51    | 0.22%             | 2036-12-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                        | INCORA NEW EQUITY                                             | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    1270491 | NS      | $49212250.36   | 1.19%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                              | CERBA HEALTHCARE SAS 2021 EUR TERM LOAN B                     | CUSIP: 937NEWII5<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |   32903208 | PA      | $28724025.47   | 0.70%             | 2028-06-30      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| WHLN 2024-CV3-FF1                                                            | WHLN 2024 CV3 FF1 7U008KK                                     | CUSIP: 954GRSII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9532626 | PA      | $9544207.17    | 0.23%             | 2026-05-01      | Fixed         | 9.75%                 | Yes           |                  3 | On Loan: No      |
| SYNIVERSE CORPORATION                                                        | SYNIVERSE PFD PIK PFDJJZ917                                   | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   47910272 | NS      | $46490834.68   | 1.13%             |  |  |  | Yes           |                  3 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A                     | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16000000 | PA      | $170688.00     | 0.00%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                    | JETBLUE AIRWAYS/LOYALTY SR SECURED 144A 09/31 9.875           | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12251000 | PA      | $12353126.91   | 0.30%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ E 144A           | CUSIP: 05523GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2716000 | PA      | $245482.94     | 0.01%             | 2034-08-14      | Variable      | 3.61%                 | 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        |    1572640 | PA      | $461072.84     | 0.01%             | 2038-09-04      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $132291.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                                 | ACE SECURITIES CORP. ACE 2004 FM2 M5                          | CUSIP: 004421GN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1024222 | PA      | $887897.10     | 0.02%             | 2034-06-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                              | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAF9<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00     | 0.01%             | 2029-01-08      | Floating      | 14.18%                | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI E 144A            | CUSIP: 12652FAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $787802.40     | 0.02%             | 2032-11-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -76837509 | PA      | $-77118222.48  | -1.87%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -949457 | PA      | $-954992.13    | -0.02%            |  |  |  | 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      | $261925.00     | 0.01%             | 2031-05-10      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5884183 | PA      | $-5935898.17   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-SD1                                                         | GSAMP TRUST GSAMP 2005 SD1 M3 144A                            | CUSIP: 36242DWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9472148 | PA      | $7449559.16    | 0.18%             | 2034-12-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| GMAC COMMERCIAL MORTGAGE ASSET CORPORATION 2003 BRAG                         | GMAC COMMERCIAL MORTGAGE ASSET GMACN 2003 BRAG CERT 144A      | CUSIP: 36185PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     699897 | PA      | $691218.71     | 0.02%             | 2038-08-10      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $15318.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 1.50000 03/15/23-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $935906.05     | 0.02%             |  |  |  | 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      | $-1727.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-4                                                | SEQUOIA MORTGAGE TRUST SEMT 2005 4 1B2                        | CUSIP: 81744FHY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8247 | PA      | $7667.78       | 0.00%             | 2035-10-20      | Floating      | 4.79%                 | 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        |        240 | PA      | $709036.54     | 0.02%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -473980 | PA      | $-475576.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1694.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A2             | CUSIP: 23244GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154402 | PA      | $96282.89      | 0.00%             | 2046-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3                            | FREDDIE MAC   SCRT SCRT 2019 3 BXS                            | CUSIP: 35563PMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3178083 | PA      | $1432553.24    | 0.03%             | 2058-10-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AQ1                          | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AQ1 A2              | CUSIP: 07389VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5025755 | PA      | $5035034.04    | 0.12%             | 2035-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                                | PRIME HEALTHCARE SERVICE SR SECURED 144A 09/29 9.375          | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7571560.39    | 0.18%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                                | BSST MORTGAGE TRUST BSST 2021 1818 A 144A                     | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6700000 | PA      | $5610352.87    | 0.14%             | 2036-03-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -3865550 | PA      | $-4550535.05   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                         | SOHO TRUST 2021 SOHO SOHO 2021 SOHO C 144A                    | CUSIP: 83410JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6400000 | PA      | $4793359.36    | 0.12%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 E 144A          | CUSIP: 46642CAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1846228 | PA      | $150236.80     | 0.00%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                  | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                       | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     900000 | PA      | $21171.03      | 0.00%             | 2026-08-19      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -103110 | PA      | $-103440.85    | -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        |   60161527 | PA      | $3632264.22    | 0.09%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 B 144A          | CUSIP: 36261WAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20530968 | PA      | $14007246.93   | 0.34%             | 2060-12-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                          | IMPAC CMB TRUST IMM 2005 7 A2                                 | CUSIP: 45254NQY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     814547 | PA      | $740387.18     | 0.02%             | 2035-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                                 | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M4                   | CUSIP: 70069FMV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19123746 | PA      | $15047616.80   | 0.36%             | 2035-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                 | BAYOU RE LTD UNSECURED 144A 04/31 VAR                         | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     400000 | PA      | $443920.00     | 0.01%             | 2031-04-30      | Floating      | 22.12%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3916800 | PA      | $-3925870.66   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                              | NEW WINDSTREAM PREFERRED STOCK                                | CUSIP: 990AAJEB9<br>LEI: 549300V3NU625PJUVA84 | Long             | EP               | CORP              | US        |      10449 | NS      | $10385335.07   | 0.25%             |  |  |  | No            |                  3 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                          | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13             | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2085947 | PA      | $2021472.27    | 0.05%             | 2036-12-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                          | BCP TRUST BCP 2021 330N E 144A                                | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $259798.00     | 0.01%             | 2038-06-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGE FUNDING 2008-1 PLC                                                  | MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS                       | CUSIP: ACI1690J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1700000 | PA      | $2297256.34    | 0.06%             | 2046-03-13      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT MXN SOLD USD 20260129                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $14529.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5697833 | PA      | $-5705794.57   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2003441 | PA      | $-2020750.42   | -0.05%            |  |  |  | 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      | $-3042164.89   | -0.07%            |  |  |  | No            |                  3 | On Loan: No      |
| DATABRICKS INC                                                               | DATABRICKS INC LAST OUT TERM LOAN                             | CUSIP: 23803RAB7<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    7450873 | PA      | $7581263.64    | 0.18%             | 2031-01-03      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                | ALTICE FRANCE SA SR SECURED 144A 04/32 6.5                    | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    7265629 | PA      | $6969822.72    | 0.17%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4461413 | PA      | $-4475927.87   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PLN SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2392.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  MAR26 XCME 20260616                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -64 | NC      | $27593.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21042885 | PA      | $-21079841.45  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                  | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A Z 144A             | CUSIP: ACI2S8TP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5663000 | PA      | $6175581.93    | 0.15%             | 2050-06-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -108995107 | PA      | $-110168802.18 | -2.67%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 F 144A                     | CUSIP: 12430YAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6611000 | PA      | $5214644.41    | 0.13%             | 2036-09-15      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-26888.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VEON AMSTERDAM BV                                                            | VEON AMSTERDAM TERM LOAN                                      | CUSIP: BA000HL48<br>LEI: 549300EPG4HR574L4660 | Long             | LON              | CORP              | NL        |   14900000 | PA      | $14900000.15   | 0.36%             | 2027-03-25      | Floating      | 7.90%                 | No            |                  3 | 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      | $8399805.85    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                          | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A               | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15356000 | PA      | $15277214.51   | 0.37%             | 2035-04-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-59                                                    | FANNIE MAE FNR 2021 59 KI                                     | CUSIP: 3136BGB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20689355 | PA      | $4951670.17    | 0.12%             | 2051-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-18272.80     | -0.00%            |  |  |  | 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        |   10000000 | PA      | $9971730.00    | 0.24%             | 2032-07-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD 2019-7A                                                             | RR LTD RRAM 2019 7A SUB 144A                                  | CUSIP: 74980CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $1303793.85    | 0.03%             | 2120-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2006-1X                                                | MANSARD MORTGAGES PLC MANSD 2006 1X B2 REGS                   | CUSIP: B1GJ7MII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1912620 | PA      | $2380860.19    | 0.06%             | 2048-10-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| N-STAR REL CDO VIII LTD 2006-8A                                              | N STAR REAL ESTATE CDO LTD NSTAR 2006 8A B 144A               | CUSIP: 62940FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     580910 | PA      | $58.67         | 0.00%             | 2041-02-01      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8505834 | PA      | $-8520619.78   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                            | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                    | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |     650000 | PA      | $676325.00     | 0.02%             | 2032-04-08      | Floating      | 11.55%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2532167 | PA      | $-2550318.30   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-OP1                                                 | ACE SECURITIES CORP. ACE 2004 OP1 M6                          | CUSIP: 004421FB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32758 | PA      | $27648.91      | 0.00%             | 2034-04-25      | Floating      | 9.10%                 | 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      | $-19990.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANSNET                                                                     | TRANSNET SOC LTD 2015 ZAR TERM LOAN                           | CUSIP: BA000FR04<br>LEI: 378900B07CD6F01EA796 | Long             | LON              | CORP              | ZA        |  149312646 | PA      | $9042053.56    | 0.22%             | 2028-03-02      | Floating      | 11.12%                | No            |                  3 | On Loan: No      |
| WHLN 2025-CV3-PF-FF2                                                         | WHLN 2025 CV3 PF FF2 WHLN50984                                | CUSIP: 956JXB003<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6849547 | PA      | $6857538.06    | 0.17%             | 2027-04-01      | Fixed         | 9.15%                 | Yes           |                  3 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                         | THAMES WATER SUPER SEN SR SECURED REGS 10/27 9.75             | CUSIP: ACI2VYD73<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $1087427.76    | 0.03%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260112                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $14534.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6263589 | PA      | $-6331110.70   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19627265 | PA      | $-19672489.04  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG 25-2A                                                       | CRAFT LTD CRFT 2025 2A CLN 144A                               | CUSIP: ACI2Y11S9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | DE        |   10100000 | PA      | $10225084.16   | 0.25%             | 2035-01-21      | Floating      | 11.25%                | No            |                  3 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                         | COLLEGE AVE STUDENT LOANS CASL 2024 A D 144A                  | CUSIP: 19424RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3989000 | PA      | $4257429.38    | 0.10%             | 2054-06-25      | Fixed         | 8.66%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                   | BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111E 144A              | CUSIP: 05609MCS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12569000 | PA      | $11562288.46   | 0.28%             | 2055-02-17      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                        | ASTON MARTIN CAPITAL HOL SR SECURED 144A 03/29 10             | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |   12701000 | PA      | $11830933.24   | 0.29%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                         | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M9 144A            | CUSIP: 9497ENAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $247234.30     | 0.01%             | 2035-11-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1359788 | PA      | $-1359539.68   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-C                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 C B2 144A            | CUSIP: 17323GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13555000 | PA      | $12977173.39   | 0.31%             | 2054-02-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PLN SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $716.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 03/26 0.00000                                   | CUSIP: 912797SY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      45000 | PA      | $44709.34      | 0.00%             | 2026-03-10      | None          | 0.00%                 | 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        |     187015 | PA      | $185732.92     | 0.00%             | 2035-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                           | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                   | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    6399000 | PA      | $3775410.00    | 0.09%             | 2029-04-09      | Floating      | 15.95%                | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TD 144A        | CUSIP: 05492TBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $3687380.40    | 0.09%             | 2053-02-15      | Variable      | 3.69%                 | 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        |      34070 | PA      | $34065.46      | 0.00%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS M1II            | CUSIP: 863579ZA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3660587 | PA      | $3591625.48    | 0.09%             | 2035-10-25      | Floating      | 4.50%                 | 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        |    7844437 | PA      | $8303258.12    | 0.20%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -421096 | PA      | $-425344.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                             | WESTMORELAND MINING HOLDINGS L COMMON                         | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      89637 | NS      | $50420.67      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-C                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A              | CUSIP: 78448R106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9980 | PA      | $2330526.52    | 0.06%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC              | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5           | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11950000 | PA      | $11488333.14   | 0.28%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-B                                               | FREMONT HOME LOAN TRUST FHLT 2004 B M7                        | CUSIP: 35729PDW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23671 | PA      | $21762.95      | 0.00%             | 2034-05-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                 | ECOPETROL SA SR UNSECURED 01/33 8.875                         | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2000000 | PA      | $2137294.54    | 0.05%             | 2033-01-13      | Fixed         | 8.88%                 | 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      | $-32865.59     | -0.00%            |  |  |  | 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        |    6850000 | PA      | $6846825.03    | 0.17%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1879669 | PA      | $-2213709.07   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                             | GREAT HALL MORTGAGES PLC 2007 GHM 2007 2X R                   | CUSIP: 936LMVII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $10693766.66   | 0.26%             | 2039-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| VIRIDIEN                                                                     | VIRIDIEN SR SECURED REGS 10/30 8.5                            | CUSIP: ACI2VMKZ9<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    1175474 | PA      | $1452059.71    | 0.04%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B14                                            | BENCHMARK MORTGAGE TRUST BMARK 2019 B14 225C 144A             | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $37537.50      | 0.00%             | 2062-12-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005 2                                              | FBR SECURITIZATION TRUST FBRSI 2005 2 M4                      | CUSIP: 30246QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1644796.08    | 0.04%             | 2035-09-25      | Floating      | 4.78%                 | 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        |    1188760 | PA      | $967705.83     | 0.02%             | 2047-08-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                 | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A             | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1510467.68    | 0.04%             | 2038-11-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 SA 144A         | CUSIP: 36261WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81342 | PA      | $77834.05      | 0.00%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3                                     | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M2               | CUSIP: 76112B4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14678878 | PA      | $12067951.75   | 0.29%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2020-3FP                                                     | FREED ABS TRUST FREED 2020 3FP CERT 144A                      | CUSIP: 35634LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4850 | PA      | $338.43        | 0.00%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X1 144A            | CUSIP: ACI2S8TW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     624000 | PA      | $875296.70     | 0.02%             | 2060-06-20      | Floating      | 7.73%                 | 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        |   91855239 | PA      | $428573.58     | 0.01%             | 2070-01-25      | Variable      | 0.33%                 | 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        |   11784742 | PA      | $6801424.99    | 0.16%             | 2060-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                            | XEROX CORPORATION SECURED 144A 04/31 13.5                     | CUSIP: 984121CT8<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1536328.13    | 0.04%             | 2031-04-15      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                           | MLCC MORTGAGE INVESTORS INC MLCC 2004 C B1                    | CUSIP: 59020UDS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178060 | PA      | $161363.58     | 0.00%             | 2029-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                      | ION PLAT FIN US/SARL SR SECURED 144A 05/29 8.75               | CUSIP: 46206AAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7402975.70    | 0.18%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD DOP BOUGHT USD 20260521                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-18631.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                               | BONANZA RE LTD UNSECURED 144A 01/26 VAR                       | CUSIP: 09785EAN1<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |     350000 | PA      | $349405.00     | 0.01%             | 2026-01-08      | Floating      | 3.58%                 | 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        |    1383278 | PA      | $1380084.26    | 0.03%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                           | NEWFOLD DIGITAL HLDGS GRP INC. 2025 TRANCHE B TERM LOAN       | CUSIP: 65131PAD1<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |    3686050 | PA      | $2349856.84    | 0.06%             | 2029-04-30      | Floating      | 7.38%                 | 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        |   17100000 | PA      | $18525783.61   | 0.45%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP LLC / COGENT FINANCE INC                         | COGENT COMMS GRP / FIN COMPANY GUAR 144A 06/27 7              | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3060000 | PA      | $3068909.19    | 0.07%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                  | PALM RE LTD UNSECURED 144A 06/31 VAR                          | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $264525.00     | 0.01%             | 2031-06-09      | Floating      | 13.32%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4864509 | PA      | $-4877797.89   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR9                                                      | BCAP LLC TRUST BCAP 2010 RR9 1A5 144A                         | CUSIP: 05533GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11001902 | PA      | $7168906.35    | 0.17%             | 2037-08-28      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2220663 | PA      | $-2228435.32   | -0.05%            |  |  |  | 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        |     566372 | PA      | $545782.11     | 0.01%             | 2035-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-4R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 4R 1A4 144A            | CUSIP: 12650BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11605696 | PA      | $7918503.37    | 0.19%             | 2036-10-27      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2014-150E                                       | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A           | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $10854652.80   | 0.26%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2924076 | PA      | $-2948146.02   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| WHLN 2024-ACRA-FF1                                                           | WHLN 2024 ACRA FF1 WHLNPL580                                  | CUSIP: 953WCNII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     294720 | PA      | $295018.54     | 0.01%             | 2026-01-01      | Fixed         | 9.50%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A3 144A          | CUSIP: 17307GY85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3001921 | PA      | $2651744.97    | 0.06%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                      | FREDDIE MAC FHR 5069 IL                                       | CUSIP: 3137F9C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3799723 | PA      | $689123.09     | 0.02%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                        | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5                  | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19043992 | PA      | $2164782.03    | 0.05%             | 2030-12-01      | Fixed         | 8.85%                 | 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      | $-643219.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2408491 | PA      | $-2430155.05   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE II COMMUTATION TRUST 2005 AR16                           | NATIONAL COLLEGIATE II COMMUTA NCMCT 2005 AR16 AR16           | CUSIP: 63545AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22875000 | PA      | $617695.91     | 0.01%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 F 144A         | CUSIP: 46653DAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $61066.48      | 0.00%             | 2036-03-15      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12101414 | PA      | $-12174183.83  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                  | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1              | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     238857 | PA      | $311708.53     | 0.01%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTG SEC-1999-B                                            | BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A6                  | CUSIP: 09774XBG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4066206 | PA      | $255404.49     | 0.01%             | 2029-12-15      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                               | URSA RE II LTD UNSECURED 144A 12/29 VAR                       | CUSIP: 91734PAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     350000 | PA      | $350000.00     | 0.01%             | 2029-12-07      | Floating      | 8.86%                 | 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        |    5740000 | PA      | $948954.59     | 0.02%             | 2038-12-05      | Fixed         | 3.86%                 | 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      | $867019.00     | 0.02%             | 2035-11-05      | Fixed         | 2.83%                 | 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      | $-40938.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A B 144A                 | CUSIP: 82639RAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10400000 | PA      | $2772744.00    | 0.07%             | 2039-09-07      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2724978 | PA      | $-2729603.54   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | VENTURE GLOBAL LNG INC SNR S* ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $379259.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1398345 | PA      | $-1649691.34   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-85193.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT TRY SOLD USD 20260304                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $9622.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2                            | FREDDIE MAC   SCRT SCRT 2022 2 M 144A                         | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6005532.65    | 0.15%             | 2062-04-25      | Variable      | 5.00%                 | 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      | $326955.35     | 0.01%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-JS2                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 JS2 G 144A           | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7935000 | PA      | $5949624.91    | 0.14%             | 2039-12-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2638934 | PA      | $-2660033.97   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2005-WF1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF1 M2               | CUSIP: 17307GPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4114678 | PA      | $3635121.82    | 0.09%             | 2034-11-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                         | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     600000 | PA      | $690900.00     | 0.02%             | 2027-06-06      | Floating      | 29.30%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6435000 | PA      | $-6458508.93   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| BRUCETON MILLS ASSOCIATES LLC                                                | PURIS TERM LOAN                                               | CUSIP: BA0005TS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8256688 | PA      | $7789667.74    | 0.19%             | 2030-07-01      | Floating      | 9.47%                 | No            |                  3 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                            | FREDDIE MAC   SCRT SCRT 2020 2 BXS 144A                       | CUSIP: 35563PRM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20296507 | PA      | $10239297.65   | 0.25%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $48379.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV8                 | CUSIP: 126673C34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3494193 | PA      | $2947617.94    | 0.07%             | 2035-08-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                                | X CORP TERM LOAN                                              | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   55234484 | PA      | $54386358.56   | 1.32%             | 2029-10-26      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22219312 | PA      | $-22308560.07  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19314332 | PA      | $-19360525.45  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                             | PROJECT CASHMERE CLASS E 144A                                 | CUSIP: 990ABJRU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   13678000 | PA      | $9128013.75    | 0.22%             | 2057-12-30      | Floating      | 7.56%                 | No            |                  3 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                             | FIAC                                                          | CUSIP: 936NUVII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $1.35          | 0.00%             | 2039-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3848000 | PA      | $3807002.99    | 0.09%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -164868 | PA      | $-165387.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M3                | CUSIP: 03072SQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $357160.24     | 0.01%             | 2035-11-25      | Floating      | 4.79%                 | 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        |      78261 | PA      | $79170.84      | 0.00%             | 2029-12-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                               | FREMONT HOME LOAN TRUST FHLT 2005 B M6                        | CUSIP: 35729PKA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1063586.04    | 0.03%             | 2035-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-5                                                     | FANNIE MAE FNR 2021 5 JI                                      | CUSIP: 3136BDZW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7930298 | PA      | $324136.65     | 0.01%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2000-B                                            | KSLT 2000 B CERT SUB KSLT 2000 B CERT SUB                     | CUSIP: 933FUCII2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $4352450.15    | 0.11%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMRT 2022-MINI                                                               | SMRT SMRT 2022 MINI F 144A                                    | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5442000 | PA      | $5366686.53    | 0.13%             | 2039-01-15      | Floating      | 7.10%                 | 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      | $583859.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP F 144A                     | CUSIP: 98162JAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2465000 | PA      | $12694.75      | 0.00%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND C 144A           | CUSIP: 61691XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $416250.00     | 0.01%             | 2036-05-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A Z 144A                   | CUSIP: ACI2C6QG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   25556000 | PA      | $33345673.36   | 0.81%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                             | DUN + BRADSTREET CORPOR THE 2025 REVOLVER                     | CUSIP: BA000K747<br>LEI: 2549003M8H6SW81O1D67 | Long             | LON              | CORP              | US        |     776364 | PA      | $774582.96     | 0.02%             | 2032-08-26      | Floating      | 0.63%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                       | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M2                  | CUSIP: 61746RHT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14718 | PA      | $14652.46      | 0.00%             | 2034-07-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4749875 | PA      | $-4784489.71   | -0.12%            |  |  |  | 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        |    2348477 | PA      | $2561752.31    | 0.06%             | 2046-06-21      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| CLAVEAU RE LTD                                                               | CLAVEAU RE LTD UNSECURED 144A 07/28 VAR                       | CUSIP: 182896AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1088319 | PA      | $0.01          | 0.00%             | 2028-07-08      | Floating      | 17.25%                | No            |                  3 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-5602.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMMER STREET LTD 2005-1A                                                    | SUMMER STREET LTD SMSTR 2005 1A A1 144A                       | CUSIP: 86565MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   45954305 | PA      | $9812622.65    | 0.24%             | 2045-12-06      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8274750 | PA      | $-8328765.73   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                         | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR              | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $527250.00     | 0.01%             | 2031-05-13      | Floating      | 15.06%                | No            |                  2 | On Loan: No      |
| CEDAR FUNDING IX CLO LTD 2018-9A                                             | CEDAR FUNDING LTD CEDF 2018 9A SUB 144A                       | CUSIP: 15033FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12000000 | PA      | $3963497.64    | 0.10%             | 2037-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SOLSTICE ABS CBO LTD 2003-3A                                                 | SOLSTICE ABS CBO LTD SOLST 2003 3A B 144A                     | CUSIP: 83436YAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8661987 | PA      | $2230877.32    | 0.05%             | 2039-03-15      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                   | STRATTON MORTGAGE FUNDING 06/60 0                             | CUSIP: ACI2S8XN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        240 | PA      | $3723305.24    | 0.09%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 M                | CUSIP: 12667FV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161831 | PA      | $126085.34     | 0.00%             | 2035-02-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE STUDENT LOAN TRUST                                       | NATL COLL STUDENT LOAN ASSET BACKED 144A 06/45 VAR            | CUSIP: 63543NAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $40059.82      | 0.00%             | 2045-06-01      | Fixed         | 8.93%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer