# EDGAR Filing Document

**Accession Number:** 0001560672
**File Stem:** 0000894189-25-016415
**Filing Date:** 2025-11
**Character Count:** 152365
**Document Hash:** 4ee5b6fc6d9b91cdc83b5816feffaf1a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-25-016415.hdr.sgml**: 20251128

**ACCESSION NUMBER**: 0000894189-25-016415

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251128

**DATE AS OF CHANGE**: 20251128

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Ellington Credit Co
- **CENTRAL INDEX KEY:** 0001560672
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]

**ORGANIZATION NAME:**
- **EIN:** 460687599
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-24071
- **FILM NUMBER:** 251536318

**BUSINESS ADDRESS:**
- **STREET 1:** 53 FOREST AVENUE
- **CITY:** OLD GREENWICH
- **STATE:** CT
- **ZIP:** 06870
- **BUSINESS PHONE:** (203) 698-1200

**MAIL ADDRESS:**
- **STREET 1:** 53 FOREST AVENUE
- **CITY:** OLD GREENWICH
- **STATE:** CT
- **ZIP:** 06870

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Ellington Residential Mortgage REIT
- **DATE OF NAME CHANGE:** 20121018

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Ellington Credit Co

- **b. Investment Company Act file number:** 811-24071

- **c. CIK number of Registrant:** 0001560672

- **d. LEI of Registrant:** 549300KA3MR2ZCRGA787

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

  - **Street Address 1:** 53 Forest Avenue

  - **City:** Old Greenwich

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06870

  - **Telephone number:** 203-698-1200

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

- **a. Name of Series:** Ellington Credit Co

- **c. LEI of Series:** 549300KA3MR2ZCRGA787

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $415739916.67

**Total Liabilities:** $190652878.87

**Net Assets:** $225087037.80

**Delayed Delivery Securities:** $1707686.33

**Cash Not Reported:** $4541000.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** 20.000000000000 | **1-Year:** 28826.000000000000 | **5-Year:** 92797.000000000000 | **10-Year:** 2399.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 3.20%                | -0.95%               | -3.08%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $516859.17               | $1530510.27                                |
| Month 2  | $280757.48               | $-1910049.83                               |
| Month 3  | $463873.36               | $-3717661.15                               |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 37 Capital CLO Ltd                                                | 37 Capital Clo 1 Ltd                                              | CUSIP: 88430QAA5<br>LEI: 549300GZ8MP9ZGVMJ424 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $1665157.00   | 0.74%             | 2034-10-15      | Floating      | 11.78%                | Yes           | 2                  | On Loan: No      |
| 522 Funding CLO LTD                                               | 522 Funding CLO 2019-5 Ltd                                        | CUSIP: 33830NAC0<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   4200000 | PA      | $928200.00    | 0.41%             | 2035-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| ABPCI Direct Lending Fund CLO                                     | ABPCI DIRECT LENDING FUND CLO XV LTD                              | CUSIP: 000841AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   3000000 | PA      | $3009750.00   | 1.34%             | 2035-10-30      | Floating      | 12.91%                | Yes           | 2                  | On Loan: No      |
| Aimco                                                             | AIMCO CLO Series 2018-A                                           | CUSIP: 00900HAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3690000 | PA      | $2077470.00   | 0.92%             | 2037-10-17      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Ballyrock Ltd                                                     | Ballyrock CLO 19 Ltd                                              | CUSIP: 05876AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2130000 | PA      | $2117684.34   | 0.94%             | 2035-04-20      | Floating      | 11.44%                | Yes           | 2                  | On Loan: No      |
| Barings Euro CLO                                                  | Barings Euro CLO 2020-1 DAC                                       | CUSIP: BCC2PIPN2<br>LEI: 5493007R4SFFXIAHHB67 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $1305409.93   | 0.58%             | 2034-10-21      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| BATLN-2020-15-FEE                                                 | BATLN-2020-15-FEE                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $410.00       | 0.00%             | 2035-11-01      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Battalion CLO LTD                                                 | Battalion CLO XX Ltd                                              | CUSIP: 07134VAC9<br>LEI: 549300CDYR56PY734566 | Long             | ABS-CBDO         | CORP              | KY        |   3140318 | PA      | $874578.56    | 0.39%             | 2038-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                                 | Battalion Clo XV Ltd                                              | CUSIP: 07131CAC4<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $560000.00    | 0.25%             | 2033-01-17      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                                 | Battalion Clo XV Ltd                                              | CUSIP: BCC2MR200<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $1148000.00   | 0.51%             | 2033-01-17      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Battalion CLO LTD                                                 | Battalion CLO IX Ltd                                              | CUSIP: 07132HAA6<br>LEI: 549300JMWGEYZEC6GK98 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $69635.00     | 0.03%             | 2031-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Benefit Street Partners CLO Ltd                                   | Benefit Street Partners CLO XIV Ltd                               | CUSIP: 08181NAC7<br>LEI: 5493008E17UEFI73RC63 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $218778.47    | 0.10%             | 2037-10-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Blackrock CLO                                                     | Blackrock MT Hood CLO X LLC                                       | CUSIP: 09263GAW7<br>LEI: 549300N3N5OOLMSHXG32 | Long             | ABS-CBDO         | CORP              | US        |   2457576 | PA      | $2459112.38   | 1.09%             | 2035-04-20      | Floating      | 14.37%                | Yes           | 2                  | On Loan: No      |
| BNPP IP Euro CLO                                                  | BNPP IP Euro CLO 2015-1 DAC                                       | CUSIP: BCC28WY91<br>LEI: 635400BBJ1EYLLVTFD31 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $140854.80    | 0.06%             | 2030-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| BOBA-2024-2-FEE                                                   | BOBA-2024-2-FEE                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $140000.00    | 0.06%             | 2034-01-25      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Boyce Park CLO, LLC                                               | Boyce Park Clo Ltd                                                | CUSIP: 103226AC0<br>LEI: 54930028S3PFXX4SMQ72 | Long             | ABS-CBDO         | CORP              | JE        |    840000 | PA      | $394800.00    | 0.18%             | 2035-04-21      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| BRDGS-2020-1A-FEE                                                 | BRDGS-2020-1A-FEE                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $78711.42     | 0.03%             | 2037-07-20      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Bridge Street CLO Ltd                                             | Bridge Street CLO III Ltd                                         | CUSIP: 10806GAC3<br>LEI: 254900PNW8DFFG2S8664 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1058400.00   | 0.47%             | 2034-10-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Bridge Street CLO Ltd                                             | Bridge Street CLO I Ltd                                           | CUSIP: 10806AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $1889043.19   | 0.84%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Bridge Street CLO Ltd                                             | Bridge Street CLO V Ltd                                           | CUSIP: 107922AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20500000 | PA      | $15375000.00  | 6.83%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Canyon Capital CLO Ltd                                            | Canyon Capital CLO 2016-1 Ltd                                     | CUSIP: BCC2GGS60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1474963.80   | 0.66%             | 2031-07-15      | Floating      | 10.33%                | No            | 2                  | On Loan: No      |
| Canyon Capital CLO Ltd                                            | Canyon Capital CLO 2019-1 Ltd                                     | CUSIP: 13887UAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14423000 | PA      | $6490350.00   | 2.88%             | 2037-07-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Canyon Capital CLO Ltd                                            | Canyon Capital CLO 2019-1 Ltd                                     | CUSIP: 13887UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $646203.12    | 0.29%             | 2037-07-15      | Floating      | 11.82%                | Yes           | 2                  | On Loan: No      |
| CAREERBUILDER CLASS W COMMON UNITS                                | CAREERBUILDER CLASS W COMMON UNITS                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         0 | NS      | $0.00         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CAREERBUILDER LLC TERM B3 1L GTD SR. SECD                         | CAREERBUILDER LLC TERM B3 1L GTD SR. SECD                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | PA      | $29789.00     | 0.01%             | 2027-09-22      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Careismatic Brands Warrants                                       | Careismatic Brands Warrants                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         0 | NS      | $33.63        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Carlyle Euro CLO                                                  | Carlyle Euro CLO 2019-2 DAC                                       | CUSIP: BCC2KFRN1<br>LEI: 63540012YBWEYXRWOE16 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $58689.50     | 0.03%             | 2032-08-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Dryden Senior Loan Fund                                           | Dryden 54 Senior Loan Fund                                        | CUSIP: 26244RAE1<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1694691.16   | 0.75%             | 2029-10-19      | Floating      | 10.79%                | Yes           | 3                  | On Loan: No      |
| Eaton Vance CDO Ltd                                               | Eaton Vance CLO 2019-1 Ltd                                        | CUSIP: 27830VAE0<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $657000.00    | 0.29%             | 2031-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Elevation CLO Ltd                                                 | Elevation CLO 2013-1 Ltd                                          | CUSIP: 28623GAE2<br>LEI: 549300D7IKXB86IQMC13 | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $3474000.00   | 1.54%             | 2038-07-25      | Floating      | 11.97%                | Yes           | 3                  | On Loan: No      |
| Elmwood CLO 24 Ltd                                                | Elmwood CLO 24 Ltd                                                | CUSIP: 29002NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $5000000.00   | 2.22%             | 2033-12-11      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Empower CLO Ltd.                                                  | Empower CLO 2022-1 Ltd                                            | CUSIP: 29246YAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13620000 | PA      | $10044750.00  | 4.46%             | 2037-10-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| MOUNTAIN VIEW CLO                                                 | Mountain View CLO 2017-2 LLC                                      | CUSIP: BCC2F2R97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $300.00       | 0.00%             | 2031-01-16      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| N/A                                                               | EURO FX CURR FUT  Dec25                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -131 | NC      | $-325.00      | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Nassau 2018-II, LTD                                               | Nassau 2018-II Ltd                                                | CUSIP: 63152QAC0<br>LEI: 549300TDGAMJFORBZE92 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $100.00       | 0.00%             | 2031-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Nassau Euro CLO DAC                                               | Nassau Euro CLO III DAC                                           | CUSIP: BCC3P84S4<br>LEI: 549300EIADBLUQHC0A87 | Long             | ABS-CBDO         | CORP              | IE        |   1065000 | PA      | $1220376.23   | 0.54%             | 2039-10-15      | Floating      | 10.05%                | No            | 2                  | On Loan: No      |
| Neuberger Berman CLO Ltd                                          | Neuberger Berman CLO XVII Ltd                                     | CUSIP: 64129VAB9<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $1147000.00   | 0.51%             | 2037-07-22      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| New Constellis Holdings Inc                                       | New Constellis Holdings Inc                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         0 | PA      | $376.51       | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| New Mountain CLO Ltd                                              | New Mountain CLO 2 Ltd                                            | CUSIP: 64754KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11960000 | PA      | $6967836.20   | 3.10%             | 2034-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Northwoods Capital Ltd                                            | Northwoods Capital 27 Ltd                                         | CUSIP: 66860YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1127000.00   | 0.50%             | 2034-10-17      | Floating      | 11.62%                | Yes           | 2                  | On Loan: No      |
| Oak Hill Credit                                                   | Oak Hill Credit Partners X-R Ltd                                  | CUSIP: 67106KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7116961 | PA      | $3202632.45   | 1.42%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Oak Hill European Credit Partners PLC                             | OAK Hill European Credit Partners VII DAC                         | CUSIP: BCC2HZRA9<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $692536.10    | 0.31%             | 2031-10-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                   | Oaktree CLO 2023-1 Ltd                                            | CUSIP: 67389EAC3<br>LEI: 254900WZ1Z6PQ6U3P013 | Long             | ABS-CBDO         | CORP              | JE        |   7310000 | PA      | $4530798.89   | 2.01%             | 2038-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                   | Oaktree CLO 2019-3 Ltd                                            | CUSIP: 67400GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1043875.00   | 0.46%             | 2034-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Oaktree CLO Ltd                                                   | Oaktree CLO 2019-4 Ltd                                            | CUSIP: 67400JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $2006000.00   | 0.89%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                   | Oaktree CLO 2020-1 Ltd                                            | CUSIP: 67402GAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8135000 | PA      | $5043700.00   | 2.24%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Ocean Trails CLO                                                  | Ocean Trails CLO V                                                | CUSIP: 67515RAB3<br>LEI: 549300RX29DPTX81VW10 | Long             | ABS-CBDO         | CORP              | KY        |   3033334 | PA      | $30333.34     | 0.01%             | 2031-10-13      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Ocean Trails CLO                                                  | Ocean Trails CLO V                                                | CUSIP: 67515RAD9<br>LEI: 549300RX29DPTX81VW10 | Long             | ABS-CBDO         | CORP              | KY        |   8690000 | PA      | $8690000.00   | 3.86%             | 2031-10-13      | Floating      | 11.08%                | Yes           | 2                  | On Loan: No      |
| OCP Euro CLO                                                      | OCP Euro Clo 2022-6 DAC                                           | CUSIP: BCC3N7BF8<br>LEI: 635400KHBQOJVEDAGW16 | Long             | ABS-CBDO         | CORP              | IE        |   2100000 | PA      | $2458303.61   | 1.09%             | 2036-07-20      | Floating      | 10.64%                | No            | 2                  | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40                                    | Octagon Investment Partners 40 Ltd                                | CUSIP: 67592EAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2830000 | PA      | $558403.46    | 0.25%             | 2035-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 41                                    | Octagon Investment Partners 41 Ltd                                | CUSIP: 67592GAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1270000 | PA      | $356300.86    | 0.16%             | 2033-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners 44                                    | Octagon Investment Partners 44 Ltd                                | CUSIP: 675713AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3920000 | PA      | $3449600.00   | 1.53%             | 2034-10-15      | Floating      | 11.33%                | Yes           | 2                  | On Loan: No      |
| Octagon Investment Partners 50                                    | Octagon Investment Partners 50 Ltd                                | CUSIP: 67592NAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1402500.00   | 0.62%             | 2035-01-15      | Floating      | 11.38%                | Yes           | 2                  | On Loan: No      |
| Octagon Investment Partners Ltd                                   | Octagon Investment Partners 18-R Ltd                              | CUSIP: 67590KAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3651162 | PA      | $3541.63      | 0.00%             | 2031-04-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Rockford Tower Europe CLO                                         | Rockford Tower Europe CLO 2021-2 DAC                              | CUSIP: BCC33CC43<br>LEI: 635400YECCYPH8KGMC48 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1167122.50   | 0.52%             | 2035-01-24      | Floating      | 10.84%                | No            | 2                  | On Loan: No      |
| RR Ltd                                                            | RR 5 Ltd                                                          | CUSIP: 74979RAC6<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $601875.00    | 0.27%             | 2039-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Saratoga Investment Corp CLO Ltd                                  | Saratoga Investment Corp CLO 2013-1 Ltd                           | CUSIP: 80349CAQ8<br>LEI: 549300471O2DE0Y4L506 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1548607.32   | 0.69%             | 2033-04-20      | Floating      | 12.09%                | Yes           | 3                  | On Loan: No      |
| FORESIGHT ENERGY EQUITY                                           | FORESIGHT ENERGY EQUITY                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         0 | NS      | $6622.16      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Fortress Credit BSL Limited                                       | Fortress Credit BSL VI Ltd                                        | CUSIP: 34959GAA2<br>LEI: 549300QQ2ENLX323MX94 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006500.00   | 0.45%             | 2031-07-23      | Floating      | 11.03%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                       | Fortress Credit BSL VIII Ltd                                      | CUSIP: 34962FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3000000.00   | 1.33%             | 2032-10-20      | Floating      | 11.60%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                       | Fortress Credit BSL XII Ltd                                       | CUSIP: 34963GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $959596.00    | 0.43%             | 2034-10-15      | Floating      | 11.71%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                       | Fortress Credit BSL XVII Ltd                                      | CUSIP: 34964NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1251562.50   | 0.56%             | 2034-10-23      | Floating      | 12.47%                | Yes           | 2                  | On Loan: No      |
| Generate CLO Ltd.                                                 | Generate CLO 2 Ltd                                                | CUSIP: 98625RAC3<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $1600000.00   | 0.71%             | 2037-10-22      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Generate CLO Ltd.                                                 | Generate CLO 9 LTD                                                | CUSIP: 37147MAC1<br>LEI: 549300OYEZ11WGJ2SS19 | Long             | ABS-CBDO         | CORP              | KY        |   5550000 | PA      | $3063600.00   | 1.36%             | 2034-10-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 38375BHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28221 | PA      | $1914.21      | 0.00%             | 2060-12-20      | Variable      | 1.21%                 | No            | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                                  | Greywolf CLO II Ltd                                               | CUSIP: 39808GAJ5<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1930000 | PA      | $349330.00    | 0.16%             | 2034-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                                  | Greywolf CLO II Ltd                                               | CUSIP: 39808GAL0<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1370000 | PA      | $273410.90    | 0.12%             | 2034-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                                  | Greywolf CLO II Ltd                                               | CUSIP: 39808GAN6<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003899.80   | 0.89%             | 2034-04-15      | Floating      | 11.63%                | Yes           | 2                  | On Loan: No      |
| Greywolf CLO Ltd                                                  | Greywolf CLO II Ltd                                               | CUSIP: BCC2EN471<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1130000 | PA      | $225514.10    | 0.10%             | 2034-04-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                           | HalseyPoint CLO 3 Ltd                                             | CUSIP: 40638VAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    860000 | PA      | $869380.21    | 0.39%             | 2037-07-30      | Floating      | 12.42%                | Yes           | 2                  | On Loan: No      |
| HalseyPoint CLO Ltd.                                              | HalseyPoint CLO 4 Ltd                                             | CUSIP: 40637NAA4<br>LEI: 549300CMJUK1VCINNF57 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1250662.13   | 0.56%             | 2034-04-20      | Floating      | 11.30%                | Yes           | 2                  | On Loan: No      |
| Harvest CLO                                                       | Harvest Clo XXIX DAC                                              | CUSIP: BCC3GDSD0<br>LEI: 635400UTMKWBSVMHDJ97 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3512566.57   | 1.56%             | 2037-07-15      | Floating      | 10.65%                | No            | 2                  | On Loan: No      |
| Hayfin Emerald CLO                                                | Hayfin Emerald Clo X DAC                                          | CUSIP: BCC3FNKV7<br>LEI: 635400QPLMTTI1BZII42 | Long             | ABS-CBDO         | CORP              | IE        |   1931251 | PA      | $2264425.42   | 1.01%             | 2038-07-18      | Floating      | 9.93%                 | No            | 2                  | On Loan: No      |
| Henley Funding Ltd.                                               | Henley Clo XIII DAC                                               | CUSIP: BCC3N3P39<br>LEI: 635400GYWK6CANWU6S92 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1158539.30   | 0.51%             | 2038-10-15      | Floating      | 10.42%                | No            | 2                  | On Loan: No      |
| HPS Loan Management Ltd                                           | HPS Loan Management 2025-24 Ltd                                   | CUSIP: 44332YAE2<br>LEI: 213800UJ8Z9IW1VRPP64 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1584000.00   | 0.70%             | 2038-04-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| ICG US CLO Ltd                                                    | ICG US CLO 2014-1 Ltd                                             | CUSIP: 44928YAN2<br>LEI: 25490053S2JSJU63Y978 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3853920.00   | 1.71%             | 2034-10-20      | Floating      | 12.94%                | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                    | ICG US CLO 2017-1 Ltd                                             | CUSIP: 449254AD3<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2431250.00   | 1.08%             | 2034-07-28      | Floating      | 11.94%                | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                    | ICG US CLO 2014-2 Ltd                                             | CUSIP: 44929CAJ8<br>LEI: 635400O9MVLOIBCDSR77 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1554000.00   | 0.69%             | 2031-01-15      | Floating      | 9.78%                 | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                    | ICG US Clo 2021-3 Ltd                                             | CUSIP: 449249AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $1040000.00   | 0.46%             | 2034-10-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Invesco Euro CLO                                                  | Invesco Euro CLO V DAC                                            | CUSIP: BCC2Q8F53<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |   1720000 | PA      | $302837.82    | 0.13%             | 2034-01-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Invesco Euro CLO                                                  | Invesco Euro CLO I DAC                                            | CUSIP: BCC2I8AE8<br>LEI: 549300GHZE7CYFQDBC40 | Long             | ABS-CBDO         | CORP              | IE        |   1970000 | PA      | $228169.95    | 0.10%             | 2031-07-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Invesco Euro CLO                                                  | Invesco Euro CLO IV DAC                                           | CUSIP: BCC2MRWZ0<br>LEI: 549300LLUOZ9GWTWJV80 | Long             | ABS-CBDO         | CORP              | IE        |   1321000 | PA      | $1457541.99   | 0.65%             | 2033-04-15      | Floating      | 7.38%                 | No            | 2                  | On Loan: No      |
| Magnetite CLO Ltd                                                 | Magnetite Xxx Ltd                                                 | CUSIP: 55953VAC6<br>LEI: 549300RI4HRUG7CFWM27 | Long             | ABS-CBDO         | CORP              | KY        |   9793000 | PA      | $6022695.00   | 2.68%             | 2037-10-25      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Man Euro CLO                                                      | MAN Euro Clo 2023-1 DAC                                           | CUSIP: BCC3CJ7S1<br>LEI: 6354003VGPHCJJKCVD96 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1763242.51   | 0.78%             | 2036-10-15      | Floating      | 12.16%                | Yes           | 2                  | On Loan: No      |
| Marathon CLO LTD                                                  | Marathon CLO VI Ltd                                               | CUSIP: BCC2GDE70<br>LEI: 5493002F390212ZEF773 | Long             | ABS-CBDO         | CORP              | KY        |    359840 | PA      | $35.98        | 0.00%             | 2028-05-13      | Floating      | 10.64%                | No            | 3                  | On Loan: No      |
| Marathon CLO LTD                                                  | Marathon CLO 2021-16 Ltd                                          | CUSIP: 56581DAE0<br>LEI: 549300VP041FQCCCOP44 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2512500.00   | 1.12%             | 2034-04-15      | Floating      | 11.17%                | Yes           | 2                  | On Loan: No      |
| Marble Point CLO                                                  | Marble Point CLO XXII Ltd                                         | CUSIP: BCC31H4Y7<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |   5400000 | PA      | $1161000.00   | 0.52%             | 2050-07-25      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Marble Point CLO XX Ltd                                           | Marble Point CLO XX Ltd                                           | CUSIP: 56607LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $560000.00    | 0.25%             | 2051-04-23      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| MCF CLO LLC                                                       | MCF CLO VIII Ltd                                                  | CUSIP: 55281QAG1<br>LEI: 254900KF5QOK0T8H4C54 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2040200.00   | 0.91%             | 2036-04-18      | Floating      | 12.33%                | Yes           | 2                  | On Loan: No      |
| MCF CLO LLC                                                       | MCF CLO IV LLC                                                    | CUSIP: 55280HBE6<br>LEI: 549300SYEBIYQWJN7391 | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1510500.00   | 0.67%             | 2033-10-20      | Floating      | 13.24%                | Yes           | 2                  | On Loan: No      |
| Monroe Capital MML CLO VI LTD                                     | Monroe Capital MML CLO VI Ltd                                     | CUSIP: 61034LAC9<br>LEI: 254900SICWP7QQDX8T50 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $98586.00     | 0.04%             | 2030-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| MORAN FOODS 1L FIRST OUT PIK                                      | MORAN FOODS 1L FIRST OUT PIK                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | NS      | $27069.30     | 0.01%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| MORAN FOODS 1L SECOND OUT PIK                                     | MORAN FOODS 1L SECOND OUT PIK                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | NS      | $878.08       | 0.00%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| MORAN FOODS LLC                                                   | MORAN FOODS LLC                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |    539650 | NS      | $0.00         | 0.00%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC DELAYED DRAW TL                                       | SOLARAY LLC DELAYED DRAW TL                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | PA      | $17790.91     | 0.01%             | 2025-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC DELAYED DRAW TL (Add-On)                              | SOLARAY LLC DELAYED DRAW TL (Add-On)                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | PA      | $97428.97     | 0.04%             | 2025-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC TERM  1L Sr. Secd                                     | SOLARAY LLC TERM  1L Sr. Secd                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | PA      | $138426.98    | 0.06%             | 2026-09-22      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| St Pauls CLO                                                      | St Paul's CLO IX DAC                                              | CUSIP: BCC3536K2<br>LEI: 5493005PKRP7MRYF1M95 | Long             | ABS-CBDO         | CORP              | IE        |   1450000 | PA      | $1675429.31   | 0.74%             | 2035-07-20      | Floating      | 11.95%                | No            | 2                  | On Loan: No      |
| St Pauls CLO                                                      | St Paul's CLO IV DAC                                              | CUSIP: BCC2H8851<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1068148.90   | 0.47%             | 2030-04-25      | Floating      | 8.74%                 | No            | 2                  | On Loan: No      |
| St Pauls CLO                                                      | St Paul's CLO IV DAC                                              | CUSIP: BCC2H8869<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1400000 | PA      | $558724.04    | 0.25%             | 2030-04-25      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| St Pauls CLO                                                      | St Paul's CLO V DAC                                               | CUSIP: BCC2DYTI7<br>LEI: 635400LOBVY9OW2EI809 | Long             | ABS-CBDO         | CORP              | IE        |   1650000 | PA      | $1684975.54   | 0.75%             | 2030-08-20      | Floating      | 8.63%                 | No            | 2                  | On Loan: No      |
| Symphony CLO Ltd                                                  | Symphony CLO XXVI Ltd                                             | CUSIP: BCC2D1MU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $121500.00    | 0.05%             | 2033-04-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| TCW CLO 2021-1, Ltd.                                              | TCW CLO 2021-1 Ltd                                                | CUSIP: 87190LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8400000 | PA      | $3612000.00   | 1.60%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| TCW Ltd                                                           | TCW CLO 2023-1 Ltd                                                | CUSIP: 871976AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $473600.00    | 0.21%             | 2038-03-31      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| TCW Ltd                                                           | TCW CLO 2023-1 Ltd                                                | CUSIP: BCC38TBP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1024000.00   | 0.45%             | 2038-03-31      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| TCW Ltd                                                           | TCW CLO 2025-1 LTD                                                | CUSIP: 872409AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1775000 | PA      | $1446625.00   | 0.64%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Tikehau                                                           | Tikehau CLO XIII DAC                                              | CUSIP: BCC3KTRH2<br>LEI: 6354006QUI9OYIL7LT78 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2086763.86   | 0.93%             | 2038-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Toro European CLO                                                 | Toro European CLO 6 DAC                                           | CUSIP: BCC2KI4H3<br>LEI: 635400SBMZDOVHEFNA56 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1584616.50   | 0.70%             | 2032-01-12      | Floating      | 10.49%                | Yes           | 2                  | On Loan: No      |
| Tralee CLO Ltd                                                    | Tralee CLO V Ltd                                                  | CUSIP: 89300GAE4<br>LEI: 54930005YIOSJ9Z81114 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $325925.13    | 0.14%             | 2034-10-20      | Floating      | 13.48%                | Yes           | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                                  | Trinitas CLO XII Ltd                                              | CUSIP: 89641NAE7<br>LEI: 254900G1XMKSN9WBVL66 | Long             | ABS-CBDO         | CORP              | KY        |   1890000 | PA      | $1879380.56   | 0.83%             | 2033-04-25      | Floating      | 11.98%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                  | Trinitas CLO XVI Ltd                                              | CUSIP: 89642EAA4<br>LEI: 5493004FCKEPFTK2QI86 | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1356778.50   | 0.60%             | 2034-07-20      | Floating      | 11.59%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                  | Trinitas CLO VI Ltd                                               | CUSIP: 89641BAE3<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $950757.24    | 0.42%             | 2034-01-25      | Floating      | 11.40%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                  | Trinitas CLO VI Ltd                                               | CUSIP: 89641BAG8<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1283569.28   | 0.57%             | 2034-01-25      | Floating      | 13.29%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                  | Trinitas Clo IX Ltd                                               | CUSIP: 89641KAA1<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |   1330000 | PA      | $1240225.00   | 0.55%             | 2032-01-20      | Floating      | 10.84%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                  | Trinitas Clo IX Ltd                                               | CUSIP: BCC2I26X4<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2098125.00   | 0.93%             | 2032-01-20      | Floating      | 10.84%                | No            | 2                  | On Loan: No      |
| Venture CDO Ltd                                                   | Venture XXX CLO Ltd                                               | CUSIP: 92331PAA9<br>LEI: 5493001R7OPCYBM5NH78 | Long             | ABS-CBDO         | CORP              | KY        |   1345000 | PA      | $632150.00    | 0.28%             | 2031-01-15      | Floating      | 10.88%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                   | Venture 36 Clo Ltd                                                | CUSIP: 92332MAA5<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $1933549.00   | 0.86%             | 2032-04-20      | Floating      | 11.51%                | Yes           | 2                  | On Loan: No      |
| Venture CDO Ltd                                                   | Venture XXII CLO Ltd                                              | CUSIP: 92331JAG0<br>LEI: 549300ERIHFJJFMGMG87 | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $270400.00    | 0.12%             | 2031-01-15      | Floating      | 10.23%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                   | Venture XXVII CLO Ltd                                             | CUSIP: 92331TAA1<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $225000.00    | 0.10%             | 2030-07-20      | Floating      | 10.94%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                   | Venture XVIII CLO Ltd                                             | CUSIP: 92329HAH6<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | KY        |   2039141 | PA      | $1141919.10   | 0.51%             | 2029-10-15      | Floating      | 11.17%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                   | Venture XV CLO Ltd                                                | CUSIP: 92328LAH8<br>LEI: 549300UYHZCJPN3LMT03 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $817500.68    | 0.36%             | 2032-07-15      | Floating      | 11.77%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                   | Venture XXVI CLO Ltd                                              | CUSIP: 92331HAA7<br>LEI: 549300XGJ8CFTLD6FC04 | Long             | ABS-CBDO         | CORP              | KY        |   2536330 | PA      | $1572524.69   | 0.70%             | 2029-01-20      | Floating      | 11.39%                | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                                   | Vibrant CLO XIII Ltd                                              | CUSIP: 92557CAC1<br>LEI: 5493000EYXBYKZ0XIT83 | Long             | ABS-CBDO         | CORP              | KY        |   7880000 | PA      | $4184280.00   | 1.86%             | 2034-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                                   | Vibrant Clo XV Ltd                                                | CUSIP: 92559FAE8<br>LEI: 5493000EZ05NPI8BXY34 | Long             | ABS-CBDO         | CORP              | KY        |   1510000 | PA      | $747450.00    | 0.33%             | 2035-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                                   | Vibrant Clo III Ltd                                               | CUSIP: 92557UBE6<br>LEI: 54930073XIEUISQCY218 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $228750.00    | 0.10%             | 2031-10-20      | Floating      | 10.94%                | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                                      | Voya 2024-3 LTD                                                   | CUSIP: 92944VAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9400000 | PA      | $6956000.00   | 3.09%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                                      | Voya CLO 2024-5 Ltd                                               | CUSIP: 92891UAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $7250000.00   | 3.22%             | 2037-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                                      | Voya CLO 2025-1 Ltd                                               | CUSIP: 92945LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $2924800.00   | 1.30%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| WELF-2021-3-FEE                                                   | WELF-2021-3-FEE                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $3333.93      | 0.00%             | 2034-01-25      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                                 | Wellfleet CLO 2021-3 Ltd                                          | CUSIP: 94951KAA5<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   7600000 | PA      | $1976000.00   | 0.88%             | 2035-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                                 | Wellfleet CLO 2021-3 Ltd                                          | CUSIP: 94951KAC1<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1198750.00   | 0.53%             | 2035-01-15      | Floating      | 11.68%                | Yes           | 2                  | On Loan: No      |
| Wellfleet CLO Ltd                                                 | Wellfleet Clo 2019-1 Ltd                                          | CUSIP: 94950QAA3<br>LEI: 254900IGQ7EODCWHCM84 | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1160129.68   | 0.52%             | 2032-07-20      | Floating      | 11.49%                | Yes           | 3                  | On Loan: No      |
| Whitehorse Ltd                                                    | WhiteHorse X Ltd                                                  | CUSIP: BCC28WVJ2<br>LEI: 549300UT33WDDDZEYN84 | Long             | ABS-CBDO         | CORP              | KY        |    286788 | PA      | $28.68        | 0.00%             | 2027-04-17      | Floating      | 10.83%                | No            | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                | Wind River 2021-1 CLO Ltd                                         | CUSIP: 97314HAN9<br>LEI: 549300OBHD9JXBHL6R27 | Long             | ABS-CBDO         | CORP              | KY        |   4650000 | PA      | $1860000.00   | 0.83%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                | THL Credit Wind River 2019-3 Clo Ltd                              | CUSIP: 87249WAC1<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |  12710000 | PA      | $1556554.30   | 0.69%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                | THL Credit Wind River 2019-3 Clo Ltd                              | CUSIP: 97314GAE1<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001171.45   | 0.44%             | 2031-04-15      | Floating      | 10.77%                | Yes           | 2                  | On Loan: No      |
| Wind River CLO Ltd                                                | Wind River 2022-1 CLO Ltd                                         | CUSIP: 97316GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2444750.00   | 1.09%             | 2035-07-20      | Floating      | 12.45%                | Yes           | 2                  | On Loan: No      |
| WINDR 2021-1A VAR FEE LETTER                                      | WINDR 2021-1A VAR FEE LETTER                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $16399.68     | 0.01%             | 2034-04-20      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Zais CLO 13, Limited                                              | Zais Clo 13 Ltd                                                   | CUSIP: 98876PAA7<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |   6520000 | PA      | $6169550.00   | 2.74%             | 2032-07-15      | Floating      | 13.23%                | Yes           | 2                  | On Loan: No      |
| ZAIS CLO 3, LTD                                                   | Zais CLO 3 Ltd                                                    | CUSIP: 98887JAG5<br>LEI: 549300SYHU0CNKIXQ691 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $643500.00    | 0.29%             | 2031-07-15      | Floating      | 11.49%                | Yes           | 3                  | On Loan: No      |
| Zais CLO 6 LTD                                                    | Zais Clo 6 Ltd                                                    | CUSIP: 98887UAA3<br>LEI: 549300ZPQFDVEE67IB71 | Long             | ABS-CBDO         | CORP              | KY        |   2371235 | PA      | $2262714.23   | 1.01%             | 2029-07-15      | Floating      | 11.58%                | Yes           | 3                  | On Loan: No      |
| Zais CLO 6 LTD                                                    | Zais Clo 6 Ltd                                                    | CUSIP: 98887UAB1<br>LEI: 549300ZPQFDVEE67IB71 | Long             | ABS-CBDO         | CORP              | KY        |   3387200 | PA      | $338.72       | 0.00%             | 2029-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Allegro CLO Ltd                                                   | Allegro CLO XI Ltd                                                | CUSIP: 01750JAC2<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |   3074000 | PA      | $1055548.32   | 0.47%             | 2033-01-19      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Allegro CLO Ltd                                                   | Allegro CLO VII Ltd                                               | CUSIP: 01750DAC5<br>LEI: 635400EBXLHIKFL2MP73 | Long             | ABS-CBDO         | CORP              | KY        |   3100000 | PA      | $35343.10     | 0.02%             | 2031-06-13      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Anchorage Credit Funding Ltd.                                     | Anchorage Credit Funding 6 Ltd                                    | CUSIP: 03330MAA4<br>LEI: 5493009BD57D5LVN7Y80 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $29856.92     | 0.01%             | 2036-07-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Apidos CLO Ltd                                                    | Apidos CLO XLII Ltd                                               | CUSIP: 03770HAE4<br>LEI: 213800XUV3WLXWBKOJ53 | Long             | ABS-CBDO         | CORP              | JE        |   1070000 | PA      | $877817.30    | 0.39%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Apidos CLO Ltd                                                    | Apidos CLO L                                                      | CUSIP: 03771LAE4<br>LEI: 2549007IRDJIM26V8J63 | Long             | ABS-CBDO         | CORP              | KY        |   6600000 | PA      | $5016000.00   | 2.23%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Apidos CLO Ltd                                                    | Apidos CLO XVIII-R                                                | CUSIP: 03767QAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4171300 | PA      | $1834566.82   | 0.82%             | 2038-01-22      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Aqueduct European CLO                                             | Aqueduct European Clo 7-2022 DAC                                  | CUSIP: BCC3GVLJ4<br>LEI: 54930004RGI0BI0FRK80 | Long             | ABS-CBDO         | CORP              | IE        |   1515000 | PA      | $1755831.33   | 0.78%             | 2037-08-15      | Floating      | 10.39%                | No            | 2                  | On Loan: No      |
| ARES CLO Ltd                                                      | Ares XXXIX CLO Ltd                                                | CUSIP: 04016BAC3<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $4875000.00   | 2.17%             | 2031-04-18      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| ARES CLO Ltd                                                      | Ares XLIII CLO Ltd                                                | CUSIP: 04017AAC4<br>LEI: 549300ECLIGB6OZRBA51 | Long             | ABS-CBDO         | CORP              | KY        |   7519000 | PA      | $2036521.15   | 0.90%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                        | Atlas Senior Loan Fund XXIII Ltd                                  | CUSIP: BCC3G6BX9<br>LEI: 213800M7WM9TKCR3TF76 | Long             | ABS-CBDO         | CORP              | JE        |   4475000 | PA      | $2047312.50   | 0.91%             | 2037-07-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                        | Atlas Senior Loan Fund X Ltd                                      | CUSIP: 04942KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1727492.68   | 0.77%             | 2031-01-15      | Floating      | 10.28%                | Yes           | 2                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                        | Atlas Senior Loan Fund XIV                                        | CUSIP: 04942DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1126159.38   | 0.50%             | 2032-07-20      | Floating      | 11.53%                | Yes           | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                        | Atlas Senior Loan Fund XXIV Ltd                                   | CUSIP: 04943QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3010000 | PA      | $1781920.00   | 0.79%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Atlas Static Senior Loan Fund                                     | Atlas Static Senior Loan Fund I Ltd                               | CUSIP: 04942QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2970000 | PA      | $2978355.20   | 1.32%             | 2030-07-15      | Floating      | 12.83%                | Yes           | 2                  | On Loan: No      |
| Babson Euro CLO B.V.                                              | Barings Euro CLO 2021-1 DAC                                       | CUSIP: BCC2R9ZP4<br>LEI: 549300D83T2O13OUPP03 | Long             | ABS-CBDO         | CORP              | IE        |   1250000 | PA      | $418402.66    | 0.19%             | 2034-04-24      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                  | Bain Capital Credit CLO 2024-3 Ltd                                | CUSIP: 05685UAC8<br>LEI: 254900SOM2S14IE3BZ76 | Long             | ABS-CBDO         | CORP              | KY        |   4490000 | PA      | $2773024.00   | 1.23%             | 2037-07-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                  | Bain Capital Credit CLO 2017-2 Ltd                                | CUSIP: 05682TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6560000 | PA      | $6628204.32   | 2.94%             | 2037-07-25      | Floating      | 11.66%                | Yes           | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                  | Bain Capital Credit CLO 2022-2 Ltd                                | CUSIP: 05683XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1620000 | PA      | $1628035.20   | 0.72%             | 2035-04-22      | Floating      | 11.68%                | Yes           | 2                  | On Loan: No      |
| Balboa Bay Loan Funding Ltd                                       | Balboa Bay Loan Funding 2024-2 Ltd                                | CUSIP: 05765BAC3<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $4847500.00   | 2.15%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CDS - QTR 12/20/2026 v. ITRX.EUR.XOVER.36.10-20 (Senior MMR) @ 5% | CDS - QTR 12/20/2026 v. ITRX.EUR.XOVER.36.10-20 (Senior MMR) @ 5% | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-2842960.70  | -1.26%            |  |  |  | No            | 2                  | On Loan: No      |
| CDX.A.HY.45                                                       | CDX.A.HY.45                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-660448.35   | -0.29%            |  |  |  | No            | 2                  | On Loan: No      |
| CDXIG44_DC25_P85                                                  | CDXIG44_DC25_P85                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $33303.24     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Cedar Funding Ltd                                                 | Cedar Funding IX CLO Ltd                                          | CUSIP: 15033FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3950000 | PA      | $1302385.09   | 0.58%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CENTURYLINK INC TERM B 1L GTD SR. SECD                            | CENTURYLINK INC TERM B 1L GTD SR. SECD                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    205537 | PA      | $202968.06    | 0.09%             | 2027-03-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| CHIEF POWER REORG EQUITY                                          | CHIEF POWER REORG EQUITY                                          | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |         0 | PA      | $34000.00     | 0.02%             |  |  |  | Yes           | 3                  | On Loan: No      |
| CIFC Funding Ltd                                                  | CIFC Funding 2013-II Ltd                                          | CUSIP: 12548YAH2<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |   2834000 | PA      | $2819830.00   | 1.25%             | 2030-10-18      | Floating      | 11.11%                | Yes           | 2                  | On Loan: No      |
| CIFC Funding Ltd                                                  | CIFC Funding 2018-IV Ltd                                          | CUSIP: 17182HAE6<br>LEI: 254900PA63PFHC11GD90 | Long             | ABS-CBDO         | CORP              | KY        |   2220000 | PA      | $788100.00    | 0.35%             | 2031-10-17      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CIFC Funding Ltd                                                  | CIFC Funding 2014-II Ltd                                          | CUSIP: BCC26UNI9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $961000.00    | 0.43%             | 2030-04-24      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CIFC-LBC Middle Market CLO LLC                                    | CIFC-LBC Middle Market CLO 2023-1 LLC                             | CUSIP: 171937AL9<br>LEI: 635400LA3L2WL5YSI785 | Long             | ABS-CBDO         | CORP              | US        |   1140000 | PA      | $1142850.00   | 0.51%             | 2035-10-20      | Floating      | 13.63%                | Yes           | 2                  | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                                     | Crestline Denali CLO XV Ltd                                       | CUSIP: 22616BAE5<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1498125.00   | 0.67%             | 2030-04-20      | Floating      | 10.94%                | Yes           | 2                  | On Loan: No      |
| Crown City CLO                                                    | Crown City CLO III                                                | CUSIP: 228234AA8<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1936000.00   | 0.86%             | 2034-07-20      | Floating      | 11.34%                | Yes           | 2                  | On Loan: No      |
| Crown City CLO                                                    | Crown City CLO III                                                | CUSIP: 228234AC4<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |   5580000 | PA      | $1701900.00   | 0.76%             | 2034-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown City CLO                                                    | Crown City CLO II                                                 | CUSIP: 22823JAC1<br>LEI: 549300TQXORNUWLBOD84 | Long             | ABS-CBDO         | CORP              | KY        |   5217081 | PA      | $1930319.97   | 0.86%             | 2035-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Crown City CLO I                                                  | Crown City CLO I                                                  | CUSIP: 22823TAC9<br>LEI: 549300K60T4GC7BSX929 | Long             | ABS-CBDO         | CORP              | KY        |   6850000 | PA      | $2037875.00   | 0.91%             | 2038-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown Point CLO Ltd                                               | Crown Point CLO 10 Ltd                                            | CUSIP: 22846GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1701708.11   | 0.76%             | 2034-07-20      | Floating      | 11.44%                | Yes           | 2                  | On Loan: No      |
| Crown Point CLO Ltd                                               | Crown Point CLO 9 Ltd                                             | CUSIP: 22846EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2496958.15   | 1.11%             | 2034-07-14      | Floating      | 11.34%                | Yes           | 2                  | On Loan: No      |
| Dryden Euro CLO                                                   | Dryden 73 Euro CLO 2018 DAC                                       | CUSIP: BCC2LVQQ9<br>LEI: 635400CVKY7QXAYGH934 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2335842.10   | 1.04%             | 2034-01-15      | Floating      | 8.85%                 | No            | 2                  | On Loan: No      |
| Dryden Leveraged Loan CDO                                         | Dryden 32 Euro CLO 2014 DAC                                       | CUSIP: BCC2HFYI8<br>LEI: 6354005CSBPGKXG2CA73 | Long             | ABS-CBDO         | CORP              | NL        |   1250000 | PA      | $1435683.24   | 0.64%             | 2031-08-15      | Floating      | 9.31%                 | No            | 3                  | On Loan: No      |
| Dryden Leveraged Loan CDO                                         | Dryden 69 Euro CLO 2018 DAC                                       | CUSIP: BCC334JJ1<br>LEI: 635400AQJGNDIM4VWO36 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2324104.20   | 1.03%             | 2034-10-18      | Floating      | 8.39%                 | No            | 2                  | On Loan: No      |
| FIRST BRANDS GROUP LLC TERM B 1L GTD SR. SECD                     | FIRST BRANDS GROUP LLC TERM B 1L GTD SR. SECD                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | PA      | $37476.50     | 0.02%             | 2025-03-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| First Eagle BSL CLO LLC                                           | First Eagle BSL CLO 2019-1 Ltd                                    | CUSIP: 32010GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5590000 | PA      | $5543994.30   | 2.46%             | 2033-01-20      | Floating      | 12.29%                | Yes           | 2                  | On Loan: No      |
| Flint Group A Common Shares                                       | Flint Group A Common Shares                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         0 | NS      | $0.00         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| FLINT GROUP TOPCO LTD PIK TERM B 2L Secd                          | FLINT GROUP TOPCO LTD PIK TERM B 2L Secd                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | PA      | $30898.26     | 0.01%             | 2027-12-31      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Resolute Investment Equity                                        | Resolute Investment Equity                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         0 | PA      | $32458.50     | 0.01%             |  |  |  | No            | 3                  | On Loan: No      |
| Rockford Tower CLO Ltd                                            | Rockford Tower CLO 2021-3 Ltd                                     | CUSIP: 77341PAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1923573.41   | 0.85%             | 2038-01-15      | Floating      | 11.74%                | Yes           | 2                  | On Loan: No      |
| Rockford Tower CLO Ltd                                            | Rockford Tower CLO 2022-3 Ltd                                     | CUSIP: 77341YAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $627669.00    | 0.28%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Rockford Tower Credit Funding                                     | Rockford Tower Credit Funding I Ltd                               | CUSIP: 77341VAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $1121400.00   | 0.50%             | 2040-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Invesco Euro CLO XIV DAC                                          | Invesco Euro CLO XIV DAC                                          | CUSIP: BCC3J9996<br>LEI: 635400MNIFG73L1C7S65 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $278775.12    | 0.12%             | 2039-01-15      | Floating      | 10.59%                | Yes           | 3                  | On Loan: No      |
| ISAGENIX INTL TERM  1L SR. SECD 5/3/2023                          | ISAGENIX INTL TERM  1L SR. SECD 5/3/2023                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |         0 | PA      | $10000.00     | 0.00%             | 2027-09-22      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| ISAGENIX_EQUITY                                                   | ISAGENIX_EQUITY                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |      6300 | NS      | $63.00        | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| iShares Russell 2000 ETF                                          | iShares Russell 2000 ETF                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         0 | NC      | $46550.00     | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| iShares Russell 2000 ETF                                          | iShares Russell 2000 ETF                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         0 | NC      | $64500.00     | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| ITRX.EUR.XOVR.38.10-20                                            | ITRX.EUR.XOVR.38.10-20                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-1092692.26  | -0.49%            |  |  |  | No            | 2                  | On Loan: No      |
| Jamestown CLO Ltd                                                 | Jamestown CLO IX Ltd                                              | CUSIP: 47048KAH3<br>LEI: 254900NFTK4YH0WYT485 | Long             | ABS-CBDO         | CORP              | KY        |   1895000 | PA      | $1890606.12   | 0.84%             | 2034-07-25      | Floating      | 10.76%                | Yes           | 2                  | On Loan: No      |
| Jubilee CDO BV                                                    | Jubilee CLO 2021-XXV DAC                                          | CUSIP: BCC33DH38<br>LEI: 635400APBYBGXMTWEE61 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $1223184.63   | 0.54%             | 2035-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Jubilee CDO BV                                                    | Jubilee CLO 2013-X DAC                                            | CUSIP: BCC3027X0<br>LEI: 635400BEM2JFGBOYIE25 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $862681.48    | 0.38%             | 2034-07-15      | Floating      | 10.58%                | No            | 2                  | On Loan: No      |
| Jubilee CDO BV                                                    | Jubilee CLO 2017-XIX DAC                                          | CUSIP: BCC3LKLV5<br>LEI: 635400EAATDD7VO6VC73 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3481839.10   | 1.55%             | 2038-04-25      | Floating      | 10.64%                | Yes           | 2                  | On Loan: No      |
| Jubilee CDO BV                                                    | Jubilee CLO 2020 XXIV DAC                                         | CUSIP: BCC2Q8661<br>LEI: 635400LOAYAU3RCPF891 | Long             | ABS-CBDO         | CORP              | IE        |   1250000 | PA      | $1443550.19   | 0.64%             | 2034-01-16      | Floating      | 10.61%                | No            | 2                  | On Loan: No      |
| KKR Financial CLO Ltd                                             | KKR CLO 14 Ltd                                                    | CUSIP: BCC2BBF03<br>LEI: 635400KULUKCVCJXZX78 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $195486.00    | 0.09%             | 2031-08-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| LCM 32 Ltd                                                        | LCM 32 Ltd                                                        | CUSIP: 50204BAA2<br>LEI: 549300PWEMQKJMMXR454 | Long             | ABS-CBDO         | CORP              | KY        |   1640000 | PA      | $319800.00    | 0.14%             | 2034-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| LCM Ltd Partnership                                               | LCM 40 Ltd                                                        | CUSIP: 50190RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $670000.00    | 0.30%             | 2036-01-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| LIBBEY GLASS INC EQUITY                                           | LIBBEY GLASS INC EQUITY                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |      4400 | NS      | $9460.00      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Madison Park Euro Funding                                         | Madison Park Euro Funding XIV DAC                                 | CUSIP: BCC343DN9<br>LEI: 635400XLHN7OVUSEV112 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1747745.36   | 0.78%             | 2032-07-15      | Floating      | 10.85%                | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                          | Madison Park Funding XIX Ltd                                      | CUSIP: 55819RAE5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |   2285000 | PA      | $834025.00    | 0.37%             | 2037-01-22      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Madison Park Funding Ltd                                          | Madison Park Funding LIX Ltd                                      | CUSIP: 55822FAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2337704 | PA      | $1285737.20   | 0.57%             | 2037-04-18      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                          | Madison Park Funding XXIV Ltd                                     | CUSIP: 55820QAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $3961338.00   | 1.76%             | 2029-10-20      | Floating      | 11.38%                | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                          | Madison Park Funding XXVIII Ltd                                   | CUSIP: 55821BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $523740.00    | 0.23%             | 2030-07-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| St Pauls CLO                                                      | St Paul's CLO VII DAC                                             | CUSIP: BCC2H8F20<br>LEI: 635400XNW8X824E1MY52 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $714256.07    | 0.32%             | 2034-07-18      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Symphony CLO Ltd                                                  | Symphony CLO XXIII Ltd                                            | CUSIP: BCC2PT658<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $885000.00    | 0.39%             | 2048-01-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Symphony CLO Ltd                                                  | Symphony CLO XVI Ltd                                              | CUSIP: 87165TAE4<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   2255000 | PA      | $1939300.00   | 0.86%             | 2031-10-15      | Floating      | 10.68%                | Yes           | 3                  | On Loan: No      |
| Symphony CLO Ltd                                                  | Symphony CLO XV Ltd                                               | CUSIP: 87165KAE3<br>LEI: 549300JNP1PJXORD0Y06 | Long             | ABS-CBDO         | CORP              | KY        |   2084213 | PA      | $1865370.64   | 0.83%             | 2032-01-17      | Floating      | 10.91%                | Yes           | 3                  | On Loan: No      |
| Zais CLO 9, Limited                                               | Zais Clo 9 Ltd                                                    | CUSIP: BCC2H3QK9<br>LEI: 549300GT2U4OLB9UL559 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $72.00        | 0.00%             | 2031-07-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| ZAIS6-2017-1A-FEE                                                 | ZAIS6-2017-1A-FEE                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   3387200 | PA      | $0.00         | 0.00%             | 2029-07-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Carlyle Global Market Strategies                                  | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd              | CUSIP: BCC275SQ0<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $125039.73    | 0.06%             | 2031-11-17      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Carlyle Global Market Strategies                                  | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd              | CUSIP: BCC2I1Y49<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |   1140000 | PA      | $1336782.48   | 0.59%             | 2031-11-17      | Floating      | 7.74%                 | No            | 2                  | On Loan: No      |
| Carysfort Park CLO                                                | Carysfort Park CLO DAC                                            | CUSIP: BCC2R5N00<br>LEI: 254900X3LEXBMRCA3Y50 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2347766.87   | 1.04%             | 2034-07-28      | Floating      | 10.34%                | No            | 2                  | On Loan: No      |
| Octagon Investment Partners Ltd                                   | Octagon Investment Partners 18-R Ltd                              | CUSIP: BCC2G0YK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4850.00      | 0.00%             | 2031-04-16      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| OHA Loan Funding Ltd                                              | OHA Loan Funding 2013-1 Ltd                                       | CUSIP: BCC23IKH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $272240.50    | 0.12%             | 2037-04-23      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| OSD CLO 2023-27, Ltd.                                             | OCP CLO 2023-27 Ltd                                               | CUSIP: 671024AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9060000 | PA      | $6507671.16   | 2.89%             | 2038-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| OZLM Ltd                                                          | OZLM XIX Ltd                                                      | CUSIP: 67112CAU1<br>LEI: 5493009C40QUU66J8E83 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1478546.52   | 0.66%             | 2035-01-15      | Floating      | 12.21%                | Yes           | 2                  | On Loan: No      |
| OZLM Ltd                                                          | OZLM XXIV Ltd                                                     | CUSIP: 67113EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2422275.70   | 1.08%             | 2032-07-20      | Floating      | 11.64%                | Yes           | 3                  | On Loan: No      |
| Ozlme                                                             | Sculptor European CLO I DAC                                       | CUSIP: BCC2R3J75<br>LEI: 635400VVYCGBQEIQI426 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $854134.85    | 0.38%             | 2034-04-18      | Floating      | 10.43%                | No            | 2                  | On Loan: No      |
| Palmer Square European Loan Funding 2022-1 DAC                    | Palmer Square European Loan Funding 2022-1 DAC                    | CUSIP: BCC351L78<br>LEI: 549300OGFKGCPL337N48 | Long             | ABS-CBDO         | CORP              | IE        |   2340000 | PA      | $1352734.29   | 0.60%             | 2031-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Parallel Ltd                                                      | Parallel 2020-1 Ltd                                               | CUSIP: 69917BAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $988010.18    | 0.44%             | 2034-07-20      | Floating      | 11.09%                | Yes           | 2                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                            | Park Avenue Institutional Advisers CLO Ltd 2021-2                 | CUSIP: 70019FAA6<br>LEI: 529900TR2RUYEEXPKF94 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2955000.00   | 1.31%             | 2034-07-15      | Floating      | 11.59%                | Yes           | 2                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                            | Park Avenue Institutional Advisers CLO Ltd 2017-1                 | CUSIP: 70018FAJ8<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $1670000.00   | 0.74%             | 2034-02-14      | Floating      | 10.82%                | Yes           | 2                  | On Loan: No      |
| Park Blue CLO Ltd                                                 | PARK BLUE CLO 2023-III LTD                                        | CUSIP: 70019BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $4400000.00   | 1.95%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Park Blue CLO Ltd                                                 | Park Blue CLO 2025-VIII Ltd                                       | CUSIP: 70019XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1750000.00   | 0.78%             | 2038-10-25      | Floating      | 9.50%                 | Yes           | 2                  | On Loan: No      |
| Park Blue CLO Ltd                                                 | Park Blue CLO 2025-VIII Ltd                                       | CUSIP: 70019XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $95250.00     | 0.04%             | 2038-10-25      | Floating      | 12.09%                | Yes           | 3                  | On Loan: No      |
| Park Blue CLO Ltd                                                 | Park Blue CLO 2025-VIII Ltd                                       | CUSIP: 70019XAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7700000 | PA      | $7003150.00   | 3.11%             | 2038-10-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| PPM CLO 2 Ltd.                                                    | PPM CLO 2 Ltd                                                     | CUSIP: 69377RAC4<br>LEI: 549300JBW1DIZLGMSY83 | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $166973.98    | 0.07%             | 2037-04-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Ravensdale Park CLO DAC                                           | Ravensdale Park CLO DAC                                           | CUSIP: BCC3KY2J4<br>LEI: 635400MNQH1BW5SAW895 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2320582.83   | 1.03%             | 2038-04-25      | Floating      | 9.47%                 | No            | 2                  | On Loan: No      |
| REG31 2015-1A SUB FEE LETTER                                      | REG31 2015-1A SUB FEE LETTER                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   1571237 | PA      | $37709.69     | 0.02%             | 2038-03-25      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Regatta 31 Funding Ltd.                                           | Regatta 31 Funding Ltd                                            | CUSIP: 758981AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1571237 | PA      | $1421969.49   | 0.63%             | 2038-03-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| REGATTA II FUNDING LP                                             | Regatta II Funding LP                                             | CUSIP: 75886J208<br>LEI: 549300K4VRY4OIWYX443 | Long             | EP               | CORP              | KY        |         0 | PA      | $0.50         | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Regatta XV Funding Ltd.                                           | Regatta XV Funding Ltd                                            | CUSIP: 75888PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $0.00         | 0.00%             | 2031-10-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1645000 | PA      | $-1645000.00  | -0.73%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1445000 | PA      | $-1445000.00  | -0.64%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1421000 | PA      | $-1421000.00  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1276000 | PA      | $-1276000.00  | -0.57%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1421000 | PA      | $-1421000.00  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1524000 | PA      | $-1524000.00  | -0.68%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -708000 | PA      | $-708000.00   | -0.31%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1125000 | PA      | $-1125000.00  | -0.50%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1808000 | PA      | $-1808000.00  | -0.80%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1037000 | PA      | $-1037000.00  | -0.46%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2248000 | PA      | $-2248000.00  | -1.00%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4057000 | PA      | $-4057000.00  | -1.80%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1008000 | PA      | $-1008000.00  | -0.45%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2220000 | PA      | $-2220000.00  | -0.99%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -729000 | PA      | $-729000.00   | -0.32%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -630000 | PA      | $-630000.00   | -0.28%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1153000 | PA      | $-1153000.00  | -0.51%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1228000 | PA      | $-1228000.00  | -0.55%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -688000 | PA      | $-688000.00   | -0.31%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -722000 | PA      | $-722000.00   | -0.32%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -829000 | PA      | $-829000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1339000 | PA      | $-1339000.00  | -0.59%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1031000 | PA      | $-1031000.00  | -0.46%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1743078 | PA      | $-1743078.15  | -0.77%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -606392 | PA      | $-606391.65   | -0.27%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -772424 | PA      | $-772424.25   | -0.34%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1179876 | PA      | $-1179876.20  | -0.52%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -739000 | PA      | $-739000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1465000 | PA      | $-1465000.00  | -0.65%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1411000 | PA      | $-1411000.00  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1532000 | PA      | $-1532000.00  | -0.68%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1256000 | PA      | $-1256000.00  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -918000 | PA      | $-918000.00   | -0.41%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -636000 | PA      | $-636000.00   | -0.28%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -800000 | PA      | $-800000.00   | -0.36%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -531000 | PA      | $-531000.00   | -0.24%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1378000 | PA      | $-1378000.00  | -0.61%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2167000 | PA      | $-2167000.00  | -0.96%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -895000 | PA      | $-895000.00   | -0.40%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -769000 | PA      | $-769000.00   | -0.34%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4242000 | PA      | $-4242000.00  | -1.88%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -516000 | PA      | $-516000.00   | -0.23%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1585000 | PA      | $-1585000.00  | -0.70%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1101000 | PA      | $-1101000.00  | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -734000 | PA      | $-734000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1361000 | PA      | $-1361000.00  | -0.60%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2215000 | PA      | $-2215000.00  | -0.98%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4651000 | PA      | $-4651000.00  | -2.07%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1240000 | PA      | $-1240000.00  | -0.55%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1421000 | PA      | $-1421000.00  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1568000 | PA      | $-1568000.00  | -0.70%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -938000 | PA      | $-938000.00   | -0.42%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -660000 | PA      | $-660000.00   | -0.29%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -805000 | PA      | $-805000.00   | -0.36%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -678000 | PA      | $-678000.00   | -0.30%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1970000 | PA      | $-1970000.00  | -0.88%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3396000 | PA      | $-3396000.00  | -1.51%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1381000 | PA      | $-1381000.00  | -0.61%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -856000 | PA      | $-856000.00   | -0.38%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1835000 | PA      | $-1835000.00  | -0.82%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1589000 | PA      | $-1589000.00  | -0.71%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1197754 | PA      | $-1197753.97  | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -719398 | PA      | $-719398.28   | -0.32%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -988453 | PA      | $-988452.67   | -0.44%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1017841 | PA      | $-1017841.43  | -0.45%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1112286 | PA      | $-1112286.34  | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1783926 | PA      | $-1783926.04  | -0.79%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1059573 | PA      | $-1059572.84  | -0.47%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -922599 | PA      | $-922598.94   | -0.41%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -971415 | PA      | $-971414.98   | -0.43%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -585918 | PA      | $-585918.20   | -0.26%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1561329 | PA      | $-1561328.51  | -0.69%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -582819 | PA      | $-582818.91   | -0.26%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -781744 | PA      | $-781744.14   | -0.35%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1191397 | PA      | $-1191396.85  | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1212911 | PA      | $-1212911.02  | -0.54%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1492629 | PA      | $-1492629.04  | -0.66%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1496682 | PA      | $-1496682.27  | -0.66%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -767770 | PA      | $-767770.17   | -0.34%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1553000 | PA      | $-1553000.00  | -0.69%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -752000 | PA      | $-752000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2147000 | PA      | $-2147000.00  | -0.95%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -529000 | PA      | $-529000.00   | -0.24%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -713000 | PA      | $-713000.00   | -0.32%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -547000 | PA      | $-547000.00   | -0.24%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2520000 | PA      | $-2520000.00  | -1.12%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -5108000 | PA      | $-5108000.00  | -2.27%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1096000 | PA      | $-1096000.00  | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -678000 | PA      | $-678000.00   | -0.30%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1439000 | PA      | $-1439000.00  | -0.64%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2698000 | PA      | $-2698000.00  | -1.20%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2987000 | PA      | $-2987000.00  | -1.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1857000 | PA      | $-1857000.00  | -0.83%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -824000 | PA      | $-824000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2945000 | PA      | $-2945000.00  | -1.31%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2507000 | PA      | $-2507000.00  | -1.11%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2383000 | PA      | $-2383000.00  | -1.06%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1596000 | PA      | $-1596000.00  | -0.71%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -7175000 | PA      | $-7175000.00  | -3.19%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -928000 | PA      | $-928000.00   | -0.41%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1977000 | PA      | $-1977000.00  | -0.88%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -464000 | PA      | $-464000.00   | -0.21%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1128000 | PA      | $-1128000.00  | -0.50%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1362000 | PA      | $-1362000.00  | -0.61%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1894000 | PA      | $-1894000.00  | -0.84%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1253000 | PA      | $-1253000.00  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2596000 | PA      | $-2596000.00  | -1.15%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2893000 | PA      | $-2893000.00  | -1.29%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1023000 | PA      | $-1023000.00  | -0.45%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -784000 | PA      | $-784000.00   | -0.35%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1037000 | PA      | $-1037000.00  | -0.46%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                          | USD REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -877000 | PA      | $-877000.00   | -0.39%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1109654 | PA      | $-1109654.11  | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1219568 | PA      | $-1219567.81  | -0.54%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1551563 | PA      | $-1551562.57  | -0.69%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2242197 | PA      | $-2242197.13  | -1.00%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -821653 | PA      | $-821653.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1711386 | PA      | $-1711385.82  | -0.76%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -858040 | PA      | $-858040.49   | -0.38%            |  |  |  | No            | N/A                | On Loan: No      |
| Goldman Sachs Government Institutional Class                      | Goldman Sachs Government Institutional Class                      | CUSIP: 38141W273<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  15543829 | NS      | $15543829.12  | 6.91%             |  |  |  | No            | 1                  | On Loan: No      |
| SPX Index                                                         | SPX US 11/21/25 P5000                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       195 | NC      | $97500.00     | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| SPX Index                                                         | SPX US 11/21/25 P5075                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        35 | NC      | $19250.00     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| SPX Index                                                         | SPX US 01/16/26 P5150                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        85 | NC      | $184025.00    | 0.08%             |  |  |  | No            | 1                  | On Loan: No      |
| SPX Index                                                         | SPX US 02/20/26 P5000                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       220 | NC      | $600600.00    | 0.27%             |  |  |  | No            | 1                  | On Loan: No      |
| EUR REPO                                                          | EUR REPO                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1269999 | PA      | $-1269999.00  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |

### Signature

**Date Signed:** 2025-11-28

**Name of Applicant:** Ellington Credit Co

**Signature:** /s/ Chris Smernoff

**Name of Signer:** Chris Smernoff

**Title:** CFO