# EDGAR Filing Document

**Accession Number:** 0001535538
**File Stem:** 0001752724-23-017054
**Filing Date:** 2023-1
**Character Count:** 247733
**Document Hash:** cc0246c2582bbc4824e7ad6efe77b9bc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-017054.hdr.sgml**: 20230130

**ACCESSION NUMBER**: 0001752724-23-017054

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230130

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Franklin Alternative Strategies Funds
- **CENTRAL INDEX KEY:** 0001535538
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22641
- **FILM NUMBER:** 23564682

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2000

**MAIL ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906

## Series and Classes Contracts Data

### Franklin K2 Long Short Credit Fund (Series ID: S000049976)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000157807 | Advisor Class | FKLZX           |
| C000157808 | Class A       | FKLSX           |
| C000157809 | Class C       | FKLCX           |
| C000157810 | Class R       | FKLRX           |
| C000157811 | Class R6      | FKLQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Alternative Strategies Funds

- **b. Investment Company Act file number:** 811-22641

- **c. CIK number of Registrant:** 0001535538

- **d. LEI of Registrant:** 549300QVPTHF1B1GGL64

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

  - **Street Address 1:** One Franklin Parkway

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94403-1906

  - **Telephone number:** 650-312-2000

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

- **a. Name of Series:** Franklin K2 Long Short Credit Fund

- **b. EDGAR series identifier (if any):** S000049976

- **c. LEI of Series:** 549300N9C1E4TELF5J51

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $77410579.42

**Total Liabilities:** $9552067.69

**Net Assets:** $67858511.73

**Delayed Delivery Securities:** $151397.36

**Cash Not Reported:** $4839380.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1.12576000 | **1-Year:** 560.82622000 | **5-Year:** 1627.76077000 | **10-Year:** 2410.68717000 | **30-Year:** 758.98991000

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

- **3-Month:** 44.46473000 | **1-Year:** 3190.22692000 | **5-Year:** 7141.34213000 | **10-Year:** 1360.34863000 | **30-Year:** 52.16303000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000157810 | -2.64%               | -0.54%               | 0.43%                |
| Class ID C000157809 | -2.62%               | -0.65%               | 0.43%                |
| Class ID C000157807 | -2.51%               | -0.53%               | 0.54%                |
| Class ID C000157808 | -2.58%               | -0.53%               | 0.43%                |
| Class ID C000157811 | -2.58%               | -0.53%               | 0.43%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-679199.85              | $-2011570.95                               |
| Month 2  | $-929198.04              | $698029.74                                 |
| Month 3  | $-506896.43              | $1210594.27                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-41.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON ACQUISITION CO-CL A               | JACKSON ACQUISITION A -CW28                                                     | CUSIP: 46653C114<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       880 | NS      | $34.23        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT         | EURO STOXX 50 INDEX                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |        -4 | NC      | $-162.33      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $13860.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES & MARKET                  | Advantage Sales & Marketing Inc                                                 | CUSIP: 00775PAA5<br>LEI: 549300T4O24KQDED1182 | Long             | DBT              | CORP              | US        |     94000 | PA      | $73743.00     | 0.11%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OLDCASTLE BLDG R 04/29/27                 | OLDCASTLE BLDG R 04/29/27                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     57435 | PA      | $47671.05     | 0.07%             | 2027-04-29      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| APOLLO CMMRL REAL EST FI                  | Apollo Commercial Real Estate Finance Inc                                       | CUSIP: 03762UAD7<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              | CORP              | US        |    355000 | PA      | $283231.43    | 0.42%             | 2029-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GORES TECHNOLOGY PRTNR II-A               | GORES TECH PARTN II A -CW27                                                     | CUSIP: 38287L115<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        68 | NS      | $0.35         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BIGHORN PERMIAN RSRCS MEM                 | BIGHORN PERMIAN RSRCS MEM                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1346 | NS      | $34996.00     | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| MEDLINE BORROWER LP                       | Medline Borrower LP                                                             | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     96000 | PA      | $82644.96     | 0.12%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS KAWASAKI HEAVY                                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1112.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                      | FREMF 2018-KF52 Mortgage Trust                                                  | CUSIP: 30297KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    402167 | PA      | $396422.61    | 0.58%             | 2028-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13033.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - CHF                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4228.88      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $80436.43     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | DICK'S SPORTING GOODS INC                                                       | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |        20 | NC      | $200.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CSC HOLDINGS LLC                          | CSC Holdings LLC                                                                | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     34000 | PA      | $30480.24     | 0.04%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.          | CME E-Mini NASDAQ 100 Index                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        -3 | NC      | $-15675.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Impac CMB Trust                           | Impac CMB Trust Series 2005-2                                                   | CUSIP: 45254NNN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52747 | PA      | $46851.15     | 0.07%             | 2035-04-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS KAWASAKI HEAVY                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-556.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES ACQUISITION CORP-A                   | ARES ACQUISITION CL A -CW27                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       566 | NS      | $42.51        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Banc of America Mortgage Secur            | Banc of America Mortgage 2005-L Trust                                           | CUSIP: 05949CPD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87372 | PA      | $72916.01     | 0.11%             | 2036-01-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-18292.36    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS AIR FRANCE-KLM                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-3587.78     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| athenahealth, 02/01/2029                  | athenahealth, 02/01/2029                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1923 | PA      | $1760.54      | 0.00%             | 2029-02-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                               | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |         1 | NC      | $-2352.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $1321.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRTKL                                     | FRTKL 2021-SFR1                                                                 | CUSIP: 30322DAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    990000 | PA      | $828141.93    | 1.22%             | 2038-09-17      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu            | JPMBB Commercial Mortgage Securities Trust 2015-C31                             | CUSIP: 46644YBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702000 | PA      | $583421.11    | 0.86%             | 2048-08-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                  | Northern Oil and Gas Inc                                                        | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20528.97     | 0.03%             | 2028-03-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                     | Argentine Republic Government International Bond                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1670495 | PA      | $392586.64    | 0.58%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     48800 | PA      | $45750.00     | 0.07%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE                   | Global Medical Response Inc                                                     | CUSIP: 37960BAA3<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |    236000 | PA      | $178013.62    | 0.26%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $71.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                     | Bath & Body Works Inc                                                           | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     66000 | PA      | $61875.00     | 0.09%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| UNITI GRP/UNITI HLD/CSL                   | Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC                     | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    241000 | PA      | $174315.30    | 0.26%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMC ENTERTAINMENT HLDGS                   | AMC Entertainment Holdings Inc                                                  | CUSIP: 00165CAP9<br>LEI: 549300ZO77UNR6NRBR11 | Long             | DBT              | CORP              | US        |    242000 | PA      | $90896.41     | 0.13%             | 2026-06-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FORUM MERGER IV CORP-A                    | FORUM MERGER IV CL A -CW27                                                      | CUSIP: 349875112<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       206 | NS      | $4.76         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS LOUIS DREYFUS                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-4573.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $880.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pegasus Acquisition Co Europe             | Pegasus Acquisition Co Europe BV                                                | CUSIP: 000000000<br>LEI: 8945002KP07Y9J48EM22 | Long             | EC               | CORP              | NL        |      1768 | NS      | $17993.07     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Stellar Jay Ireland Dac                   | Stellar Jay Ireland DAC                                                         | CUSIP: 858558AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946940 | PA      | $779641.08    | 1.15%             | 2041-10-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Telecom Italia SpA/Milano                 | Telecom Italia SpA/Milano                                                       | CUSIP: 000000000<br>LEI: 549300W384M3RI3VXU42 | Long             | EC               | CORP              | IT        |     61000 | NS      | $13308.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF                                     | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |     -1000 | NC      | $-2000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TERACT SA                                 | TRACT FP SA-CW25                                                                | CUSIP: 000000000<br>LEI: 969500HQ6PWNILD1HE63 | Long             | EC               | CORP              | FR        |      1165 | NS      | $24.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                               | OCP CLO 2020-8R Ltd                                                             | CUSIP: 670898AJ4<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $923029.42    | 1.36%             | 2032-01-17      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - HUF                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1975.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S            | BBCMS 2019-BWAY Mortgage Trust                                                  | CUSIP: 05492NAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1675273.40   | 2.47%             | 2034-11-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                 | CDS AMERICAN AIRLINE                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $609.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                    | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC           | CUSIP: 013092AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     47000 | PA      | $43534.69     | 0.06%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor            | Structured Adjustable Rate Mortgage Loan Trust Series 2004-4                    | CUSIP: 86359BPE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443059 | PA      | $367222.10    | 0.54%             | 2034-04-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| CITRIX TLB SOFR+ 03/30/29                 | CITRIX TLB SOFR+ 03/30/29                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     79921 | PA      | $72799.79     | 0.11%             | 2029-03-30      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                      | LifePoint Health Inc                                                            | CUSIP: 53219LAU3<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    187000 | PA      | $110014.91    | 0.16%             | 2029-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CORELOGIC INC                             | CoreLogic Inc                                                                   | CUSIP: 21871DAD5<br>LEI: 54930086CD8K2UIL0516 | Long             | DBT              | CORP              | US        |    239000 | PA      | $176693.90    | 0.26%             | 2028-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 1375209 BC LTD                            | 1375209 BC Ltd                                                                  | CUSIP: 68251PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    171000 | PA      | $168862.50    | 0.25%             | 2028-01-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                   | Zayo Group Holdings Inc                                                         | CUSIP: 98919VAB1<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |     92000 | PA      | $50076.06     | 0.07%             | 2028-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| RIVERBED TECH L+800 12/26                 | RIVERBED TECH L+800 12/26                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     88477 | PA      | $37412.91     | 0.06%             | 2026-12-08      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS MITSUI OSK LINES                                                            | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-195.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                     | Tenet Healthcare Corp                                                           | CUSIP: 88033GCX6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Short            | DBT              | CORP              | US        |    -69000 | PA      | $-66201.36    | -0.10%            | 2027-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                 | Ball Corp                                                                       | CUSIP: 058498AY2<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    106000 | PA      | $109741.80    | 0.16%             | 2028-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                  | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Short            | DBT              | NUSS              | IT        |    -92000 | PA      | $-74684.03    | -0.11%            | 2032-06-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                  | Vistra Operations Co LLC                                                        | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Short            | DBT              | CORP              | US        |    -12000 | PA      | $-10749.59    | -0.02%            | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ZIMMER ENERGY TRANSITION -A               | ZIMMER ENERGY TRANS -A -CW23                                                    | CUSIP: 989570114<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       703 | NS      | $90.58        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS ICELAND BONDCO                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $2263.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERCOM MEDIA CORP                       | Audacy Capital Corp                                                             | CUSIP: 29365DAB5<br>LEI: 549300S5JUSXRHNCHD80 | Long             | DBT              | CORP              | US        |    636000 | PA      | $144632.76    | 0.21%             | 2029-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5865.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-32470.53    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-16088.74    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EP INFRASTRUCTURE AS                      | EP Infrastructure AS                                                            | CUSIP: 000000000<br>LEI: 315700I4J1M1NKGWWY89 | Long             | DBT              | CORP              | CZ        |    100000 | PA      | $83932.35     | 0.12%             | 2026-07-30      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ACOSTA EXIT COMMON STOCK                  | ACOSTA EXIT COMMON STOCK                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       923 | NS      | $7568.60      | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ALTICE USA TLB 01/15/26                   | ALTICE USA TLB 01/15/26                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7032 | PA      | $6720.64      | 0.01%             | 2026-01-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS AMERICAN AIRLINE                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $1163.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP HOLDG                  | Cloud Software Group Holdings Inc                                               | CUSIP: 88632QAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $244976.53    | 0.36%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                    | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAD9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     58000 | PA      | $49312.35     | 0.07%             | 2026-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS STELLANTIS NV SNR SE                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1964.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UPFIELD RC E+300 01/02/25                 | UPFIELD RC E+300 01/02/25                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |     67209 | PA      | $58573.22     | 0.09%             | 2025-01-02      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    353000 | PA      | $333030.65    | 0.49%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-1470.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $553.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-119.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                        | Meta Platforms Inc                                                              | CUSIP: 30303M8B1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    294000 | PA      | $276482.55    | 0.41%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-17718.48    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -13600 | PA      | $-14133.38    | -0.02%            | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                        | Dominican Republic International Bond                                           | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    300000 | PA      | $223875.00    | 0.33%             | 2060-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                           | Impac CMB Trust Series 2004-4                                                   | CUSIP: 45254NJF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115477 | PA      | $115691.89    | 0.17%             | 2034-09-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| ACOSTA SRS A CVT PREF ST                  | ACOSTA SRS A CVT PREF ST                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1066 | NS      | $46797.40     | 0.07%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $786.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS SOTBANK GROUP                                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3951.89      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS AIR FRANCE-KLM                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $779.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                  | MPH Acquisition Holdings LLC                                                    | CUSIP: 553283AC6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |    400000 | PA      | $281610.00    | 0.41%             | 2028-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LIONS GATE CAPITAL HOLD                   | Lions Gate Capital Holdings LLC                                                 | CUSIP: 53627NAE1<br>LEI: 549300MWJHNLR35C0837 | Long             | DBT              | CORP              | US        |    302000 | PA      | $196698.64    | 0.29%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    235000 | PA      | $160332.20    | 0.24%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOL                  | Aston Martin Capital Holdings Ltd                                               | CUSIP: 04625HAG4<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |    400000 | PA      | $385700.00    | 0.57%             | 2025-11-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| REALOGY GROUP/CO-ISSUER                   | Realogy Group LLC / Realogy Co-Issuer Corp                                      | CUSIP: 75606DAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    122000 | PA      | $86132.00     | 0.13%             | 2026-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Catskill Park CLO, LTD.                   | Catskill Park CLO Ltd                                                           | CUSIP: 149420AJ0<br>LEI: 549300QY7L9WFVGWC115 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $933893.43    | 1.38%             | 2029-04-20      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                   | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $521.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -355100 | PA      | $-328966.86   | -0.48%            | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                  | Bundesrepublik Deutschland Bundesanleihe                                        | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     76500 | PA      | $66823.94     | 0.10%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                    | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     63000 | PA      | $40955.20     | 0.06%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hedosophia European Growth                | Hedosophia European Growth                                                      | CUSIP: 000000000<br>LEI: 549300Q5OZTF68OGPY72 | Long             | EC               | CORP              | GB        |      1142 | NS      | $11408.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS AMERICAN AIRLINE                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $23.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS LLOYDS BANKING GROUP PLC                                                    | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $975.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1749.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAREDO PETROLEUM INC                      | Laredo Petroleum Inc                                                            | CUSIP: 516806AG1<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |     12000 | PA      | $12158.82     | 0.02%             | 2028-01-15      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11000 | PA      | $11168.44     | 0.02%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS CECONOMY AG                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $385.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | TRS ENERGY TRANSFER LP                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |         1 | NC      | $1458.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus            | Suntrust Alternative Loan Trust Series 2005-1F                                  | CUSIP: 86789MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78770 | PA      | $66754.78     | 0.10%             | 2035-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT         | EURO STOXX 50 INDEX                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         3 | NC      | $81.17        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $2692.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                     | Lehman Mortgage Trust 2005-3                                                    | CUSIP: 52520MEB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53799 | PA      | $40327.82     | 0.06%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| FAST ACQUISITION CORP II-A                | FAST ACQUISITION II A -CW26                                                     | CUSIP: 311874119<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        53 | NS      | $35.58        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GLENFARNE MERGER CORP-A                   | GLENFARNE MERGER CL A -CW27                                                     | CUSIP: 378579114<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        95 | NS      | $0.22         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                    | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    278000 | PA      | $243365.20    | 0.36%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2786.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS RAKUTEN GROUP                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1319.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS LLOYDS BANKING GROUP PLC                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $2608.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS KOHLS CORP                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $2989.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITRIX TLB SOFR+ 03/20/29                 | CITRIX TLB SOFR+ 03/20/29                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     12531 | PA      | $11414.72     | 0.02%             | 2029-03-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                 | S&P 500 INDEX                                                                   | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |         4 | NC      | $16160.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC Mortgage-Backed Trust Series 2006-4                                        | CUSIP: 12637HAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718280 | PA      | $292763.33    | 0.43%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS CARNIVAL CORP                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3902.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    120000 | PA      | $103581.60    | 0.15%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LENDINGTREE INC                           | LendingTree Inc                                                                 | CUSIP: 52603BAD9<br>LEI: 549300ISY5YHUJZTON08 | Long             | DBT              | CORP              | US        |     89000 | PA      | $63830.80     | 0.09%             | 2025-07-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS CARNIVAL CORP                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $7804.02      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3871.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                   | DraftKings Holdings Inc                                                         | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |    185000 | PA      | $119880.00    | 0.18%             | 2028-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                            | Amazon.com Inc                                                                  | CUSIP: 023135BU9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    470000 | PA      | $297894.99    | 0.44%             | 2060-06-03      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1309.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                   | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAJ0<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -71000 | PA      | $-64343.40    | -0.09%            | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                    | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     57000 | PA      | $49150.00     | 0.07%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS CALPINE CORP                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $2531.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Twin Ridge Capital Acquisition            | Twin Ridge Capital Acquisition Corp                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2202 | NS      | $22086.06     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS CECONOMY AG                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $385.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     79800 | PA      | $68733.98     | 0.10%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Owl Rock Capital Corp                     | Owl Rock Capital Corp                                                           | CUSIP: 69121K104<br>LEI: 2549000BD79OOCPF2L94 | Short            | EC               | CORP              | US        |    -19797 | NS      | $-255579.27   | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| FARM 2021-1 Mortgage Trust                | FARM 21-1 Mortgage Trust                                                        | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    896953 | PA      | $650340.58    | 0.96%             | 2051-07-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FT TRI PARTY                              | FT TRI PARTY                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               | CORP              | US        |    467501 | PA      | $467500.99    | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU            | WFRBS Commercial Mortgage Trust 2014-C22                                        | CUSIP: 92890KAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1680261.60   | 2.48%             | 2057-09-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                   | CDS UNITED AIRLINES HOLDINGS INC                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-360.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS KOHLS CORP                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2989.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -79800 | PA      | $-68733.98    | -0.10%            | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5620.97      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $25.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-79.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPOTIFY USA INC                           | Spotify USA Inc                                                                 | CUSIP: 84921RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    185000 | PA      | $148832.50    | 0.22%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF                                     | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |      1000 | NC      | $4000.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS US STEEL CORP                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-51.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T            | Alternative Loan Trust 2005-73CB                                                | CUSIP: 12668AT70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109947 | PA      | $103694.74    | 0.15%             | 2036-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                               | Netflix Inc                                                                     | CUSIP: 64110LAV8<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    278000 | PA      | $262969.94    | 0.39%             | 2030-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Obotech Acquisition SE                    | Obotech Acquisition SE                                                          | CUSIP: 000000000<br>LEI: 222100W9V7IC82G7I598 | Long             | EC               | CORP              | LU        |      1240 | NS      | $12606.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MUSIC ACQUISITION CORP/THE-A              | Music Acquisition Corp/The                                                      | CUSIP: 62752R118<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       795 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37950.19     | 0.06%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS REPUBLIC OF ITALY                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-1221.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T            | Wells Fargo Alternative Loan 2007-PA3 Trust                                     | CUSIP: 94985GAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88595 | PA      | $74237.86     | 0.11%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CALLON PETROLEUM                          | Callon Petroleum Co                                                             | CUSIP: 13123XBD3<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |     36000 | PA      | $35608.86     | 0.05%             | 2028-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3311.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPREE ACQUISITION CORP 1 LTD              | SPREE ACQUISITION 1 LTD -23                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IL        |       909 | NS      | $27.36        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     73000 | PA      | $67252.82     | 0.10%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                | Carvana Co                                                                      | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    323000 | PA      | $137654.53    | 0.20%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2368.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS ARCELORMITTAL                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-6981.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                   | HCA Inc                                                                         | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     88000 | PA      | $71079.58     | 0.10%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS NIPPON PAPER                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $867.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS NEXT PLC                                                                    | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $406.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS HP INC                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $520.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                 | Prosus NV                                                                       | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $72659.23     | 0.11%             | 2034-01-19      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| EUSTREAM AS                               | Eustream AS                                                                     | CUSIP: 000000000<br>LEI: 31570020000000003378 | Long             | DBT              | CORP              | SK        |    100000 | PA      | $68585.99     | 0.10%             | 2027-06-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Connecticut Avenue Securities Trust 2022-R07                                    | CUSIP: 20754MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13532 | PA      | $13838.35     | 0.02%             | 2042-06-25      | Floating      | 10.35%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS LLOYDS BANKING GROUP PLC                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $341.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TCW SPECIAL PURPOSE ACQ-CL A              | TCW SPECIAL PURPOSE AC- CW28                                                    | CUSIP: 87301L114<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       612 | NS      | $0.37         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1841.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TARGET GLOBAL ACQUISITION -A              | TARGET GLOBAL ACQ I -CW27                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IL        |      1043 | NS      | $78.23        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS TDC HOLDING                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $214.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-654.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS US STEEL CORP                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-99.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNT COS INC                              | Hunt Cos Inc                                                                    | CUSIP: 445587AE8<br>LEI: 549300ODPWDNCH5TKM49 | Long             | DBT              | CORP              | US        |    252000 | PA      | $209415.59    | 0.31%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru            | IndyMac INDX Mortgage Loan Trust 2006-AR12                                      | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136634 | PA      | $117743.99    | 0.17%             | 2046-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    228000 | PA      | $186559.07    | 0.27%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                             | DISH DBS Corp                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -33000 | PA      | $-27690.80    | -0.04%            | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -25000 | PA      | $-24051.76    | -0.04%            | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                    | Oman Government International Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    216000 | PA      | $198548.71    | 0.29%             | 2048-01-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1254.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                               | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    109000 | PA      | $114377.19    | 0.17%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS CECONOMY AG                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $770.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    193500 | PA      | $160907.34    | 0.24%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1003.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAR US BORROWER LLC                     | Polar US Borrower LLC / Schenectady International Group Inc                     | CUSIP: 73103PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $209417.74    | 0.31%             | 2026-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    107300 | PA      | $108678.97    | 0.16%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                        | Howard Hughes Corp/The                                                          | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    176000 | PA      | $159465.68    | 0.23%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF                                     | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |       138 | NC      | $828.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-983.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                     | Universal Health Services Inc                                                   | CUSIP: 913903AX8<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     88000 | PA      | $75571.48     | 0.11%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS MITSUI OSK LINES                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-182.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-156.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR FRANCE-KLM                            | Air France-KLM                                                                  | CUSIP: 000000000<br>LEI: 969500AQW31GYO8JZD66 | Long             | DBT              | CORP              | FR        |      9222 | PA      | $159292.30    | 0.23%             | 2026-03-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                              | CDS SOTBANK GROUP                                                               | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $1057.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AFRICAN GOLD ACQUISITION C-A              | AFRICAN GOLD ACQUISITION CW                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1393 | NS      | $27.86        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3476.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-569.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | SOFTBANK GROUP CORP                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |      1180 | NC      | $757.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS GROUPE CASINO                                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-618.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10366.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS NIPPON STEEL                                                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1200.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust            | Morgan Stanley Capital I Trust 2018-BOP                                         | CUSIP: 61768FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1128846.60   | 1.66%             | 2035-06-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I             | RFMSI Series 2007-SA2 Trust                                                     | CUSIP: 74958XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704743 | PA      | $186788.98    | 0.28%             | 2037-04-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-1176.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF                                 | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |        14 | NC      | $8330.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NASDAQ STOCKHOLM AKTIEBOLAG               | H & M HENNES & MAURITZ AB                                                       | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               | CORP              | SE        |         9 | NC      | $274.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS AMERICAN AIRLINE                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $314.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VARSITY BRANDS HOLDING                    | Varsity Brands Holding Co Inc                                                   | CUSIP: 000000000<br>LEI: 549300YOKDS0ZSYJRX81 | Long             | LON              | CORP              | US        |      3522 | PA      | $3388.73      | 0.00%             | 2024-12-16      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| SATELLOGIC INC-A                          | SATELLOGIC INC-A -23                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | UY        |       603 | NS      | $179.51       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                       | STACR Trust 2018-HRP1                                                           | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |   1913138 | PA      | $1985758.74   | 2.93%             | 2043-05-25      | Floating      | 15.77%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS US STEEL CORP                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-47.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                   | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BS0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    130000 | PA      | $132119.00    | 0.19%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                           | Impac CMB Trust Series 2005-8                                                   | CUSIP: 45254NRY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66692 | PA      | $58629.93     | 0.09%             | 2036-02-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT         | EURO STOXX 50 INDEX                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         4 | NC      | $536.95       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VMC Finance LLC                           | VMC Finance 2019-FL3 LLC                                                        | CUSIP: 91834PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880961 | PA      | $838561.38    | 1.24%             | 2036-09-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS MITSUI OSK LINES                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-182.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PELOTON INTERACTIVE INC                   | Peloton Interactive Inc                                                         | CUSIP: 70614WAB6<br>LEI: 5493002YS021166W0339 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35601.08     | 0.05%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AGILE GROWTH CORP-A                       | AGILE GROWTH CORP -CW27                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       382 | NS      | $5.04         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CARVANA CO                                | Carvana Co                                                                      | CUSIP: 146869AH5<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    129000 | PA      | $43354.86     | 0.06%             | 2029-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                  | JP Morgan Mortgage Trust 2006-A5                                                | CUSIP: 46629CAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162882 | PA      | $129011.88    | 0.19%             | 2036-08-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| BAUSCH & 05/10/27                         | BAUSCH & 05/10/27                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     56025 | PA      | $53266.24     | 0.08%             | 2027-05-10      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust  | CUSIP: 939344AM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183947 | PA      | $155457.65    | 0.23%             | 2036-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| EPIC CRUDE TLB L 03/02/26                 | EPIC CRUDE TLB L 03/02/26                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     12811 | PA      | $11330.62     | 0.02%             | 2026-03-02      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1484.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS US STEEL CORP                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-21.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     56900 | PA      | $41108.03     | 0.06%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| S-JETS Limited                            | S-Jets 2017-1 Ltd                                                               | CUSIP: 784309AA4<br>LEI: 635400FR77IW5YEET913 | Long             | ABS-O            | CORP              | BM        |   2138769 | PA      | $1646761.22   | 2.43%             | 2042-08-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    281000 | PA      | $175834.56    | 0.26%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| K HOVNANIAN ENTERPRISES                   | K Hovnanian Enterprises Inc                                                     | CUSIP: 48251UAF5<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |    446000 | PA      | $440103.88    | 0.65%             | 2026-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | TESLA INC                                                                       | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |        23 | NC      | $6187.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CARVANA CO                                | Carvana Co                                                                      | CUSIP: 146869AB8<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    277000 | PA      | $125133.37    | 0.18%             | 2025-10-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| DHC ACQUISITION CORP-A                    | DHC ACQUISITION CORP A -CW27                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        71 | NS      | $0.72         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OBOTECH ACQUISITION SE - A                | OBOTECH ACQUISITION SE -CW                                                      | CUSIP: 000000000<br>LEI: 222100W9V7IC82G7I598 | Long             | EC               | CORP              | LU        |       413 | NS      | $42.98        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                 | CDS AMERICAN AIRLINE                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $55.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS RAKUTEN GROUP                                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $440.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                        | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    622000 | PA      | $134588.36    | 0.20%             | 2034-09-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                  | Republic of South Africa Government Bond                                        | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   6839116 | PA      | $419723.14    | 0.62%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS BMW FINANCE NV                                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-851.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25000 | PA      | $24051.76     | 0.04%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                  | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    381000 | PA      | $310515.00    | 0.46%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-63.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20429 | PA      | $18414.49     | 0.03%             | 2041-10-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                 | CARVANA CO                                                                      | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |        11 | NC      | $528.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KOHL'S CORPORATION                        | Kohl's Corp                                                                     | CUSIP: 500255AV6<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |    156000 | PA      | $103527.83    | 0.15%             | 2045-07-17      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GUITAR CENTER INC                         | Guitar Center Inc                                                               | CUSIP: 40204BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    151000 | PA      | $132310.73    | 0.19%             | 2026-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | ALIBABA GROUP HOLDING LTD                                                       | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |        13 | NC      | $9165.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                         | IRS USD                                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $81621.09     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                               | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |         1 | NC      | $-4116.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AETHON UN/AETHIN UN FIN                   | Aethon United BR LP / Aethon United Finance Corp                                | CUSIP: 00810GAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     74000 | PA      | $73725.89     | 0.11%             | 2026-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                     | Scripps Escrow II Inc                                                           | CUSIP: 81105DAB1<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |   -220000 | PA      | $-179872.00   | -0.27%            | 2031-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                       | Medline Borrower LP                                                             | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Short            | DBT              | CORP              | US        |    -96000 | PA      | $-78348.00    | -0.12%            | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                           | Impac CMB Trust Series 2005-4                                                   | CUSIP: 45254NPN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138076 | PA      | $109801.99    | 0.16%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS ICELTD                                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1509.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                    | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24000 | PA      | $23797.77     | 0.04%             | 2024-05-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    138000 | PA      | $139698.05    | 0.21%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS AIR FRANCE-KLM                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $324.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12407.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                  | Service Properties Trust                                                        | CUSIP: 44106MAR3<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    124000 | PA      | $123070.00    | 0.18%             | 2023-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERSCEND ESCROW CORP                      | Verscend Escrow Corp                                                            | CUSIP: 92535WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    138000 | PA      | $138234.60    | 0.20%             | 2026-08-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| UPFIELD RC E+300 01/02/25                 | UPFIELD RC E+300 01/02/25                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |    147323 | PA      | $128392.06    | 0.19%             | 2025-01-02      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Short            | DBT              | CORP              | US        |   -143000 | PA      | $-128883.71   | -0.19%            | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF TURKEY                        | Turkey Government International Bond                                            | CUSIP: 900123AW0<br>LEI: 5493000PCHOG3B6S3Q85 | Short            | DBT              | NUSS              | TR        |   -131000 | PA      | $-131922.24   | -0.19%            | 2025-02-05      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-137.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    881500 | PA      | $854676.23    | 1.26%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | TRS ENERGY TRANSFER LP                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DE               | CORP              | GB        |         1 | NC      | $2848.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $690.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RIVERBED SRS A PREF SHRS                  | RIVERBED SRS A PREF SHRS                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2381 | NS      | $2381.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.             | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5898.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8005.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ELLIOTT OPPORTUNITY II COR-A              | ELLIOTT OPPORTUNITY II-CW23                                                     | CUSIP: 000000000<br>LEI: 549300796AMMETN58424 | Long             | EC               | CORP              | US        |       333 | NS      | $45.79        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS GOVERNMENT OF JAPAN                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-880.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg            | STARM Mortgage Loan Trust 2007-2                                                | CUSIP: 78473TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42852 | PA      | $24723.59     | 0.04%             | 2037-04-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | BLACKSTONE INC                                                                  | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |        18 | NC      | $8874.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Adjustable Rate M            | Bear Stearns ARM Trust 2002-11                                                  | CUSIP: 07384MSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1461 | PA      | $1136.53      | 0.00%             | 2033-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -56900 | PA      | $-41108.03    | -0.06%            | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2718.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS GOVERNMENT OF JAPAN                                                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-880.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $56901.00     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS CIE DE ST GOBAIN                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-108.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS CARNIVAL CORP                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3902.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                            | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    235000 | PA      | $162197.43    | 0.24%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                 | TEGNA Inc                                                                       | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    185000 | PA      | $174712.15    | 0.26%             | 2028-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS LANXESS AG                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $7690.24      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                  | Altice France Holding SA                                                        | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $158374.00    | 0.23%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA FUNDI                  | Finance of America Funding LLC                                                  | CUSIP: 317386AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $304089.87    | 0.45%             | 2025-11-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                   | Frontier Communications Holdings LLC                                            | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    266000 | PA      | $275493.54    | 0.41%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS CARNIVAL CORP                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $7804.02      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS REPUBLIC OF SOUTH AFRICA                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $16245.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1480.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS NIPPON PAPER                                                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1735.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS KOBE STEEL LTD                                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-4.97        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-88.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAYFAIR INC                               | Wayfair Inc                                                                     | CUSIP: 94419LAM3<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |     33000 | PA      | $21367.50     | 0.03%             | 2025-10-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR US NEWCO INC                  | TK Elevator US Newco Inc                                                        | CUSIP: 92537RAA7<br>LEI: 549300C2AFWPAYWS5574 | Long             | DBT              | CORP              | US        |    264000 | PA      | $239974.68    | 0.35%             | 2027-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Coinbase Global Inc                       | Coinbase Global Inc                                                             | CUSIP: 19260Q107<br>LEI: 5493004G3J2SC154DU06 | Short            | EC               | CORP              | US        |      -900 | NS      | $-41157.00    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC                               | Federal Home Loan Mortgage Corp                                                 | CUSIP: 313400772<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | EP               | USGSE             | US        |      9100 | NS      | $29711.50     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS KOBE STEEL LTD                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-9.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS SIMON PROP GP                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $53.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Tr            | 1211 Avenue of the Americas Trust 2015-1211                                     | CUSIP: 90117PAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $123581.13    | 0.18%             | 2035-08-10      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS NIPPON STEEL                                                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-480.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                            | Open Text Corp                                                                  | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     80000 | PA      | $80196.80     | 0.12%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                         | Rakuten Group Inc                                                               | CUSIP: 75102WAD0<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |     88000 | PA      | $86728.16     | 0.13%             | 2024-11-30      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC                               | Federal Home Loan Mortgage Corp                                                 | CUSIP: 313400624<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | EP               | USGSE             | US        |      2420 | NS      | $5324.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Marathon CLO LTD                          | Marathon CLO VI Ltd                                                             | CUSIP: 56576VBC0<br>LEI: 5493002F390212ZEF773 | Long             | ABS-CBDO         | CORP              | KY        |    980000 | PA      | $949174.13    | 1.40%             | 2028-05-13      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                            | BCAP LLC 2010-RR1 Trust                                                         | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178602 | PA      | $140478.18    | 0.21%             | 2037-03-26      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                          | CSC Holdings LLC                                                                | CUSIP: 000000000<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |     31253 | PA      | $30018.94     | 0.04%             | 2025-07-17      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-451.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Earthstone Energy Inc                     | Earthstone Energy Inc                                                           | CUSIP: 27032D304<br>LEI: 54930081UTV7CK45XG14 | Long             | EC               | CORP              | US        |        31 | NS      | $491.04       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTR Adjustable Rate Mortgage            | MASTR Adjustable Rate Mortgages Trust 2004-10                                   | CUSIP: 576433TB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418901 | PA      | $352142.52    | 0.52%             | 2034-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| THE REALREAL INC                          | RealReal Inc/The                                                                | CUSIP: 88339PAD3<br>LEI: 549300O00VUGT4H1PE90 | Long             | DBT              | CORP              | US        |     55000 | PA      | $20625.00     | 0.03%             | 2028-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS NIPPON PAPER                                                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $216.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS CIE DE ST GOBAIN                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-180.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                 | IRS PLN                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-941.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| K HOVNANIAN RC 12/28/22                   | K HOVNANIAN RC 12/28/22                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     41329 | PA      | $41329.00     | 0.06%             | 2024-06-30      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - HUF                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $476.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                  | Rockies Express Pipeline LLC                                                    | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     22000 | PA      | $19822.62     | 0.03%             | 2029-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $20.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                  | British Telecommunications PLC                                                  | CUSIP: 111021AM3<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198360.12    | 0.29%             | 2023-12-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| K HOVNANIAN ENTERPRISES                   | K Hovnanian Enterprises Inc                                                     | CUSIP: 48251UAB4<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245028.75    | 0.36%             | 2026-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                     | Bath & Body Works Inc                                                           | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     35000 | PA      | $31722.78     | 0.05%             | 2035-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MDH ACQUISITION CORP -CL A                | MDH ACQ CL A -CW28                                                              | CUSIP: 55283P114<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       357 | NS      | $1.43         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | BLACKSTONE INC                                                                  | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |       -18 | NC      | $-3996.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                              | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $76.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MOSS CREEK RESOURCES HLD                  | Moss Creek Resources Holdings Inc                                               | CUSIP: 61965RAA3<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |     46000 | PA      | $42862.11     | 0.06%             | 2026-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                    | Oman Government International Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    200000 | PA      | $199841.80    | 0.29%             | 2031-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                     | Bausch Health Cos Inc                                                           | CUSIP: 91911KAN2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    163000 | PA      | $137958.31    | 0.20%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AG ISSUER LLC                             | AG Issuer LLC                                                                   | CUSIP: 00119LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    248000 | PA      | $231654.93    | 0.34%             | 2028-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF IRAQ                          | Iraq International Bond                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | IQ        |    171875 | PA      | $154689.22    | 0.23%             | 2028-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                          | Organon & Co / Organon Foreign Debt Co-Issuer BV                                | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $315417.50    | 0.46%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $358.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-3038.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-552.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $993.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $15.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $25.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                                | Federal National Mortgage Association                                           | CUSIP: 313586794<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | EP               | USGSE             | US        |      8600 | NS      | $35690.00     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | H & M HENNES & MAURITZ AB                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |        15 | NC      | $435.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLEGIANT TRAVEL CO                       | Allegiant Travel Co                                                             | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17556.03     | 0.03%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $28.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-654.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                   | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BR2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     81000 | PA      | $83009.21     | 0.12%             | 2029-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3868.21      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-120.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $537.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS FORD MOTOR CREDIT CO LLC                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-8321.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                          | Vmed O2 UK Financing I PLC                                                      | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    248000 | PA      | $238748.08    | 0.35%             | 2031-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                | AMSR 2021-SFR1 Trust                                                            | CUSIP: 00179DAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $397166.35    | 0.59%             | 2038-06-17      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                  | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     61000 | PA      | $61895.79     | 0.09%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -181600 | PA      | $-183834.53   | -0.27%            | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS MITSUI OSK LINES                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-91.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | META PLATFORMS INC                                                              | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |        23 | NC      | $8165.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                    | Eskom Holdings SOC Ltd                                                          | CUSIP: 000000000<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |    400000 | PA      | $377066.00    | 0.56%             | 2025-02-11      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS FORD MOTOR CREDIT CO LLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1161.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                        | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    208000 | PA      | $63825.64     | 0.09%             | 2041-08-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS MITSUI OSK LINES                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-91.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EMBARQ CORP                               | Embarq Corp                                                                     | CUSIP: 29078EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    138000 | PA      | $58869.42     | 0.09%             | 2036-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS CARNIVAL CORP                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3902.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET                  | Smyrna Ready Mix Concrete LLC                                                   | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |    354000 | PA      | $315704.28    | 0.47%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1157.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                 | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $135703.43    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS ARCELORMITTAL                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1642.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHPORT ACQUISITION CORP                | SOUTHPORT ACQUISITION -CW23                                                     | CUSIP: 84465L113<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1466 | NS      | $73.30        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust             | Citigroup Mortgage Loan Trust 2007-AR5                                          | CUSIP: 17311LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75027 | PA      | $63727.63     | 0.09%             | 2037-04-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS ARCELORMITTAL                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1642.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                  | iHeartCommunications Inc                                                        | CUSIP: 45174HBD8<br>LEI: 54930076J6KDZL504O62 | Short            | DBT              | CORP              | US        |   -228886 | PA      | $-204083.91   | -0.30%            | 2027-05-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| LDH GROWTH CORP I-CLASS A                 | LDH GROWTH CORP I CL A -CW28                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        28 | NS      | $1.74         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Opendoor Technologies Inc                 | Opendoor Technologies Inc                                                       | CUSIP: 683712103<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | EC               | CORP              | US        |      1439 | NS      | $2662.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-231.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Liberty Global PLC                        | Liberty Global PLC                                                              | CUSIP: 000000000<br>LEI: 549300BSGXG3QLIQYT84 | Long             | EC               | CORP              | GB        |      3431 | NS      | $70953.08     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS RAKUTEN GROUP                                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1366.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M            | Bear Stearns ARM Trust 2006-2                                                   | CUSIP: 07388DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30998 | PA      | $25936.75     | 0.04%             | 2036-07-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH 02/11/2026                  | BAUSCH HEALTH 02/11/2026                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    145805 | PA      | $109262.75    | 0.16%             | 2027-02-01      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS STELLANTIS NV SNR SE                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-9003.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                      | OneMain Finance Corp                                                            | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Short            | DBT              | CORP              | US        |   -257000 | PA      | $-249290.00   | -0.37%            | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| LANDCADIA HOLDINGS IV INC-A               | LANDCADIA HOLDINGS IV -CW28                                                     | CUSIP: 51477A112<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       343 | NS      | $41.16        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                  | Republic of South Africa Government Bond                                        | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   6057183 | PA      | $275865.14    | 0.41%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | SPDR S&P 500 ETF TRUST                                                          | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |         6 | NC      | $192.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JUST EAT TAKEAWAY                         | Just Eat Takeaway.com NV                                                        | CUSIP: 000000000<br>LEI: 724500FVZIBSSQ7SHI95 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $212148.46    | 0.31%             | 2028-02-09      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | JD.COM INC                                                                      | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |        13 | NC      | $1235.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN AIRLINES GROUP                   | American Airlines Group Inc                                                     | CUSIP: 02376RAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    499000 | PA      | $437463.52    | 0.64%             | 2025-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DOUGLAS GMBH                              | Douglas GmbH                                                                    | CUSIP: 000000000<br>LEI: 529900381YTPHVY9AI06 | Long             | DBT              | CORP              | DE        |    731000 | PA      | $635052.89    | 0.94%             | 2026-04-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS GOVERNMENT OF JAPAN                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-2127.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCCARTHY & STONE 12/16/25                 | MCCARTHY & STONE 12/16/25                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     50969 | PA      | $53137.32     | 0.08%             | 2025-12-16      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FUSION ACQUISITION CORP II-A              | FUSION ACQ II CL A -CW27                                                        | CUSIP: 36118N110<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       318 | NS      | $0.29         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                               | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |         1 | NC      | $-13525.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS RAKUTEN GROUP                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $2638.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS GROUPE CASINO                                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-77.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HURRICANE FINANCE                         | Hurricane Finance PLC                                                           | CUSIP: 000000000<br>LEI: 984500D85P5I84C05891 | Long             | DBT              | CORP              | GB        |    234000 | PA      | $266517.05    | 0.39%             | 2025-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS FORD MOTOR CREDIT CO LLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2805.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                  | OWL Rock Core Income Corp                                                       | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    108000 | PA      | $109308.52    | 0.16%             | 2027-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ITALY GOV'T INT BOND                      | Republic of Italy Government International Bond                                 | CUSIP: 465410BX5<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    373000 | PA      | $350053.60    | 0.52%             | 2024-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                         | KREF 2021-FL2 Ltd                                                               | CUSIP: 48275RAG2<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $469223.09    | 0.69%             | 2039-02-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11790.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS AIR FRANCE-KLM                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $389.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS CARNIVAL CORP                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3902.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                              | Barclays PLC                                                                    | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    141000 | PA      | $149523.90    | 0.22%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-37173.92    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS SOCIETE GENERALE                                                            | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-1391.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 3M COMPANY                                | 3M Co                                                                           | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Short            | DBT              | CORP              | US        |   -146000 | PA      | $-125750.12   | -0.19%            | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AEQUI ACQUISITION CORP-CL A               | AEQUI ACQ CL A -CW27                                                            | CUSIP: 00775W110<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       146 | NS      | $8.03         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $107.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -48800 | PA      | $-45750.00    | -0.07%            | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                              | CDS SOTBANK GROUP                                                               | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $617.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                  | JP Morgan Mortgage Trust 2006-A7                                                | CUSIP: 46629DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68146 | PA      | $52546.11     | 0.08%             | 2037-01-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Short            | DBT              | CORP              | US        |   -211000 | PA      | $-193252.81   | -0.28%            | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | DEERE & CO                                                                      | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |         2 | NC      | $412.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $13741.02     | 0.02%             | 2042-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS DAIMLER AG                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-602.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS US STEEL CORP                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-51.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-654.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                             | Carnival Corp                                                                   | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     96000 | PA      | $68281.92     | 0.10%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOTHEBY'S/BIDFAIR HLD                     | Sotheby's/Bidfair Holdings Inc                                                  | CUSIP: 83600GAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $166770.71    | 0.25%             | 2029-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS NIPPON STEEL                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-480.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LORCA TELECOM BONDCO                      | Lorca Telecom Bondco SA                                                         | CUSIP: 000000000<br>LEI: 9598004HFBAS82YM7X35 | Long             | DBT              | CORP              | ES        |    100000 | PA      | $94641.79     | 0.14%             | 2027-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    156000 | PA      | $108781.57    | 0.16%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                          | Taseko Mines Ltd                                                                | CUSIP: 876511AF3<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |    387000 | PA      | $325421.72    | 0.48%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                     | Bausch Health Cos Inc                                                           | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    122000 | PA      | $68295.60     | 0.10%             | 2030-10-15      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS REPUBLIC OF ITALY                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2032.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Growth For Good Acquisition Co            | Growth For Good Acquisition Corp                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1518 | NS      | $75.90        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Corp.              | GSMSC Pass-Through Trust 2009-4R                                                | CUSIP: 36190GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575179 | PA      | $407050.71    | 0.60%             | 2036-12-26      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| REDFIN CORP                               | Redfin Corp                                                                     | CUSIP: 75737FAE8<br>LEI: 549300HXWD3JEMZU3O57 | Long             | DBT              | CORP              | US        |     78000 | PA      | $32760.00     | 0.05%             | 2027-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS UNITED AIRLINES HOLDINGS INC                                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-360.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOSS CREEK RESOURCES HLD                  | Moss Creek Resources Holdings Inc                                               | CUSIP: 61965RAB1<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |    107000 | PA      | $105395.00    | 0.16%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                   | Liberty Interactive LLC                                                         | CUSIP: 530715AJ0<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |    360000 | PA      | $180657.00    | 0.27%             | 2030-02-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| FIDELITY INSTL MMKT GOVT                  | FIDELITY INSTL MMKT GOVT                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  13030542 | NS      | $13030541.89  | 19.20%            |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                    | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAT4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     54000 | PA      | $52813.72     | 0.08%             | 2025-03-24      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | DEERE & CO                                                                      | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |         4 | NC      | $20.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF ANGOLA                        | Angolan Government International Bond                                           | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    200000 | PA      | $167655.00    | 0.25%             | 2048-05-08      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                   | GSR Mortgage Loan Trust 2004-6F                                                 | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73623 | PA      | $70453.66     | 0.10%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    126000 | PA      | $85538.12     | 0.13%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.          | CME E-Mini Standard & Poor's 500 Index                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        -3 | NC      | $-23303.57    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| VIRTUSA CORP                              | Virtusa Corp                                                                    | CUSIP: 92837TAA0<br>LEI: C77OMXDER63WLJCSKT03 | Long             | DBT              | CORP              | US        |    286000 | PA      | $214986.20    | 0.32%             | 2028-12-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                    | Williams Cos Inc/The                                                            | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     95000 | PA      | $67351.64     | 0.10%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    121000 | PA      | $81790.33     | 0.12%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                        | Angolan Government International Bond                                           | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    274000 | PA      | $249271.50    | 0.37%             | 2029-11-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SOLARIS MIDSTREAM HOLDIN                  | Solaris Midstream Holdings LLC                                                  | CUSIP: 83419MAA0<br>LEI: 5493007AWQW8ZKCHVV46 | Long             | DBT              | CORP              | US        |    264000 | PA      | $260346.24    | 0.38%             | 2026-04-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-57517.46    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                       | Petroleos Mexicanos                                                             | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    238000 | PA      | $151507.81    | 0.22%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5173.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS AIR FRANCE-KLM                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1493.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                 | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $32076.85     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur            | Banc of America Mortgage 2005-K Trust                                           | CUSIP: 05949CMS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113979 | PA      | $99840.02     | 0.15%             | 2035-12-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                      | OneMain Finance Corp                                                            | CUSIP: 85172FAM1<br>LEI: 5493008I795YYBFWFU90 | Short            | DBT              | CORP              | US        |    -28000 | PA      | $-27230.00    | -0.04%            | 2025-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                          | ArcelorMittal SA                                                                | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     44000 | PA      | $44505.39     | 0.07%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| B&G Foods Inc                             | B&G Foods Inc                                                                   | CUSIP: 05508R106<br>LEI: 549300TRW1LZMDJZAQ78 | Long             | EC               | CORP              | US        |      3600 | NS      | $47808.00     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UKRAINE GOVERNMENT                        | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    200000 | PA      | $43001.60     | 0.06%             | 2035-03-15      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     49000 | PA      | $46538.63     | 0.07%             | 2045-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                 | CARVANA CO                                                                      | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |        22 | NC      | $88.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS MITSUI OSK LINES                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-182.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS STENA AKTIEBOLAG                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $215.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH TL 01/27/27                 | BAUSCH HEALTH TL 01/27/27                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     75731 | PA      | $56751.17     | 0.08%             | 2027-02-01      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                           | Impac CMB Trust Series 2004-8                                                   | CUSIP: 45254NKW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91136 | PA      | $79178.95     | 0.12%             | 2034-08-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | JD.COM INC                                                                      | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |        13 | NC      | $9490.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-75.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                  | Ford Motor Credit Co LLC                                                        | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    248000 | PA      | $240424.05    | 0.35%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS JFE HOLDINGS                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-432.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    257300 | PA      | $238364.33    | 0.35%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     82500 | PA      | $85735.55     | 0.13%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T            | Alternative Loan Trust 2005-J10                                                 | CUSIP: 12668ABU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388701 | PA      | $198763.92    | 0.29%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS BMW FINANCE NV                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-851.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                  | MPH Acquisition Holdings LLC                                                    | CUSIP: 553283AC6<br>LEI: 5493002WXOPRPTXWTU06 | Short            | DBT              | CORP              | US        |   -137000 | PA      | $-96451.43    | -0.14%            | 2028-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                   | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $197.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS RAKUTEN GROUP                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $1040.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage            | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR3 Trust  | CUSIP: 939336H30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194578 | PA      | $171423.79    | 0.25%             | 2033-06-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS FORD MOTOR CREDIT CO LLC                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-96.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CRYSTAL PEAK ACQUISITION-A                | CRYSTAL PEAK ACQUI-CW                                                           | CUSIP: 000000000<br>LEI: 549300QV2DQ5QN1K3U52 | Long             | EC               | CORP              | KY        |       802 | NS      | $401.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS AMERICAN AIRLINE                                                            | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $2285.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                        | Ally Financial Inc                                                              | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Short            | DBT              | CORP              | US        |    -48000 | PA      | $-47388.35    | -0.07%            | 2025-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                 | THE CBOE VOLATILITY INDEX                                                       | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |       240 | NC      | $10320.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FLUOR CORP                                | Fluor Corp                                                                      | CUSIP: 343412AF9<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Short            | DBT              | CORP              | US        |   -312000 | PA      | $-284466.00   | -0.42%            | 2028-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                     | Mountain View CLO 2014-1 Ltd                                                    | CUSIP: 62431XBA3<br>LEI: 549300XBX1AOMDRAHZ12 | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $1282493.01   | 1.89%             | 2026-10-15      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-302.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                        | Rithm Capital Corp                                                              | CUSIP: 64828TAA0<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    149000 | PA      | $134780.02    | 0.20%             | 2025-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                   | HCA Inc                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    109000 | PA      | $73842.62     | 0.11%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10702.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                             | Carnival Corp                                                                   | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    102000 | PA      | $86134.41     | 0.13%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                               | NVIDIA Corp                                                                     | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    235000 | PA      | $207668.04    | 0.31%             | 2030-04-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -68000 | PA      | $-62230.63    | -0.09%            | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS KAWASAKI HEAVY                                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-556.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF                                     | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |     -1000 | NC      | $-161000.00   | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank Securities Inc.             | CURRENCY CONTRACT - HUF                                                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2071.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS LLOYDS BANKING GROUP PLC                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $292.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                    | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $36837.20     | 0.05%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPENDOOR TECHNOLOGIES IN                  | Opendoor Technologies Inc                                                       | CUSIP: 683712AA1<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | DBT              | CORP              | US        |    205000 | PA      | $86796.64     | 0.13%             | 2026-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $465.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $68.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS NEXT PLC                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3611.02      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     57000 | PA      | $42883.85     | 0.06%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                    | Eskom Holdings SOC Ltd                                                          | CUSIP: 000000000<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |    252000 | PA      | $246582.00    | 0.36%             | 2023-08-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF TURKEY                        | Turkey Government International Bond                                            | CUSIP: 900123CF5<br>LEI: 5493000PCHOG3B6S3Q85 | Short            | DBT              | NUSS              | TR        |   -170000 | PA      | $-170037.23   | -0.25%            | 2024-03-22      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                  | JP Morgan Mortgage Trust 2007-A2                                                | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94888 | PA      | $69786.05     | 0.10%             | 2037-04-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| athenahealth, 02/01/2029                  | athenahealth, 02/01/2029                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     11314 | PA      | $10361.24     | 0.02%             | 2029-02-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                  | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Short            | DBT              | CORP              | US        |   -140000 | PA      | $-132643.70   | -0.20%            | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - HKD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $63.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Targa Resources Corp                      | Targa Resources Corp                                                            | CUSIP: 87612G101<br>LEI: 5493003QENHHS261UR94 | Long             | EC               | CORP              | US        |      2078 | NS      | $154582.42    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                               | CDS SIMON PROP GP                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |         1 | NC      | $33.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS KAWASAKI HEAVY                                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-556.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-18972.14    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS RAKUTEN GROUP                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $1409.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                | Carvana Co                                                                      | CUSIP: 146869AF9<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     72000 | PA      | $25970.76     | 0.04%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | CDS MITSUI OSK LINES                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-182.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS SOTBANK GROUP                                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1194.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                | Carvana Co                                                                      | CUSIP: 146869AD4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     65000 | PA      | $22923.55     | 0.03%             | 2028-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | NS      | $50355.47     | 0.07%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9390.55      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                             | Carnival Corp                                                                   | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     93000 | PA      | $77561.54     | 0.11%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                            | Sabre GLBL Inc                                                                  | CUSIP: 78573NAH5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     47000 | PA      | $48204.38     | 0.07%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-39408.11    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Nabors Industries Ltd                     | Nabors Industries Ltd                                                           | CUSIP: 000000000<br>LEI: 5493008TXYN3II3PU369 | Long             | EC               | CORP              | US        |        44 | NS      | $6966.52      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MATTEL INC                                | Mattel Inc                                                                      | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    280000 | PA      | $257458.60    | 0.38%             | 2026-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BLUE WHALE ACQUISITION COR-A              | BLUE WHALE ACQ CORP -CW23                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AE        |       297 | NS      | $50.49        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LEAD EDGE GROWTH OPPORTUNI-A              | LEAD EDGE GROWTH OPP A -CW28                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       344 | NS      | $20.64        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW FORTRESS ENERGY INC                   | New Fortress Energy Inc                                                         | CUSIP: 644393AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    373000 | PA      | $364917.09    | 0.54%             | 2025-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru            | IndyMac INDX Mortgage Loan Trust 2006-AR29                                      | CUSIP: 45662DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232937 | PA      | $217557.15    | 0.32%             | 2036-11-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION     | CDS ARCELORMITTAL                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-3422.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                   | JPY CALL VERSUS USD PUT                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |   1243000 | NC      | $7410.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HOMETOGO SE                               | HOMETOGO SE - CW25                                                              | CUSIP: 000000000<br>LEI: 2221001IK1TS34BCHL37 | Long             | EC               | CORP              | LU        |       210 | NS      | $21.85        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS AMERICAN AXLE                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $258.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS GOVERNMENT OF JAPAN                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-1283.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8813.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur            | Banc of America Mortgage 2005-L Trust                                           | CUSIP: 05949CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63513 | PA      | $57809.55     | 0.09%             | 2036-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                 | Prosus NV                                                                       | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    127000 | PA      | $87328.34     | 0.13%             | 2033-07-13      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                         | DISH Network Corp                                                               | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    185000 | PA      | $190379.80    | 0.28%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS GOVERNMENT OF JAPAN                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-3007.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                          | CSC Holdings LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     69000 | PA      | $63306.81     | 0.09%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-686.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS JFE HOLDINGS                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-864.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS NIPPON STEEL                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-960.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5172.83     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     64000 | PA      | $52847.87     | 0.08%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/XO MGMT                    | VistaJet Malta Finance PLC / XO Management Holding Inc                          | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    355000 | PA      | $291543.75    | 0.43%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                          | MGM Resorts International                                                       | CUSIP: 552953CE9<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13689.62     | 0.02%             | 2025-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - BRL                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7359.89      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES 10/28/27                  | ADVANTAGE SALES 10/28/27                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     34140 | PA      | $27683.58     | 0.04%             | 2027-10-28      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                    | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     47000 | PA      | $43779.12     | 0.06%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-11663.52    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| METIS MERGER SUB LLC                      | Metis Merger Sub LLC                                                            | CUSIP: 59155LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $22278.11     | 0.03%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                   | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    463000 | PA      | $407034.88    | 0.60%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RIVERBED HLDGS CMN STOCK                  | RIVERBED HLDGS CMN STOCK                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3479 | NS      | $887.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGURE ACQUISITION CORP I -A              | FIGURE ACQ I CL A -CW27                                                         | CUSIP: 302438114<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       345 | NS      | $6.90         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer            | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust                  | CUSIP: 92922F2R8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1059000 | PA      | $842559.01    | 1.24%             | 2045-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - CHF                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $53312.03     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| KRONOS ACQ / KIK CUSTOM                   | Kronos Acquisition Holdings Inc / KIK Custom Products Inc                       | CUSIP: 50106GAF9<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |   -166000 | PA      | $-138070.50   | -0.20%            | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EG Group                                  | EG Group                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     13032 | PA      | $11949.76     | 0.02%             | 2025-02-06      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS CALPINE CORP                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $143.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS CECONOMY AG                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $385.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                        | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    200000 | PA      | $47806.40     | 0.07%             | 2026-09-01      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                             | Carnival Corp                                                                   | CUSIP: 143658BJ0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     42000 | PA      | $41055.00     | 0.06%             | 2027-08-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS GOVERNMENT OF JAPAN                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-1723.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS NEXT PLC                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $1444.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                  | Connect Finco SARL / Connect US Finco LLC                                       | CUSIP: 20752TAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     92000 | PA      | $87090.42     | 0.13%             | 2026-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                    | Mauser Packaging Solutions Holding Co                                           | CUSIP: 12429TAD6<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    199000 | PA      | $196541.63    | 0.29%             | 2024-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS HP INC                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $564.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                     | NGL Energy Operating LLC / NGL Energy Finance Corp                              | CUSIP: 62922LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    354000 | PA      | $320144.08    | 0.47%             | 2026-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                    | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    171000 | PA      | $148399.44    | 0.22%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                          | CSC Holdings LLC                                                                | CUSIP: 126307AH0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     88000 | PA      | $84903.28     | 0.13%             | 2024-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -44100 | PA      | $-44666.75    | -0.07%            | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NEW YORK STOCK EXCHANGE                   | DICK'S SPORTING GOODS INC                                                       | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |         8 | NC      | $856.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-127.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ STOCKHOLM AKTIEBOLAG               | H & M HENNES & MAURITZ AB                                                       | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               | CORP              | SE        |        12 | NC      | $365.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ERMENEGILDO ZEGNA NV                      | ERMENEGILDO ZEGNA HOLD -CW27                                                    | CUSIP: 000000000<br>LEI: 8156003760472AA7E269 | Long             | EC               | CORP              | IT        |       571 | NS      | $1142.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                    | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAY3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     83000 | PA      | $83221.50     | 0.12%             | 2025-09-29      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                | Federal National Mortgage Association                                           | CUSIP: 313586752<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | EP               | USGSE             | US        |      4475 | NS      | $10605.75     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RP ESCROW ISSUER LLC                      | RP Escrow Issuer LLC                                                            | CUSIP: 74969PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    283000 | PA      | $237352.10    | 0.35%             | 2025-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - HUF                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $484.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                 | S&P 500 INDEX                                                                   | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |        -4 | NC      | $-61556.00    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| OPEN TEXT CORP                            | Open Text Corp                                                                  | CUSIP: 000000000<br>LEI: 549300HP7ONDQODZJV16 | Long             | LON              | CORP              | CA        |     36537 | PA      | $35570.42     | 0.05%             | 2030-01-31      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $5920.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CDS ARCELORMITTAL                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1642.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.           | CDS RAKUTEN GROUP                                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $144.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                 | CDS AMERICAN AIRLINE                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $33.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHOBANI LLC/FINANCE CORP                  | Chobani LLC / Chobani Finance Corp Inc                                          | CUSIP: 17027NAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    383000 | PA      | $374853.59    | 0.55%             | 2025-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | TRS ENERGY TRANSFER LP                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |         1 | NC      | $2029.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORP                             | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $284523.76    | 0.42%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                 | Prosus NV                                                                       | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $87984.79     | 0.13%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                  | Celanese US Holdings LLC                                                        | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |    -78000 | PA      | $-75050.88    | -0.11%            | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| VARSITY BRANDS T 12/16/24                 | VARSITY BRANDS T 12/16/24                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4859 | PA      | $4674.63      | 0.01%             | 2024-12-16      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS STELLANTIS NV SNR SE                                                        | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2291.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust             | MASTR Alternative Loan Trust 2007-HF1                                           | CUSIP: 55291YAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468937 | PA      | $308089.94    | 0.45%             | 2047-10-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                  | BXMT 2021-FL4 Ltd                                                               | CUSIP: 05609GAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $468078.91    | 0.69%             | 2038-05-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Crystal Peak Acquisition                  | Crystal Peak Acquisition                                                        | CUSIP: 000000000<br>LEI: 549300QV2DQ5QN1K3U52 | Long             | EC               | CORP              | KY        |      1993 | NS      | $19631.05     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TRAVEL LEADERS T 01/25/24                 | TRAVEL LEADERS T 01/25/24                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    140784 | PA      | $128671.26    | 0.19%             | 2024-01-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-108.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                   | United Rentals North America Inc                                                | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     64000 | PA      | $64442.24     | 0.09%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                         | CDS KAWASAKI HEAVY                                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-556.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS GOVERNMENT OF JAPAN                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-1723.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-115.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Lim            | Thunderbolt II Aircraft Lease Ltd                                               | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1439515 | PA      | $1091102.65   | 1.61%             | 2038-09-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1393.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                            | Hertz Corp/The                                                                  | CUSIP: 428040DA4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |     48000 | PA      | $41691.19     | 0.06%             | 2026-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS JFE HOLDINGS                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-432.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor            | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 22541SEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103865 | PA      | $87053.83     | 0.13%             | 2034-04-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9954.05      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION            | CDS MARUBENI CORP                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-612.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                  | CDS US STEEL CORP                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-51.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                     | Bath & Body Works Inc                                                           | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     48000 | PA      | $42210.00     | 0.06%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9402.81     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                  | iHeartCommunications Inc                                                        | CUSIP: 45174HBG1<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    240000 | PA      | $207277.20    | 0.31%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS JFE HOLDINGS                                                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-864.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ares Capital Corp                         | Ares Capital Corp                                                               | CUSIP: 04010L103<br>LEI: WEQ82666OJYSI5GUAB47 | Short            | EC               | CORP              | US        |    -23270 | NS      | $-457255.50   | -0.67%            |  |  |  | No            |                  1 | On Loan: No      |
| Clearway Energy Inc                       | Clearway Energy Inc                                                             | CUSIP: 18539C105<br>LEI: 549300LHAZ9HA9G3XC48 | Long             | EC               | CORP              | US        |      7013 | NS      | $230867.96    | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC    | CDS CECONOMY AG                                                                 | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $81.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                     | Level 3 Financing Inc                                                           | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    344000 | PA      | $290293.00    | 0.43%             | 2027-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL               | CDS LANXESS AG                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $1529.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3430.92      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS AMERICAN AIRLINES                                                           | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $2642.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets             | American Home Mortgage Assets Trust 2005-1                                      | CUSIP: 02660VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102010 | PA      | $78354.43     | 0.12%             | 2035-11-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| CARNIVAL HLDGS BM LTD                     | Carnival Holdings Bermuda Ltd                                                   | CUSIP: 14366RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    217000 | PA      | $226281.09    | 0.33%             | 2028-05-01      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| ABERCROMBIE & FITCH MANA                  | Abercrombie & Fitch Management Co                                               | CUSIP: 003000AA4<br>LEI: 5493003QMCFDA98NPT74 | Long             | DBT              | CORP              | US        |    124000 | PA      | $123531.90    | 0.18%             | 2025-07-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| REDFIN CORP                               | Redfin Corp                                                                     | CUSIP: 75737FAC2<br>LEI: 549300HXWD3JEMZU3O57 | Long             | DBT              | CORP              | US        |     35000 | PA      | $21175.00     | 0.03%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan             | CitiMortgage Alternative Loan Trust Series 2007-A1                              | CUSIP: 12566QAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13026 | PA      | $11695.80     | 0.02%             | 2022-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LIFE TIME INC                             | Life Time Inc                                                                   | CUSIP: 53190FAA3<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24073.63     | 0.04%             | 2026-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                   | CDS ALLY FINANCIAL                                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1568.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                     | CDS US STEEL CORP                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-47.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                       | Nigeria Government International Bond                                           | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    224000 | PA      | $187317.31    | 0.28%             | 2029-03-24      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                    | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $160403.78    | 0.24%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

**Name of Applicant:** Franklin Alternative Strategies Funds

**Signature:** Ryan Wheeler

**Name of Signer:** Ryan Wheeler

**Title:** Assistant Treasurer