# EDGAR Filing Document

**Accession Number:** 0002012326
**File Stem:** 0001752724-25-198139
**Filing Date:** 2025-8
**Character Count:** 121121
**Document Hash:** 3b592a86b6cc57c4472e79666c458091
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-198139.hdr.sgml**: 20250822

**ACCESSION NUMBER**: 0001752724-25-198139

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250822

**DATE AS OF CHANGE**: 20250822

**PERIOD START**: 20250630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AB CarVal Credit Opportunities Fund
- **CENTRAL INDEX KEY:** 0002012326

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23939
- **FILM NUMBER:** 251242871

**BUSINESS ADDRESS:**
- **STREET 1:** 1601 UTICA AVENUE SOUTH, SUITE 1000
- **CITY:** MINNEAPOLIS
- **STATE:** MN
- **ZIP:** 55416
- **BUSINESS PHONE:** 952-444-4780

**MAIL ADDRESS:**
- **STREET 1:** 1601 UTICA AVENUE SOUTH, SUITE 1000
- **CITY:** MINNEAPOLIS
- **STATE:** MN
- **ZIP:** 55416

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AB CarVal Credit Opportunities Fund

- **b. Investment Company Act file number:** 811-23939

- **c. CIK number of Registrant:** 0002012326

- **d. LEI of Registrant:** 254900V0R3INW1YLHG61

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

  - **Street Address 1:** 1601 Utica Avenue South

  - **City:** Minneapolis

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55416

  - **Telephone number:** 952-444-4780

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

- **a. Name of Series:** AB CarVal Credit Opportunities Fund

- **c. LEI of Series:** 254900V0R3INW1YLHG61

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $318730163.12

**Total Liabilities:** $22447642.28

**Net Assets:** $296282520.84

**Amount of Assets Invested in Other Investment Companies:** $24157343.22

**Cash Not Reported:** $20069441.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 165.43000000 | **5-Year:** -486.78000000 | **10-Year:** -3357.61000000 | **30-Year:** -1707.13000000

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

- **3-Month:** -92.78000000 | **1-Year:** -8118.43000000 | **5-Year:** -35647.74000000 | **10-Year:** -15808.67000000 | **30-Year:** -20180.47000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.81%                | 0.93%                | 0.91%                |
| Class ID N/A | 0.91%                | 0.99%                | 1.01%                |
| Class ID N/A | 0.71%                | 0.91%                | 1.01%                |
| Class ID N/A | 0.81%                | 0.85%                | 1.01%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-197049.06              | $2135299.05                                |
| Month 2  | $131430.74               | $1610026.14                                |
| Month 3  | $-185862.32              | $2527347.49                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Mill City Solar Loan Ltd.                      | Mill City Solar Loan 2019-1 Ltd                                    | CUSIP: 59982WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    104095 | PA      | $73851.28     | 0.02%             | 2043-03-20      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-13128.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 19252649 S                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        | -12800000 | OU      | $-6561.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-GS2                             | CUSIP: 59981TBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146910 | PA      | $62603.52     | 0.02%             | 2059-08-25      | Variable      | 3.86%                 | Yes           |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213634 | PA      | $82071.79     | 0.03%             | 2069-10-25      | Variable      | 0.55%                 | Yes           |                  3 | On Loan: No      |
| CVI LB INVESTMENT TRUST II                     | CVI LB INVESTMENT TRUST II                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   2540887 | NS      | $2628428.42   | 0.89%             |  |  |  | No            |                  3 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2024-4                                  | CUSIP: 92540GAF5<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1979684.08   | 0.67%             | 2069-06-25      | Variable      | 8.03%                 | Yes           |                  3 | On Loan: No      |
| ION TRADING TECHNOLOGIES                       | ION Trading Technologies Sarl                                      | CUSIP: 46205YAA9<br>LEI: 5493009ZVXOKZLQ6QJ12 | Long             | DBT              | CORP              | LU        |    800000 | PA      | $774603.52    | 0.26%             | 2028-05-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2018-1                         | CUSIP: 64830GCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678931 | PA      | $488213.83    | 0.16%             | 2057-12-25      | Variable      | 5.69%                 | Yes           |                  3 | On Loan: No      |
| Mill City Solar Loan 2020-1 Ltd.               | Mill City Solar Loan 2020-1 Ltd                                    | CUSIP: 59982XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1189304 | PA      | $351196.84    | 0.12%             | 2047-06-20      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| COMM Mortgage Trust                            | COMM 2024-CBM Mortgage Trust                                       | CUSIP: 12674GAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1996046.20   | 0.67%             | 2041-12-10      | Variable      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2018-4                               | CUSIP: 59980YAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3811067 | PA      | $16608.70     | 0.01%             | 2066-04-25      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2023-INV2                               | CUSIP: 92540BAF6<br>LEI: 213800D3C9UXVQ7TZF09 | Long             | ABS-MBS          | CORP              | US        |   3139200 | PA      | $3117410.94   | 1.05%             | 2068-08-25      | Variable      | 8.07%                 | Yes           |                  3 | On Loan: No      |
| IHO Verwaltungs GmbH                           | IHO Verwaltungs GmbH                                               | CUSIP: 44963BAD0<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $799646.72    | 0.27%             | 2029-05-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2018-2                         | CUSIP: 64828CEN5<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |   2032819 | PA      | $1512584.95   | 0.51%             | 2058-02-25      | Variable      | 5.26%                 | Yes           |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2023-NQM1                            | CUSIP: 59980DAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220680 | PA      | $205390.78    | 0.07%             | 2067-10-25      | Variable      | 6.09%                 | Yes           |                  3 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2024-7                                  | CUSIP: 924925AH3<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |   2263800 | PA      | $2209814.46   | 0.75%             | 2069-09-25      | Variable      | 7.83%                 | Yes           |                  3 | On Loan: No      |
| INTERSECT POWER, LLC                           | INTERSECT POWER PREFERRED UNITS                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     17338 | NS      | $124041.44    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| ILPT Commercial Mortgage Trust                 | ILPT Commercial Mortgage Trust 2025-LPF2                           | CUSIP: 451955AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2553888.25   | 0.86%             | 2042-07-15      | Variable      | 8.20%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-66717.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 29 - SAS MSN 3335                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |    462326 | NS      | $489870.53    | 0.17%             |  |  |  | No            |                  3 | On Loan: No      |
| Velocity Commercial Capital Loan Trust         | Velocity Commercial Capital Loan Trust 2023-2                      | CUSIP: 92260AAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1306988 | PA      | $1206469.14   | 0.41%             | 2053-05-25      | Variable      | 10.45%                | Yes           |                  3 | On Loan: No      |
| POWIS FINANCE S A R L                          | POWIS FINANCE S A R L                                              | CUSIP: 000000000<br>LEI: 254900GEAKVYRH6JJX45 | Long             | EC               | CORP              | LU        |    758030 | NS      | $3187681.68   | 1.08%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-36375.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $3285.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jeronimo Funding                               | Jeronimo Funding DAC                                               | CUSIP: 000000000<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |    400000 | PA      | $452495.04    | 0.15%             | 2064-10-25      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2019-5                         | CUSIP: 64830MFJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2935483 | PA      | $1796674.21   | 0.61%             | 2059-08-25      | Variable      | 4.26%                 | Yes           |                  3 | On Loan: No      |
| Shamrock Residential                           | Shamrock Residential                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    487000 | PA      | $574407.73    | 0.19%             | 2071-06-24      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-402004.55   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 16 - ALBASTAR MSN 27992                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |    753880 | NS      | $747315.90    | 0.25%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-8229.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-5483.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVI SBT ACQUISITION TRUST                      | CVI SBT ACQUISITION TRUST                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   2274672 | NS      | $2309604.65   | 0.78%             |  |  |  | No            |                  3 | On Loan: No      |
| Velocity Commercial Capital Loan Trust         | Velocity Commercial Capital Loan Trust 2023-3                      | CUSIP: 92258WAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1793576 | PA      | $1640572.87   | 0.55%             | 2053-08-25      | Variable      | 10.65%                | Yes           |                  3 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2019-RPL2                      | CUSIP: 64830HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2617939 | PA      | $1377236.34   | 0.46%             | 2059-02-25      | Variable      | 3.98%                 | Yes           |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-GS2                             | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $233146.54    | 0.08%             | 2059-08-25      | Variable      | 3.25%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-76935.59    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 33 - IBERIA                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |    892548 | NS      | $985721.59    | 0.33%             |  |  |  | No            |                  3 | On Loan: No      |
| VENTURE GLOBAL LNG INC                         | Venture Global LNG Inc                                             | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    800000 | PA      | $827056.00    | 0.28%             | 2028-06-01      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-5534.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 21 - BAMBOO                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |   1799461 | NS      | $1534166.62   | 0.52%             |  |  |  | No            |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-GS2                             | CUSIP: 59981TBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149000 | PA      | $75518.35     | 0.03%             | 2059-08-25      | Variable      | 3.86%                 | Yes           |                  3 | On Loan: No      |
| Coral Reef SPV S.r.l.                          | Coral Reef SPV S.r.l.                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IT        |   1885013 | NS      | $2379836.42   | 0.80%             |  |  |  | No            |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-GS2                             | CUSIP: 59981TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256000 | PA      | $215490.23    | 0.07%             | 2059-08-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2025-1                                  | CUSIP: 92540TAF7<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $485288.28    | 0.16%             | 2070-01-25      | Variable      | 7.35%                 | Yes           |                  3 | On Loan: No      |
| CVI CB Holdings IV, LLC                        | CVI CB Holdings IV, LLC                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    702825 | NS      | $645958.11    | 0.22%             |  |  |  | No            |                  3 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 42 - EMIRATES                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |    591466 | NS      | $826698.83    | 0.28%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-9353.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Ltd.               | Mill City Solar Loan 2019-2 Ltd                                    | CUSIP: 59982VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    735300 | PA      | $370074.84    | 0.12%             | 2043-07-20      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| EUROTRUCK LSE 49ABS                            | EUROTRUCK LSE 49ABS                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | FR        |    380000 | PA      | $446591.72    | 0.15%             | 2049-04-30      | Variable      | 7.17%                 | No            |                  3 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2023-NQM1                      | CUSIP: 64831HAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1972776.92   | 0.67%             | 2063-10-25      | Variable      | 7.52%                 | Yes           |                  3 | On Loan: No      |
| First Brands Group LLC                         | First Brands Group LLC 2024 Revolver                               | CUSIP: 000000000<br>LEI: 2549005IXRZR7KSBJD91 | Long             | LON              | CORP              | US        |   1260000 | PA      | $1255590.00   | 0.42%             | 2025-05-31      | Floating      | 14.22%                | No            |                  3 | On Loan: No      |
| Mariner Finance Issuance Trust                 | Mariner Finance Issuance Trust 2025-A                              | CUSIP: 567920AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1431000 | PA      | $1454567.43   | 0.49%             | 2038-05-20      | Fixed         | 8.64%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-844.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEARTLAND DENTAL LLC                           | Heartland Dental LLC 2024 Term Loan                                | CUSIP: 42236WAW7<br>LEI: 5493008FRC0GRKBN1075 | Long             | LON              | CORP              | US        |   1989950 | PA      | $1990208.43   | 0.67%             | 2028-04-28      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-GS2                             | CUSIP: 59981TBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3067704 | PA      | $14642.79     | 0.00%             | 2059-08-25      | Variable      | 0.08%                 | Yes           |                  3 | On Loan: No      |
| GALINDO HOLDINGS SARL                          | GALINDO HOLDINGS S.A R.L.                                          | CUSIP: 000000000<br>LEI: 549300U4LIZV0REEQQ46 | Long             | EC               | CORP              | ES        |    279213 | NS      | $91417.64     | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-2933.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Jeronimo Funding                               | Jeronimo Funding DAC                                               | CUSIP: 000000000<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |    941000 | PA      | $1049005.20   | 0.35%             | 2064-10-25      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| LSCS HOLDINGS INC                              | LSCS Holdings Inc 2025 Term Loan                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1430430 | PA      | $1400032.96   | 0.47%             | 2032-03-04      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $9921.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                         | Clydesdale Acquisition Holdings Inc                                | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    800000 | PA      | $819240.00    | 0.28%             | 2030-04-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 61 - WIZZ AIR A320-200 MSN 6662                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |    618570 | NS      | $697775.41    | 0.24%             |  |  |  | No            |                  3 | On Loan: No      |
| Finco Utilitas BV                              | Finco Utilitas BV EUR Term Loan B                                  | CUSIP: 000000000<br>LEI: 699400OA31YDOOASVM61 | Long             | LON              | CORP              | BE        |         0 | PA      | $0.00         | 0.00%             | 2030-09-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TWITTER INC                                    | Twitter Inc Term Loan                                              | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2515634 | PA      | $2455108.08   | 0.83%             | 2029-10-26      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED GBP / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | GB        |         1 | NC      | $5696.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-5453.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                            | Medline Borrower LP 2024 USD Add-on Term Loan B                    | CUSIP: 58503UAF0<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2028-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                      | SHR Trust 2024-LXRY                                                | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $694450.05    | 0.23%             | 2041-10-15      | Floating      | 8.76%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-4905.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDITABLE OPPORTUNITIES FD II                 | CREDITABLE OPPORTUNITIES FD II                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |   2788128 | NS      | $3483278.21   | 1.18%             |  |  |  | No            |                  3 | On Loan: No      |
| Barclays Bank PLC                              | REPUBLIC OF POLAND (5y) DEFAULT-12/20/2029-BCAPUS                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | PL        |   -470000 | OU      | $637.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-9379.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | EFMT 2024-INV2                                                     | CUSIP: 26844LAF5<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |   2765000 | PA      | $2699064.01   | 0.91%             | 2069-10-25      | Variable      | 7.67%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-2906.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $7857.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aergo Captial Limited                          | AERGO CAPITAL - 63 - WIZZ AIR A320-200 MSN 5660                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |    686879 | NS      | $735754.79    | 0.25%             |  |  |  | No            |                  3 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 19375788 S                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        | -45757651 | OU      | $-427422.22   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| CVI CB Holdings V, LLC                         | CVI CB Holdings V, LLC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9998 | NS      | $580413.40    | 0.20%             |  |  |  | No            |                  3 | On Loan: No      |
| PARAMOUNT GLOBAL                               | Paramount Global                                                   | CUSIP: 92556HAE7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    550000 | PA      | $539533.50    | 0.18%             | 2062-03-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                 | SWCH Commercial Mortgage Trust 2025-DATA                           | CUSIP: 78489CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1944421.80   | 0.66%             | 2042-02-15      | Floating      | 8.55%                 | Yes           |                  2 | On Loan: No      |
| Kinbane 2025-RPL1 DAC                          | KINBN 2025-1XZ2 0% 06-24-2078                                      | CUSIP: 000000000<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |    164000 | PA      | $0.01         | 0.00%             | 2078-06-24      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Barclays Bank PLC                              | REPUBLIC OF POLAND (5y) DEFAULT-12/20/2029-BCAPUS                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | PL        |    470000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2024-8                                  | CUSIP: 92540PAF5<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $769400.61    | 0.26%             | 2069-10-25      | Variable      | 7.62%                 | Yes           |                  3 | On Loan: No      |
| CVI CB Holdings V, LLC                         | CVI CB Holdings V, LLC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    861608 | NS      | $669158.55    | 0.23%             |  |  |  | No            |                  3 | On Loan: No      |
| POWIS FINANCE S.A R.L.                         | POWIS FINANCE S.A R.L.                                             | CUSIP: 000000000<br>LEI: 254900GEAKVYRH6JJX45 | Long             | EC               | CORP              | LU        |   9326301 | NS      | $11274808.10  | 3.81%             |  |  |  | No            |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2023-NQM1                            | CUSIP: 59980DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241362 | PA      | $234223.19    | 0.08%             | 2067-10-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                 | CFMT 2024-R1 LLC                                                   | CUSIP: 12530YAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1878228 | PA      | $1620170.97   | 0.55%             | 2054-10-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                       | United Wholesale Mortgage LLC                                      | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |    800000 | PA      | $775855.12    | 0.26%             | 2029-04-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BANIJAY ENTERTAINMENT SAS                      | Banijay Entertainment SAS 2025 USD Term Loan B3                    | CUSIP: 000000000<br>LEI: 5493008PW5N0VVCH7279 | Long             | LON              | CORP              | US        |   1019241 | PA      | $1019240.65   | 0.34%             | 2028-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 62 - IBERIA A320-200 MSN 5692                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |    453724 | NS      | $498183.56    | 0.17%             |  |  |  | No            |                  3 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 20460726 S                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  -2002000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | REPUBLIC OF POLAND (5y) DEFAULT-06/20/2029-BCAPUS                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | PL        |   -705000 | OU      | $-3163.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-95086.63    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                          | Mineral Resources Ltd                                              | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    800000 | PA      | $801914.00    | 0.27%             | 2027-11-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust 2021-ESH                               | CUSIP: 30227FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343949 | PA      | $336115.63    | 0.11%             | 2038-07-15      | Floating      | 9.43%                 | Yes           |                  2 | On Loan: No      |
| Jeronimo Funding                               | Jeronimo Funding DAC                                               | CUSIP: 000000000<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |    471000 | PA      | $511932.51    | 0.17%             | 2064-10-25      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Shamrock Residential                           | Shamrock Residential                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    348000 | PA      | $217388.78    | 0.07%             | 2071-06-24      | Floating      | 9.40%                 | Yes           |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216601 | PA      | $125989.92    | 0.04%             | 2069-10-25      | Variable      | 3.52%                 | Yes           |                  3 | On Loan: No      |
| VERUS 2024 6 B2 VAR 07/25/2069                 | VERUS 2024 6 B2 VAR 07/25/2069                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1402000 | PA      | $1383280.44   | 0.47%             | 2069-07-25      | Variable      | 7.92%                 | Yes           |                  3 | On Loan: No      |
| CRESCENT ENERGY FINANCE                        | Crescent Energy Finance LLC                                        | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    550000 | PA      | $572783.86    | 0.19%             | 2028-02-15      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Inspired FinCo Holdings Limited                | Inspired FinCo Holdings Limited 2023 EUR Term Loan B               | CUSIP: 000000000<br>LEI: 21380079CKTODVMD9183 | Long             | LON              | CORP              | GB        |         0 | PA      | $0.00         | 0.00%             | 2028-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2023-6                                  | CUSIP: 92539XAF1<br>LEI: 984500915DDB7T2ACA27 | Long             | ABS-MBS          | CORP              | US        |   1890000 | PA      | $1866780.63   | 0.63%             | 2068-09-25      | Variable      | 7.80%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $44434.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HLDGS                           | Country Garden Holdings Co Ltd                                     | CUSIP: 000000000<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    792000 | PA      | $59241.60     | 0.02%             | 2025-10-22      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| VMED O2 UK Holdco 4 Limited                    | VMED O2 UK Holdco 4 Limited 2023 EUR Term Loan Z                   | CUSIP: 000000000<br>LEI: 213800ZRKYXK2SHQOW75 | Long             | LON              | CORP              | GB        |   2045105 | PA      | $2388772.80   | 0.81%             | 2031-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | REPUBLIC OF POLAND (5y) DEFAULT-06/20/2029-BCAPUS                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | PL        |    705000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARS.COM INC                                   | Cars.com Inc                                                       | CUSIP: 14575EAA3<br>LEI: 5493002G6J07LNGX4M98 | Long             | DBT              | CORP              | US        |    800000 | PA      | $800878.16    | 0.27%             | 2028-11-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                           | SMRT 2022-MINI                                                     | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1940328.20   | 0.65%             | 2039-01-15      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5           | CUSIP: 61777QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115200 | PA      | $1084091.59   | 0.37%             | 2069-10-25      | Variable      | 7.39%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-64191.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERSECT POWER, LLC                           | INTERSECT POWER COMMON UNITS                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     53937 | NS      | $358813.36    | 0.12%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-671081.62   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Turbine Engine Securitization LTD              | Turbine Engines Securitization Ltd                                 | CUSIP: 89989FAB0<br>LEI: 635400OU6URHWIXP2J82 | Long             | ABS-O            | CORP              | BM        |     28038 | PA      | $25794.67     | 0.01%             | 2048-12-13      | Fixed         | 6.38%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-918.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2019-2                         | CUSIP: 64830DCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2587263 | PA      | $1701743.42   | 0.57%             | 2057-12-25      | Variable      | 4.74%                 | Yes           |                  3 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 64 - TRANSAVIA B737-800 x1 MSN 39397               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |   1029332 | NS      | $1054510.49   | 0.36%             |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRY GARDEN HLDGS                           | Country Garden Holdings Co Ltd                                     | CUSIP: 000000000<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |   2458000 | PA      | $189646.99    | 0.06%             | 2025-01-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                | NEXUS Buyer LLC 2025 Term Loan B                                   | CUSIP: 65343UAH5<br>LEI: 254900PILSANV8WOOF24 | Long             | LON              | CORP              | US        |   1606769 | PA      | $1611171.78   | 0.54%             | 2031-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust 2022-PSB                                                  | CUSIP: 05606DAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510406 | PA      | $510715.11    | 0.17%             | 2039-08-15      | Floating      | 11.64%                | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 20460719 L                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   2002000 | OU      | $-1993.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                            | SC Germany SA Compartment Consumer 2022-1                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |    561060 | PA      | $688124.40    | 0.23%             | 2036-10-14      | Floating      | 10.39%                | Yes           |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 31 - Q400 x20                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |   1186864 | NS      | $665853.02    | 0.22%             |  |  |  | No            |                  3 | On Loan: No      |
| CONSTELLATION INSURC INC                       | Constellation Insurance Inc                                        | CUSIP: 67740QAH9<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |    800000 | PA      | $795116.96    | 0.27%             | 2030-01-24      | Fixed         | 6.80%                 | Yes           |                  2 | On Loan: No      |
| UNITED TALENT AGENCY LLC                       | UNITED TALENT AGENCY LLC 2025 TERM LOAN B                          | CUSIP: 91301QAN7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1732500 | PA      | $1734665.61   | 0.59%             | 2032-06-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 20460713 S                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  -2002000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OXFORD FIN LLC/CO-ISS II                       | Oxford Finance LLC / Oxford Finance Co-Issuer II Inc               | CUSIP: 69145LAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $804890.32    | 0.27%             | 2027-02-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $7231.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Shamrock Residential                           | Shamrock Residential                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    326000 | PA      | $309441.39    | 0.10%             | 2071-06-24      | Floating      | 7.40%                 | Yes           |                  3 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 20 - AFRIJET MSN 1285                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |    195024 | NS      | $228122.13    | 0.08%             |  |  |  | No            |                  3 | On Loan: No      |
| ROUTE 66 DEVELOPMENT AUTHORITY                 | Route 66 Development Authority Term Loan                           | CUSIP: 77929HAB4<br>LEI: 2549001S3OC1V69A1Q52 | Long             | LON              | CORP              | US        |   4075000 | PA      | $4054625.00   | 1.37%             | 2030-10-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Turbine Engine Securitization LTD              | Turbine Engines Securitization Ltd                                 | CUSIP: 89989FAA2<br>LEI: 635400OU6URHWIXP2J82 | Long             | ABS-O            | CORP              | BM        |    116246 | PA      | $110434.02    | 0.04%             | 2048-12-13      | Fixed         | 5.13%                 | Yes           |                  3 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 11 - QATAR                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     51905 | NS      | $68265.39     | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-3428.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL        | MTN Commercial Mortgage Trust 2022-LPFL                            | CUSIP: 62475WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2006881 | PA      | $2011183.75   | 0.68%             | 2039-03-15      | Floating      | 9.61%                 | Yes           |                  2 | On Loan: No      |
| Kinbane 2025-RPL1 DAC                          | KINBN 2025-RPL1 RFN 0% 06-24-2078                                  | CUSIP: 000000000<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |    171000 | PA      | $171295.70    | 0.06%             | 2078-06-24      | Fixed         | 1.03%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-21810.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $16359.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-2293.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                              | PRPM 2023-RCF2 LLC                                                 | CUSIP: 69380RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $889655.30    | 0.30%             | 2053-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| KEDRION SPA                                    | Kedrion SpA                                                        | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |    800000 | PA      | $766000.00    | 0.26%             | 2029-09-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                 | BOCA Commercial Mortgage Trust 2024-BOCA                           | CUSIP: 096817AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $931194.12    | 0.31%             | 2041-08-15      | Floating      | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                   | Veros Auto Receivables Trust 2025-1                                | CUSIP: 92511BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1821000 | PA      | $1867897.49   | 0.63%             | 2032-05-17      | Fixed         | 8.79%                 | Yes           |                  2 | On Loan: No      |
| GRAND CANYON UNIVERSITY                        | Grand Canyon University                                            | CUSIP: 38528UAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $772088.40    | 0.26%             | 2028-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BBVA Consumo FTA                               | Bbva Consumer Auto 2024-1 FT                                       | CUSIP: 000000000<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |    377251 | PA      | $451236.99    | 0.15%             | 2037-04-21      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Kinbane 2025-RPL1 DAC                          | KINBN 2025-RPL1XZ1 0% 06-24-2078                                   | CUSIP: 000000000<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |    539000 | PA      | $0.01         | 0.00%             | 2078-06-24      | Fixed         | 1.03%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-2784.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-483813.40   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 19252640 L                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  15700000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVI OCT Acquisition Trust                      | CVI OCT Acquisition Trust                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   7719840 | NS      | $7929024.57   | 2.68%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $7271.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Amkor Technology Inc                           | Amkor Technology Inc                                               | CUSIP: 031652BK5<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |    800000 | PA      | $802000.00    | 0.27%             | 2027-09-15      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                            | SC Germany SA Compartment Consumer 2024-1                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |    236794 | PA      | $280060.99    | 0.09%             | 2038-01-14      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $7055.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust  | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5   | CUSIP: 46654PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1305000 | PA      | $1248929.37   | 0.42%             | 2038-11-15      | Floating      | 8.84%                 | Yes           |                  2 | On Loan: No      |
| Pembroke Property Finance Dac                  | Pembroke Property Finance 3 DAC                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    500000 | PA      | $583032.56    | 0.20%             | 2043-06-01      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-21358.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SDAL Trust                                     | SDAL Trust 2025-DAL                                                | CUSIP: 78437RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2503570.75   | 0.84%             | 2042-04-15      | Floating      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| BRISTOW GROUP INC                              | Bristow Group Inc                                                  | CUSIP: 11040GAA1<br>LEI: 5493005Q24EN3UC1PV68 | Long             | DBT              | CORP              | US        |    800000 | PA      | $803888.00    | 0.27%             | 2028-03-01      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| BELLSOLA SAU                                   | Bellsola SAU 2024 EUR Term Loan                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |         0 | PA      | $0.00         | 0.00%             | 2031-07-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Auto Receivables Trust SS-2025-A      | LBZST 2025-A CERT 0% 08-15-2031                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $12506071.11  | 4.22%             | 2031-08-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| SM Energy Co                                   | SM Energy Co                                                       | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    800000 | PA      | $800546.88    | 0.27%             | 2027-01-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                              | PRPM 2025-RCF3 LLC                                                 | CUSIP: 69392PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $453757.66    | 0.15%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  3 | On Loan: No      |
| Spectacle Gary Holdings LLC                    | Spectacle Gary Holdings LLC 2021 Term Loan B                       | CUSIP: 40443NAC4<br>LEI: 549300V1ELIRK8JURN28 | Long             | LON              | CORP              | US        |   2792109 | PA      | $2715326.26   | 0.92%             | 2028-12-11      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| Nassau Euro CLO DAC                            | Nassau Euro CLO I DAC                                              | CUSIP: 000000000<br>LEI: 549300PCQLS78GR4NH29 | Long             | ABS-CBDO         | CORP              | IE        |   1820000 | PA      | $2151912.70   | 0.73%             | 2034-12-15      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                       | Archrock Partners LP / Archrock Partners Finance Corp              | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $804490.00    | 0.27%             | 2028-04-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUST                | Stream Innovations 2025-1 Issuer Trust                             | CUSIP: 86324XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $814999.36    | 0.28%             | 2045-09-15      | Fixed         | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Ltd.               | Mill City Solar Loan 2019-2 Ltd                                    | CUSIP: 59982VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    394422 | PA      | $271506.09    | 0.09%             | 2043-07-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 28 - ATR 72-600 x4                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |    695979 | NS      | $605806.36    | 0.20%             |  |  |  | No            |                  3 | On Loan: No      |
| Clavel Residential                             | Clavel Residential 3 DAC                                           | CUSIP: 000000000<br>LEI: 635400MU59QHARR2LH34 | Long             | ABS-MBS          | CORP              | IE        |    513000 | PA      | $605053.77    | 0.20%             | 2076-01-28      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $74263.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| POWIS FINANCE S A R L                          | POWIS FINANCE S A R L                                              | CUSIP: 000000000<br>LEI: 254900GEAKVYRH6JJX45 | Long             | EC               | CORP              | LU        |    924194 | NS      | $1088654.90   | 0.37%             |  |  |  | No            |                  3 | On Loan: No      |
| NIELSEN CONSUMER INC                           | Nielsen Consumer Inc 2025 USD Term Loan                            | CUSIP: 45674PAR5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    854858 | PA      | $854412.98    | 0.29%             | 2028-03-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BXSC Commercial Mortgage Trust                 | BXSC Commercial Mortgage Trust 2022-WSS                            | CUSIP: 05610BAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1754137.35   | 0.59%             | 2035-03-15      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL INFRASTRUCTURE SO                       | Global Infrastructure Solutions Inc                                | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |    800000 | PA      | $795877.12    | 0.27%             | 2029-06-01      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-37975.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Medline Borrower LP                            | Medline Borrower LP 2024 USD Term Loan B                           | CUSIP: 58503UAE3<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2028-10-23      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust      | GoodLeap Home Improvement Solutions Trust 2025-1                   | CUSIP: 38237EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1888352 | PA      | $1900784.96   | 0.64%             | 2049-02-20      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                       | American Airlines Inc/AAdvantage Loyalty IP Ltd                    | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    800000 | PA      | $800817.60    | 0.27%             | 2029-04-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                            | SC Germany SA Compartment Consumer 2022-1                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |    631192 | PA      | $775528.53    | 0.26%             | 2036-10-14      | Floating      | 7.39%                 | Yes           |                  2 | On Loan: No      |
| CLARIV SCI HLD CORP                            | Clarivate Science Holdings Corp                                    | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $753728.00    | 0.25%             | 2029-07-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| E2open LLC                                     | E2open LLC 2020 Term Loan B                                        | CUSIP: 26826YAB8<br>LEI: 549300WF2BZODU55DR56 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2028-02-04      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 41 - EASYJET                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     86394 | NS      | $84611.64     | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| SCHOEN KLINIK SE                               | Schoen Klinik SE 2025 EUR Term Loan B                              | CUSIP: 000000000<br>LEI: 5299005C8FSZLNO2KW98 | Long             | LON              | CORP              | DE        |   1000000 | PA      | $1169116.02   | 0.39%             | 2031-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FCT EUROTRUCK LEASE                            | FCT EUROTRUCK LEASE                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | FR        |   1790000 | PA      | $2093771.94   | 0.71%             | 2049-04-30      | Variable      | 9.67%                 | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $133051.54    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Shamrock Residential                           | Shamrock Residential                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    165000 | PA      | $132354.16    | 0.04%             | 2071-06-24      | Floating      | 8.40%                 | Yes           |                  3 | On Loan: No      |
| SOTHEBY'S                                      | Sotheby's                                                          | CUSIP: 835898AH0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | DBT              | CORP              | US        |    800000 | PA      | $791280.00    | 0.27%             | 2027-10-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2023-NQM1                            | CUSIP: 59980DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126000 | PA      | $124817.58    | 0.04%             | 2067-10-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212608 | PA      | $121542.31    | 0.04%             | 2069-10-25      | Variable      | 3.52%                 | Yes           |                  3 | On Loan: No      |
| RADAR BIDCO SARL                               | Radar Bidco Sarl 2024 USD Term Loan                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1461961 | PA      | $1469270.74   | 0.50%             | 2031-04-04      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-3768.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3670544 | PA      | $0.04         | 0.00%             | 2069-10-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-590559.38   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 35 - B737 x3                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |      3250 | NS      | $14251.72     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-GS2                             | CUSIP: 59981TAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178000 | PA      | $122532.67    | 0.04%             | 2059-08-25      | Variable      | 3.86%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-91213.53    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                       | Rogers Communications Inc                                          | CUSIP: 775109BS9<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $794000.00    | 0.27%             | 2082-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3670544 | PA      | $15868.68     | 0.01%             | 2069-10-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| STONEGATE PUB FIN                              | Stonegate Pub Co Financing 2019 PLC                                | CUSIP: 000000000<br>LEI: 254900L5266ML3505282 | Long             | DBT              | CORP              | GB        |    605000 | PA      | $722524.71    | 0.24%             | 2029-07-31      | Floating      | 8.77%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 20460719 S                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  -2002000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                      | Ashford Hospitality Trust 2018-ASHF                                | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1961704.60   | 0.66%             | 2035-04-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Ensemble RCM LLC                               | Ensemble RCM LLC 2024 Term Loan B                                  | CUSIP: 29359BAE1<br>LEI: 254900PDXJVVI20WAQ37 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2029-08-01      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| RENASCENTIA SPV S RL                           | RENASCENTIA SPV S RL                                               | CUSIP: 000000000<br>LEI: 815600490E373D1EF661 | Long             | EC               | CORP              | IT        |  10027291 | NS      | $12475268.24  | 4.21%             |  |  |  | No            |                  3 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust  | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5   | CUSIP: 46654PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608000 | PA      | $1579920.62   | 0.53%             | 2038-11-15      | Floating      | 8.09%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust 2025-1                                    | CUSIP: 35040WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2016000 | PA      | $1988933.59   | 0.67%             | 2050-04-15      | Fixed         | 8.37%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-132.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $2016.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTURY COMMUNITIES                            | Century Communities Inc                                            | CUSIP: 156504AL6<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |    800000 | PA      | $801747.12    | 0.27%             | 2027-06-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SMRT                                           | SMRT 2022-MINI                                                     | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1779897 | PA      | $1749987.79   | 0.59%             | 2039-01-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                       | CHS/Community Health Systems Inc                                   | CUSIP: 12543DBG4<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    800000 | PA      | $787448.00    | 0.27%             | 2027-03-15      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| NEWDAY FUNDING                                 | Newday Funding Master Issuer PLC - Series 2022-2                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    800000 | PA      | $1101304.29   | 0.37%             | 2030-07-15      | Floating      | 11.22%                | Yes           |                  2 | On Loan: No      |
| PGA National Resort Commercial Mortgage Trust  | PGA Trust 2024-RSR2                                                | CUSIP: 69381CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1008159.50   | 0.34%             | 2039-06-15      | Floating      | 8.20%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust         | Velocity Commercial Capital Loan Trust 2024-1                      | CUSIP: 92261CAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    887638 | PA      | $832481.62    | 0.28%             | 2054-01-25      | Variable      | 10.85%                | Yes           |                  3 | On Loan: No      |
| Atrium Hotel Portfolio Trust                   | Atrium Hotel Portfolio Trust 2024-ATRM                             | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2680000 | PA      | $2635915.88   | 0.89%             | 2029-11-10      | Variable      | 9.52%                 | Yes           |                  2 | On Loan: No      |
| HIH Trust                                      | HIH Trust 2024-61P                                                 | CUSIP: 40444VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2266084 | PA      | $2269019.86   | 0.77%             | 2041-10-15      | Floating      | 9.75%                 | Yes           |                  2 | On Loan: No      |
| CVI Thompson Holdings, LLC                     | CVI Thompson Holdings, LLC                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   3642109 | NS      | $3671934.25   | 1.24%             |  |  |  | No            |                  3 | On Loan: No      |
| CVI CB Holdings IV, LLC                        | CVI CB Holdings IV, LLC                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         1 | NS      | $18506.99     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Tharaldson Hotel Portfolio Trust               | THPT 2023-THL Mortgage Trust                                       | CUSIP: 87252LAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1385642 | PA      | $1399732.73   | 0.47%             | 2034-12-10      | Variable      | 9.56%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 20460713 L                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   2002000 | OU      | $1545.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kielder Funding Ltd                            | Kielder Funding Ltd                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |   2629274 | NS      | $4076645.61   | 1.38%             |  |  |  | No            |                  3 | On Loan: No      |
| SEASPAN CORP                                   | Seaspan Corp                                                       | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |    800000 | PA      | $759288.00    | 0.26%             | 2029-08-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| STONEGATE PUB FIN                              | Stonegate Pub Co Financing 2019 PLC                                | CUSIP: 000000000<br>LEI: 254900L5266ML3505282 | Long             | DBT              | CORP              | GB        |    511000 | PA      | $725138.23    | 0.24%             | 2029-07-31      | Fixed         | 10.75%                | Yes           |                  2 | On Loan: No      |
| INTERSECT POWER, LLC                           | INTERSECT POWER, LLC - CLASS B                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     24285 | NS      | $107729.04    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $11528.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVI MF Acquisition Trust II                    | CVI MF Acquisition Trust II                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   1158711 | NS      | $1229899.75   | 0.42%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-536106.88   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-278766.98   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust 2017-CHOP                                               | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $214631.03    | 0.07%             | 2032-07-15      | Floating      | 8.79%                 | Yes           |                  2 | On Loan: No      |
| ARCHES BUYER INC                               | Arches Buyer Inc                                                   | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |    800000 | PA      | $766000.00    | 0.26%             | 2028-06-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2016-1                         | CUSIP: 64829FAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203589 | PA      | $134728.11    | 0.05%             | 2056-03-25      | Variable      | 4.94%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $41285.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SC GAMES HOLDIN/US FINCO                       | Scientific Games Holdings LP/Scientific Games US FinCo Inc         | CUSIP: 80874DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $770536.00    | 0.26%             | 2030-03-01      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| PGA National Resort Commercial Mortgage Trust  | PGA Trust 2024-RSR2                                                | CUSIP: 69381CAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375201 | PA      | $1376423.42   | 0.46%             | 2039-06-15      | Floating      | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2024-9                                  | CUSIP: 92540RAH7<br>LEI: 213800LFRCPWSTP6LX39 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1943478.60   | 0.66%             | 2069-11-25      | Variable      | 7.37%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-40643.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 19380485 L                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  11439413 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 19375788 L                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  45757651 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-45443.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPSTONE BORROWER INC                          | Capstone Borrower Inc                                              | CUSIP: 140944AA7<br>LEI: 254900YSP2BAI3YKIX08 | Long             | DBT              | CORP              | US        |    800000 | PA      | $834000.00    | 0.28%             | 2030-06-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-55729.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                         | Penn Entertainment Inc                                             | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $797113.68    | 0.27%             | 2027-01-15      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| PRA GROUP INC                                  | PRA Group Inc                                                      | CUSIP: 69354NAE6<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |    800000 | PA      | $821000.00    | 0.28%             | 2028-02-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                       | Organon & Co / Organon Foreign Debt Co-Issuer BV                   | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $767536.00    | 0.26%             | 2028-04-30      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2016-2                         | CUSIP: 64829GAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258184 | PA      | $195952.68    | 0.07%             | 2035-11-26      | Variable      | 5.44%                 | Yes           |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2018-4                               | CUSIP: 59980YAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203762 | PA      | $110733.71    | 0.04%             | 2066-04-25      | Variable      | 3.07%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-38523.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PPC Zeus                                       | PPC Zeus DAC                                                       | CUSIP: 000000000<br>LEI: 549300ORXOE12Z3G5366 | Long             | ABS-O            | CORP              | IE        |   1516760 | PA      | $1785878.72   | 0.60%             | 2029-07-23      | Floating      | 6.38%                 | Yes           |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2018-4                               | CUSIP: 59980YAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426502 | PA      | $318761.63    | 0.11%             | 2066-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust 2021-ARIA                                                 | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2112000 | PA      | $2089023.55   | 0.71%             | 2036-10-15      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 20460726 L                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   2002000 | OU      | $3625.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215603 | PA      | $103707.79    | 0.04%             | 2069-10-25      | Variable      | 3.52%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-18879.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS                       | Univision Communications Inc                                       | CUSIP: 914906AU6<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    800000 | PA      | $797920.00    | 0.27%             | 2027-06-01      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $97652.18     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT                         | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc | CUSIP: 31556TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $763287.52    | 0.26%             | 2029-01-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2018-4                               | CUSIP: 59980YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137231 | PA      | $52310.85     | 0.02%             | 2066-04-25      | Variable      | 3.07%                 | Yes           |                  3 | On Loan: No      |
| ILPT Commercial Mortgage Trust                 | ILPT Commercial Mortgage Trust 2022-LPF2                           | CUSIP: 449652AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1496567.40   | 0.51%             | 2039-10-15      | Floating      | 10.25%                | Yes           |                  2 | On Loan: No      |
| SECURITISATION OF CATALOGUE                    | SECURITISATION OF CATALOGUE                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |    986000 | PA      | $1363447.99   | 0.46%             | 2032-12-13      | Variable      | 12.16%                | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $17593.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 19380485 S                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        | -11439413 | OU      | $-106855.55   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                 | SWCH Commercial Mortgage Trust 2025-DATA                           | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $980134.30    | 0.33%             | 2042-02-15      | Floating      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust 2019-6                         | CUSIP: 64828GCT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2921988 | PA      | $1832407.34   | 0.62%             | 2059-09-25      | Variable      | 4.35%                 | Yes           |                  3 | On Loan: No      |
| CARNABY INVENTORY III, LLC                     | First Brands Revolving Loan Facility                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2388480.00   | 0.81%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2018-4                               | CUSIP: 59980YAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203762 | PA      | $102760.29    | 0.03%             | 2066-04-25      | Variable      | 3.07%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-30350.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust 2024-SLCT                             | CUSIP: 12433JAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2002347.40   | 0.68%             | 2042-01-15      | Floating      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Aergo Captial Limtited                         | AERGO CAPITAL - 65 - JETTIME B737-800 x1 MSN 39057                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |   1360800 | NS      | $1401170.85   | 0.47%             |  |  |  | No            |                  3 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2018-4                               | CUSIP: 59980YAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163809 | PA      | $67310.46     | 0.02%             | 2066-04-25      | Variable      | 3.07%                 | Yes           |                  3 | On Loan: No      |
| CVI SYM HOLDINGS LLC                           | CVI SYM HOLDINGS LLC                                               | CUSIP: 000000000<br>LEI: 25490095AEVF1P439B27 | Long             | EC               | CORP              | US        |   3835301 | NS      | $3804331.40   | 1.28%             |  |  |  | No            |                  3 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 39 - MSN 4457 and 40259                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |    558215 | NS      | $558577.28    | 0.19%             |  |  |  | No            |                  3 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 19252649 L                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  12800000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Corp II                                     | CUSIP: 36269JAL2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2509166 | PA      | $2606983.58   | 0.88%             | 2041-03-10      | Variable      | 9.26%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                              | REPUBLIC OF POLAND (5y) DEFAULT-06/20/2029-BCAPUS                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | PL        |   1551000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust      | GoodLeap Home Improvement Solutions Trust 2025-2                   | CUSIP: 38238FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1579976 | PA      | $1606144.35   | 0.54%             | 2049-06-20      | Fixed         | 8.16%                 | Yes           |                  3 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                       | Burford Capital Global Finance LLC                                 | CUSIP: 12116LAA7<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |    800000 | PA      | $792817.68    | 0.27%             | 2028-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| CVI Platinum LP                                | Goldenpeaks Capital                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   3416878 | PA      | $3946322.53   | 1.33%             | 2029-05-02      | Variable      | 13.94%                | No            |                  3 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2025-5                                  | CUSIP: 92540XAF8<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $487236.40    | 0.16%             | 2070-06-25      | Variable      | 7.35%                 | Yes           |                  3 | On Loan: No      |
| RECKNITZ SARL                                  | RECKNITZ SARL                                                      | CUSIP: 000000000<br>LEI: 254900D4NOXDNUNADC08 | Long             | EC               | CORP              | LU        |   2922401 | NS      | $3442444.37   | 1.16%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-5976.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-51622.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Max US Bidco Inc                               | Max US Bidco Inc Term Loan B                                       | CUSIP: 57778YAB1<br>LEI: 254900BY85K73YD65D15 | Long             | LON              | CORP              | US        |   1989950 | PA      | $1970269.14   | 0.66%             | 2030-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | IRSOIS USD 19252640 S                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        | -15700000 | OU      | $-7693.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IP 2025-IP Mortgage Trust                      | IP 2025-IP Mortgage Trust                                          | CUSIP: 449843AL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2540576.75   | 0.86%             | 2042-06-10      | Variable      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                              | REPUBLIC OF POLAND (5y) DEFAULT-06/20/2029-BCAPUS                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | PL        |  -1551000 | OU      | $-6256.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERGO CAPITAL LIMITED                          | AERGO CAPITAL - 59 - WESTJET B737-800 x8                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |   3430954 | NS      | $3837810.03   | 1.30%             |  |  |  | No            |                  3 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc   | BAMLL Trust 2025-ASHF                                              | CUSIP: 05494CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2507749.25   | 0.85%             | 2042-02-15      | Floating      | 8.31%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-1392.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-GS2                             | CUSIP: 59981TAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178000 | PA      | $103685.35    | 0.03%             | 2059-08-25      | Variable      | 3.86%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-35712.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2019-GS2                             | CUSIP: 59981TBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3459299 | PA      | $55892.31     | 0.02%             | 2059-08-25      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-1338606.10  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2018-4                               | CUSIP: 59980YAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3811067 | PA      | $0.04         | 0.00%             | 2066-04-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $29134.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                         | Cloud Software Group Inc                                           | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    800000 | PA      | $807560.00    | 0.27%             | 2029-03-31      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |         1 | NC      | $35882.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITISATION OF CATALOGUE                    | SECURITISATION OF CATALOGUE                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |    540000 | PA      | $753312.89    | 0.25%             | 2032-12-13      | Variable      | 16.19%                | No            |                  3 | On Loan: No      |
| Aergo Capital Limited                          | AERGO CAPITAL - 60 - WIZZ AIR A321-200 MSN 6976                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |    828868 | NS      | $922089.13    | 0.31%             |  |  |  | No            |                  3 | On Loan: No      |
| POWIS FINANCE S.A R.L.                         | POWIS FINANCE S.A R.L.                                             | CUSIP: 000000000<br>LEI: 254900GEAKVYRH6JJX45 | Long             | EC               | CORP              | LU        |   1448307 | NS      | $1849686.21   | 0.62%             |  |  |  | No            |                  3 | On Loan: No      |
| Mill City Solar Loan Ltd.                      | Mill City Solar Loan 2019-1 Ltd                                    | CUSIP: 59982WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    109679 | PA      | $94803.05     | 0.03%             | 2043-03-20      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| SOCA 1 BRR                                     | SOCA 1 BRR                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |    567000 | PA      | $783117.78    | 0.26%             | 2027-01-01      | Variable      | 9.44%                 | No            |                  3 | On Loan: No      |
| Dividend Solar Loans LLC                       | Dividend Solar Loans 2019-1 LLC                                    | CUSIP: 255388AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461075 | PA      | $405853.89    | 0.14%             | 2039-08-22      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| CVI OCT Investment Trust                       | CVI OCT Investment Trust                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   3266347 | NS      | $3591720.62   | 1.21%             |  |  |  | No            |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-23

**Name of Applicant:** AB CarVal Credit Opportunities Fund

**Signature:** Matt Johnson

**Name of Signer:** Matt Johnson

**Title:** Treasurer, Principal Financial Officer, Principal Accounting Officer