# EDGAR Filing Document

**Accession Number:** 0001587982
**File Stem:** 0001193125-26-067273
**Filing Date:** 2026-2
**Character Count:** 332019
**Document Hash:** 8f8bf331b57f37ab70d01d7ae226b98f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-067273.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0001193125-26-067273

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Investment Managers Series Trust II
- **CENTRAL INDEX KEY:** 0001587982

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22894
- **FILM NUMBER:** 26672429

**BUSINESS ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212
- **BUSINESS PHONE:** 414-299-2295

**MAIL ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212

## Series and Classes Contracts Data

### First Trust Multi-Strategy Fund (Series ID: S000055376)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000174208 | Class A Shares | FTMAX           |
| C000174209 | Class I Shares | FTMIX           |
| C000239642 | Class C Shares | FTMCX           |

## Nport-Ex

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **ASSET-BACKED SECURITIES — 4.7%** |  |
|  | ACM Auto Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-4A, Class A, 5.870%, 5/20/2030<sup>1,2</sup> | $2003024 |
| 2191914 | &nbsp;&nbsp;&nbsp;Series 2025-4A, Class B, 8.420%, 8/20/2032<sup>1,2</sup> | 2157990 |
| 2700000 | AMSR Trust<br> Series 2023-SFR2, Class F1, 3.950%, 6/17/2040 | 2568761 |
| 653434 | Barclays Mortgage Trust<br> Series 2021-NPL1, Class A, 5.000%, 11/25/2051 | 653859 |
| 3000000 | Basepoint Mca Securitization II LLC<br> Series 2025-1A, Class B, 7.660%, 8/15/2031<sup>1,2</sup> | 3006426 |
| 2000000 | Carrington Mortgage Loan Trust Series<br> Series 2006-NC2, Class M1, 4.251% (1-Month Term SOFR+52 basis points), 6/25/2036<sup>2,3</sup> | 1645746 |
| 1000000 | Cherry Securitization Trust<br> Series 2024-1A, Class C, 9.310%, 4/15/2032<sup>1,2</sup> | 1023412 |
|  | Corevest American Finance Trust |  |
| 300000 | &nbsp;&nbsp;&nbsp;Series 2020-4, Class C, 2.250%, 12/15/2052 | 281190 |
| 100000 | &nbsp;&nbsp;&nbsp;Series 2021-1, Class C, 2.800%, 4/15/2053 | 90437 |
| 100000 | &nbsp;&nbsp;&nbsp;Series 2021-3, Class D, 3.469%, 10/15/2054 | 91765 |
| 1419798 | Dividend Solar Loans LLC<br> Series 2018-2, Class B, 4.250%, 12/20/2038<sup>1,2</sup> | 1332339 |
| 2000000 | Exeter Automobile Receivables Trust<br> Series 2024-3A, Class E, 7.840%, 10/15/2031<sup>1,2</sup> | 2100220 |
| 2190258 | Goodleap Sustainable Home Solutions Trust<br> Series 2023-4C, Class A, 6.480%, 3/20/2057<sup>1,2</sup> | 2173152 |
| 1654067 | GreenSky Home Improvement Trust<br> Series 2024-1, Class E, 9.000%, 6/25/2059<sup>1,2</sup> | 1726088 |
| 3000000 | LMRE Trust<br> Series 2025-SFR1, Class A, 4.500%, 12/17/2042<sup>1</sup> | 2950563 |
|  | Marlette Funding Trust |  |
| 1352 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class R, 0.000%, 4/15/2033<sup>1,2,4</sup> | 68952 |
| 3806 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class R, 0.000%, 6/15/2033<sup>1,2,4</sup> | 258808 |
| 1000000 | NMEF Funding, LLC<br> Series 2025-B, Class E, 7.660%, 1/18/2033<sup>1,2</sup> | 1020581 |
| 1173909 | NYMT Loan Trust<br> Series 2025-R1, Class A, 6.381%, 2/25/2030 | 1177922 |
| 2000000 | OnDeck Asset Securitization IV LLC<br> Series 2025-2A, Class C, 6.300%, 11/17/2032<sup>1,2</sup> | 2011812 |
|  | Point Securitization Trust |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1, Class A2, 7.750%, 11/25/2053<sup>1,2,5</sup> | 1017057 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-2, Class B1, 7.000%, 9/25/2055<sup>1,2,5</sup> | 852299 |
|  | PRET LLC |  |
| 2150000 | &nbsp;&nbsp;&nbsp;Series 2025-NPL8, Class A2, 7.991%, 8/25/2055 | 2158684 |
| 2100000 | &nbsp;&nbsp;&nbsp;Series 2025-NPL9, Class A2, 7.507%, 8/25/2055 | 2111663 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **ASSET-BACKED SECURITIES (Continued)** |  |
| 375000 | &nbsp;&nbsp;&nbsp;Series 2025-NPL11, Class A2, 7.021%, 10/25/2055 | $375703 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-NPL12, Class A2, 6.900%, 11/25/2055 | 1002476 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2025-NPL13, Class A2, 6.778%, 12/25/2055 | 1502799 |
|  | RCO Mortgage LLC |  |
| 1773357 | &nbsp;&nbsp;&nbsp;Series 2025-4, Class A1, 5.310%, 10/25/2030 | 1777280 |
| 1200000 | &nbsp;&nbsp;&nbsp;Series 2025-4, Class A2, 6.900%, 10/25/2030 | 1202904 |
| 2025999 | Saluda Grade Alternative Mortgage Trust<br> Series 2025-NPL1, Class A1, 7.118%, 1/25/2030 | 2039181 |
|  | Santander Bank Auto Credit-Linked Notes |  |
| 1964921 | &nbsp;&nbsp;&nbsp;Series 2023-B, Class F, 12.240%, 12/15/2033<sup>1,2</sup> | 2067580 |
| 2200000 | &nbsp;&nbsp;&nbsp;Series 2025-A, Class G, 11.049%, 1/16/2034<sup>1,2</sup> | 2206723 |
| 635203 | Truist Bank Auto Credit-Linked Notes<br> Series 2025-1, Class D, 9.685%, 9/26/2033<sup>1,2</sup> | 636715 |
|  | Unlock HEA Trust |  |
| 2745309 | &nbsp;&nbsp;&nbsp;Series 2023-1, Class B, 7.000%, 10/25/2038<sup>1,2</sup> | 2705318 |
| 2696648 | &nbsp;&nbsp;&nbsp;Series 2024-2, Class A, 6.500%, 10/25/2039<sup>1,2</sup> | 2702190 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-2, Class C, 6.000%, 11/25/2041<sup>1,2</sup> | 779062 |
| 1000000 | UPG Trust<br> Series 2025-2, Class C, 8.800%, 9/25/2047<sup>1,2</sup> | 997492 |
| 3000000 | Upgrade Master Pass-Thru Trust Series<br> Series 2025-ST8, Class CRT1, 0.000%, 12/15/2033<sup>1,2,4</sup> | 2818431 |
| 250000 | UPX Trust<br> Series 2025-1, Class C, 7.670%, 1/25/2047<sup>1,2</sup> | 251926 |
|  | **TOTAL ASSET-BACKED SECURITIES** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $57,378,222) | **57548530** |
|  | **COLLATERALIZED LOAN OBLIGATIONS — 26.2%** |  |
|  | 720 East CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2023-IA, Class DR, 7.905% (3-Month Term SOFR+400 basis points), 4/15/2038<sup>1,2,3</sup> | 502429 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D1R, 6.925% (3-Month Term SOFR+275 basis points), 10/15/2038<sup>1,2,3</sup> | 1508314 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class ER, 9.675% (3-Month Term SOFR+550 basis points), 10/15/2038<sup>1,2,3</sup> | 1006707 |
| 1000000 | AGL CLO Ltd.<br> Series 2023-28A, Class D, 8.720% (3-Month Term SOFR+485 basis points), 1/21/2037<sup>1,2,3</sup> | 1011341 |
|  | AIMCO CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-11A, Class D2R2, 8.082% (3-Month Term SOFR+420 basis points), 7/17/2037<sup>1,2,3</sup> | 1507488 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2019-10A, Class ERR, 9.507% (3-Month Term SOFR+565 basis points), 7/22/2037<sup>1,2,3,6</sup> | 502065 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Alinea CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class DR, 6.134% (3-Month Term SOFR+225 basis points), 7/20/2031<sup>1,2,3</sup> | $1503688 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class ER, 9.834% (3-Month Term SOFR+595 basis points), 7/20/2031<sup>1,2,3,6</sup> | 1253073 |
| 1000000 | Annisa CLO Ltd.<br> Series 2016-2A, Class DRR, 6.684% (3-Month Term SOFR+280 basis points), 7/20/2031<sup>1,2,3</sup> | 1003355 |
|  | Apidos CLO Ltd. |  |
| 1150000 | &nbsp;&nbsp;&nbsp;Series 2016-24A, Class DR, 9.946% (3-Month Term SOFR+606 basis points), 10/20/2030<sup>1,2,3</sup> | 1153288 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2019-31A, Class ER, 10.766% (3-Month Term SOFR+686 basis points), 4/15/2031<sup>1,2,3</sup> | 756066 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series XXXA, Class CR, 6.884% (3-Month Term SOFR+300 basis points), 10/18/2031<sup>1,2,3</sup> | 1506472 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2015-23A, Class DRR, 6.505% (3-Month Term SOFR+260 basis points), 4/15/2033<sup>1,2,3</sup> | 2008953 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-29A, Class D1R, 6.958% (3-Month Term SOFR+310 basis points), 7/25/2038<sup>1,2,3</sup> | 1512656 |
| 1350000 | &nbsp;&nbsp;&nbsp;Series 2017-28A, Class C1R, 7.124% (3-Month Term SOFR+285 basis points), 10/20/2038<sup>1,2,3</sup> | 1361327 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-54A, Class A1, 5.472% (3-Month Term SOFR+130 basis points), 10/20/2038<sup>1,2,3</sup> | 2006254 |
|  | Ares CLO Ltd. |  |
| 4000000 | &nbsp;&nbsp;&nbsp;Series 2016-39A, Class AR3, 5.304% (3-Month Term SOFR+142 basis points), 7/18/2037<sup>1,2,3</sup> | 4014348 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-76A, Class E, 11.065% (3-Month Term SOFR+716 basis points), 5/27/2038<sup>1,2,3</sup> | 1018480 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-54A, Class ER2, 9.905% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>1,2,3</sup> | 1009852 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-63A, Class D2R, 8.633% (3-Month Term SOFR+435 basis points), 10/15/2038<sup>1,2,3</sup> | 1005120 |
| 1950000 | Arini U.S. CLO Ltd.<br> Series 1A, Class D, 7.905% (3-Month Term SOFR+400 basis points), 4/15/2038<sup>1,2,3</sup> | 1959473 |
|  | Bain Capital Credit CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class DR, 6.834% (3-Month Term SOFR+295 basis points), 7/19/2031<sup>1,2,3</sup> | 1505029 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-2A, Class A1R, 5.007% (3-Month Term SOFR+115 basis points), 4/22/2035<sup>1,2,3</sup> | 1500250 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class A1R, 5.294% (3-Month Term SOFR+140 basis points), 7/16/2038<sup>1,2,3</sup> | 1501056 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D1R, 7.094% (3-Month Term SOFR+320 basis points), 7/16/2038<sup>1,2,3</sup> | 1008418 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D2R, 7.844% (3-Month Term SOFR+395 basis points), 7/16/2038<sup>1,2,3</sup> | $1507980 |
|  | Ballyrock CLO Ltd. |  |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2023-24A, Class DR, 9.905% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>1,2,3</sup> | 1262866 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2021-17A, Class C1R, 6.584% (3-Month Term SOFR+270 basis points), 10/20/2038<sup>1,2,3</sup> | 2013643 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2021-17A, Class C2R, 7.834% (3-Month Term SOFR+395 basis points), 10/20/2038<sup>1,2,3</sup> | 497543 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2021-17A, Class DR, 9.984% (3-Month Term SOFR+610 basis points), 10/20/2038<sup>1,2,3</sup> | 739274 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2019-2A, Class C1R3, 6.589% (3-Month Term SOFR+270 basis points), 10/25/2038<sup>1,2,3</sup> | 1508307 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-2A, Class C2R3, 7.839% (3-Month Term SOFR+395 basis points), 10/25/2038<sup>1,2,3</sup> | 1000338 |
|  | Barings CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2021-1A, Class D, 7.020% (3-Month Term SOFR+316 basis points), 4/25/2034<sup>1,2,3</sup> | 752717 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2025-7A, Class D1, 6.428% (3-Month Term SOFR+270 basis points), 1/15/2038<sup>1,2,3</sup> | 749970 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D1R, 7.284% (3-Month Term SOFR+340 basis points), 4/20/2038<sup>1,2,3</sup> | 1005310 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D2R, 8.884% (3-Month Term SOFR+500 basis points), 4/20/2038<sup>1,2,3</sup> | 1005114 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-8A, Class E, 0.000% (3-Month Term SOFR+500 basis points), 1/15/2039<sup>1,2,3</sup> | 1000000 |
|  | Battalion CLO Ltd. |  |
| 1272023 | &nbsp;&nbsp;&nbsp;Series 2020-15A, Class A1RR, 4.862% (3-Month Term SOFR+98 basis points), 1/17/2033<sup>1,2,3</sup> | 1271867 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-15A, Class BR, 5.382% (3-Month Term SOFR+150 basis points), 1/17/2033<sup>1,2,3</sup> | 1499625 |
| 675706 | Bear Stearns Asset Backed Securities Trust<br> Series 2004-HE5, Class M6, 9.471% (1-Month Term SOFR+574 basis points), 7/25/2034<sup>2,3</sup> | 621885 |
|  | Benefit Street Partners CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-23A, Class DR, 6.758% (3-Month Term SOFR+290 basis points), 4/25/2034<sup>1,2,3</sup> | 1003939 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-23A, Class ER, 9.108% (3-Month Term SOFR+525 basis points), 4/25/2034<sup>1,2,3</sup> | 994244 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-36A, Class D1, 6.808% (3-Month Term SOFR+295 basis points), 1/25/2038<sup>1,2,3</sup> | 1005284 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2024-37A, Class A, 5.208% (3-Month Term SOFR+135 basis points), 1/25/2038<sup>1,2,3</sup> | 2007641 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 3500000 | &nbsp;&nbsp;&nbsp;Series 2015-6BR, Class D1R, 6.584% (3-Month Term SOFR+270 basis points), 4/20/2038<sup>1,2,3</sup> | $3523054 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-IVA, Class AR5, 5.204% (3-Month Term SOFR+125 basis points), 10/20/2038<sup>1,2,3</sup> | 1000576 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-42A, Class A, 5.371% (3-Month Term SOFR+130 basis points), 10/25/2038<sup>1,2,3</sup> | 2000000 |
| 500000 | Birch Grove CLO Ltd.<br> Series 2024-8A, Class E, 10.984% (3-Month Term SOFR+710 basis points), 4/20/2037<sup>1,2,3</sup> | 510201 |
| 2000000 | Black Diamond CLO Ltd.<br> Series 2022-1A, Class A1A, 6.358% (3-Month Term SOFR+250 basis points), 10/25/2035<sup>1,2,3</sup> | 2013213 |
| 1000000 | BlueMountain CLO Ltd.<br> Series 2020-30A, Class DR, 7.205% (3-Month Term SOFR+330 basis points), 4/15/2035<sup>1,2,3</sup> | 1002363 |
| 1900000 | BlueMountain Fuji U.S. CLO Ltd.<br> Series 2017-2A, Class C, 7.146% (3-Month Term SOFR+326 basis points), 10/20/2030<sup>1,2,3</sup> | 1904700 |
|  | Bryant Park Funding Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-23A, Class E, 10.582% (3-Month Term SOFR+673 basis points), 5/15/2037<sup>1,2,3</sup> | 1009538 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-17RA, Class D1R, 7.134% (3-Month Term SOFR+325 basis points), 1/20/2038<sup>1,2,3</sup> | 1004284 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-17RA, Class ER, 10.814% (3-Month Term SOFR+693 basis points), 1/20/2038<sup>1,2,3</sup> | 1001288 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-20A, Class DR, 7.305% (3-Month Term SOFR+340 basis points), 4/15/2038<sup>1,2,3</sup> | 2008405 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-21A, Class ER, 9.161% (3-Month Term SOFR+525 basis points), 10/18/2038<sup>1,2,3</sup> | 1000110 |
|  | Carlyle Global Market Strategies CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2014-2RA, Class C, 6.913% (3-Month Term SOFR+306 basis points), 5/15/2031<sup>1,2,3,6</sup> | 1506432 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-4A, Class CR2, 6.434% (3-Month Term SOFR+255 basis points), 7/20/2032<sup>1,2,3</sup> | 999158 |
| 1000000 | Carlyle U.S. CLO Ltd.<br> Series 2023-5A, Class D, 8.958% (3-Month Term SOFR+510 basis points), 1/27/2036<sup>1,2,3,6</sup> | 1007135 |
|  | CBAMR Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class BR, 6.081% (3-Month Term SOFR+180 basis points), 3/31/2038<sup>1,2,3</sup> | 1007774 |
| 2250000 | &nbsp;&nbsp;&nbsp;Series 2018-5A, Class D1R, 7.112% (3-Month Term SOFR+300 basis points), 10/17/2038<sup>1,2,3</sup> | 2256080 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Cedar Funding CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2016-5A, Class DR, 7.143% (3-Month Term SOFR+326 basis points), 7/17/2031<sup>1,2,3</sup> | $1003324 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-4A, Class DR3, 7.160% (3-Month Term SOFR+330 basis points), 1/23/2038<sup>1,2,3</sup> | 1001789 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-19A, Class A1, 5.190% (3-Month Term SOFR+133 basis points), 1/23/2038<sup>1,2,3</sup> | 1503376 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-17A, Class D1R, 6.934% (3-Month Term SOFR+305 basis points), 7/20/2038<sup>1,2,3</sup> | 2018910 |
|  | CIFC Funding Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class D, 10.227% (3-Month Term SOFR+636 basis points), 10/24/2030<sup>1,2,3,6</sup> | 1515660 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2013-3RA, Class CR, 6.365% (3-Month Term SOFR+250 basis points), 4/24/2031<sup>1,2,3</sup> | 1510550 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2013-3RA, Class D, 10.027% (3-Month Term SOFR+616 basis points), 4/24/2031<sup>1,2,3</sup> | 1495036 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D1R, 6.934% (3-Month Term SOFR+305 basis points), 10/20/2037<sup>1,2,3</sup> | 1010773 |
|  | Creeksource Dunes Creek CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class D, 7.005% (3-Month Term SOFR+310 basis points), 1/15/2038<sup>1,2,3</sup> | 1507915 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class E, 10.055% (3-Month Term SOFR+615 basis points), 1/15/2038<sup>1,2,3</sup> | 765330 |
|  | Dewolf Park CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class DR, 7.016% (3-Month Term SOFR+311 basis points), 10/15/2030<sup>1,2,3</sup> | 1000000 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class E, 10.366% (3-Month Term SOFR+646 basis points), 10/15/2030<sup>1,2,3,6</sup> | 1000000 |
|  | Dryden CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2019-75A, Class AR3, 4.913% (3-Month Term SOFR+104 basis points), 4/14/2034<sup>1,2,3</sup> | 1999726 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2019-68A, Class DR, 7.516% (3-Month Term SOFR+361 basis points), 7/15/2035<sup>1,2,3</sup> | 1503868 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-102A, Class D1R, 6.805% (3-Month Term SOFR+290 basis points), 10/15/2038<sup>1,2,3</sup> | 1005531 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-102A, Class ER, 9.755% (3-Month Term SOFR+585 basis points), 10/15/2038<sup>1,2,3</sup> | 1003611 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-120A, Class D2, 6.546% (3-Month Term SOFR+285 basis points), 1/15/2039<sup>1,2,3</sup> | 1000000 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-120A, Class D3, 7.846% (3-Month Term SOFR+415 basis points), 1/15/2039<sup>1,2,3</sup> | 1000000 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-120A, Class E, 9.146% (3-Month Term SOFR+545 basis points), 1/15/2039<sup>1,2,3</sup> | 2000000 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Dryden Senior Loan Fund |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-30A, Class DR, 6.713% (3-Month Term SOFR+286 basis points), 11/15/2028<sup>1,2,3</sup> | $1005630 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-30A, Class ER, 9.863% (3-Month Term SOFR+601 basis points), 11/15/2028<sup>1,2,3</sup> | 1003613 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-54A, Class D, 7.246% (3-Month Term SOFR+336 basis points), 10/19/2029<sup>1,2,3</sup> | 1003345 |
| 1169259 | &nbsp;&nbsp;&nbsp;Series 2016-45A, Class A1RR, 4.985% (3-Month Term SOFR+108 basis points), 10/15/2030<sup>1,2,3</sup> | 1170655 |
| 950000 | &nbsp;&nbsp;&nbsp;Series 2016-45A, Class DRR, 6.955% (3-Month Term SOFR+305 basis points), 10/15/2030<sup>1,2,3</sup> | 954493 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-41A, Class DR, 6.766% (3-Month Term SOFR+286 basis points), 4/15/2031<sup>1,2,3</sup> | 1003323 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2015-40A, Class DR, 7.213% (3-Month Term SOFR+336 basis points), 8/15/2031<sup>1,2,3</sup> | 501772 |
| 1200000 | &nbsp;&nbsp;&nbsp;Series 2018-61A, Class DR, 7.243% (3-Month Term SOFR+336 basis points), 1/17/2032<sup>1,2,3</sup> | 1204170 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-80A, Class DR, 6.982% (3-Month Term SOFR+310 basis points), 1/17/2033<sup>1,2,3</sup> | 994276 |
|  | Eaton Vance CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-1A, Class DR, 6.646% (3-Month Term SOFR+276 basis points), 1/20/2030<sup>1,2,3</sup> | 1003356 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class ERR, 10.155% (3-Month Term SOFR+625 basis points), 10/15/2037<sup>1,2,3</sup> | 981736 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class AR4, 5.245% (3-Month Term SOFR+134 basis points), 10/15/2038<sup>1,2,3</sup> | 2004953 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class D1R4, 6.905% (3-Month Term SOFR+300 basis points), 10/15/2038<sup>1,2,3</sup> | 1005517 |
| 185465 | Elevation CLO Ltd.<br> Series 2018-10A, Class AR, 4.804% (3-Month Term SOFR+92 basis points), 10/20/2031<sup>1,2,3</sup> | 185690 |
|  | Elmwood CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class AR, 5.344% (3-Month Term SOFR+146 basis points), 4/18/2037<sup>1,2,3</sup> | 2007761 |
| 3000000 | &nbsp;&nbsp;&nbsp;Series 2021-5A, Class D1R, 7.005% (3-Month Term SOFR+310 basis points), 10/15/2037<sup>1,2,3</sup> | 3005479 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D2R, 7.832% (3-Month Term SOFR+395 basis points), 4/17/2038<sup>1,2,3</sup> | 753930 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2021-2A, Class D1R, 6.534% (3-Month Term SOFR+265 basis points), 4/20/2038<sup>1,2,3</sup> | 2505543 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2021-3A, Class DR2, 6.934% (3-Month Term SOFR+305 basis points), 7/20/2038<sup>1,2,3</sup> | 2513572 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2021-3A, Class ER2, 9.834% (3-Month Term SOFR+595 basis points), 7/20/2038<sup>1,2,3</sup> | 1507249 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1750000 | &nbsp;&nbsp;&nbsp;Series 2022-6A, Class D1R2, 6.611% (3-Month Term SOFR+270 basis points), 10/17/2038<sup>1,2,3</sup> | $1759699 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2022-6A, Class ER2, 9.061% (3-Month Term SOFR+515 basis points), 10/17/2038<sup>1,2,3</sup> | 1254358 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class A1R, 5.184% (3-Month Term SOFR+130 basis points), 10/20/2038<sup>1,2,3</sup> | 1503050 |
|  | Empower CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class D1R, 6.884% (3-Month Term SOFR+300 basis points), 10/20/2037<sup>1,2,3</sup> | 1511986 |
| 3000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D1R, 7.708% (3-Month Term SOFR+385 basis points), 4/25/2038<sup>1,2,3</sup> | 3019179 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class ER, 11.198% (3-Month Term SOFR+734 basis points), 4/25/2038<sup>1,2,3</sup> | 1014992 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class D1, 6.834% (3-Month Term SOFR+295 basis points), 7/20/2038<sup>1,2,3</sup> | 2010884 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class D2, 8.384% (3-Month Term SOFR+450 basis points), 7/20/2038<sup>1,2,3</sup> | 1005243 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class AR, 5.225% (3-Month Term SOFR+132 basis points), 10/15/2038<sup>1,2,3</sup> | 2507695 |
|  | Flatiron CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class E, 11.735% (3-Month Term SOFR+783 basis points), 1/15/2037<sup>1,2,3</sup> | 766948 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class D2R2, 7.839% (3-Month Term SOFR+395 basis points), 11/20/2038<sup>1,2,3</sup> | 1000299 |
| 1750000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class ER2, 9.139% (3-Month Term SOFR+525 basis points), 11/20/2038<sup>1,2,3</sup> | 1739448 |
| 1500000 | Galaxy CLO Ltd.<br> Series 2017-24A, Class AR, 5.445% (3-Month Term SOFR+154 basis points), 4/15/2037<sup>1,2,3</sup> | 1503249 |
|  | Invesco U.S. CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class ER, 11.750% (3-Month Term SOFR+788 basis points), 4/21/2038<sup>1,2,3</sup> | 1023939 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-3A, Class D1R, 6.955% (3-Month Term SOFR+305 basis points), 7/15/2038<sup>1,2,3</sup> | 1509961 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class D, 7.381% (3-Month Term SOFR+310 basis points), 7/15/2038<sup>1,2,3</sup> | 2000000 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class E, 10.281% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>1,2,3</sup> | 757493 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-2A, Class D, 7.291% (3-Month Term SOFR+300 basis points), 7/15/2038<sup>1,2,3</sup> | 1005249 |
| 2000000 | Jamestown CLO Ltd.<br> Series 2018-11A, Class D, 10.193% (3-Month Term SOFR+628 basis points), 7/14/2031<sup>1,2,3</sup> | 1961158 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | KKR CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 18, Class A1R2, 5.191% (3-Month Term SOFR+105 basis points), 10/18/2035<sup>1,2,3</sup> | $2001905 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class D1R3, 7.085% (3-Month Term SOFR+325 basis points), 10/15/2038<sup>1,2,3</sup> | 1511912 |
|  | Madison Park Funding Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2014-14A, Class CR4, 5.807% (3-Month Term SOFR+195 basis points), 10/22/2030<sup>1,2,3</sup> | 754589 |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2019-34A, Class D1RR, 7.244% (3-Month Term SOFR+335 basis points), 10/16/2037<sup>1,2,3</sup> | 1808854 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-27A, Class A1R, 5.084% (3-Month Term SOFR+120 basis points), 4/20/2038<sup>1,2,3</sup> | 1000201 |
|  | Magnetite CLO Ltd. |  |
| 1100000 | &nbsp;&nbsp;&nbsp;Series 2020-25A, Class E, 10.470% (3-Month Term SOFR+661 basis points), 1/25/2032<sup>1,2,3</sup> | 1107097 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2024-44A, Class D1, 6.755% (3-Month Term SOFR+285 basis points), 10/15/2037<sup>1,2,3</sup> | 1260028 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-28A, Class D1RR, 6.605% (3-Month Term SOFR+270 basis points), 1/15/2038<sup>1,2,3</sup> | 1005323 |
| 5955000 | &nbsp;&nbsp;&nbsp;Series 2020-26A, Class D1R2, 6.358% (3-Month Term SOFR+250 basis points), 1/25/2038<sup>1,2,3</sup> | 5934886 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2020-27A, Class D1RR, 6.584% (3-Month Term SOFR+265 basis points), 10/20/2038<sup>1,2,3</sup> | 754160 |
| 1000000 | Marble Point CLO Ltd.<br> Series 2019-1A, Class BR2, 5.460% (3-Month Term SOFR+160 basis points), 7/23/2032<sup>1,2,3</sup> | 1002736 |
|  | Menlo CLO Ltd. |  |
| 1375000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class D1, 7.134% (3-Month Term SOFR+325 basis points), 1/20/2038<sup>1,2,3</sup> | 1382221 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2025-2A, Class D1, 7.184% (3-Month Term SOFR+330 basis points), 4/20/2038<sup>1,2,3</sup> | 1507983 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-3A, Class D, 6.894% (3-Month Term SOFR+300 basis points), 10/16/2038<sup>1,2,3</sup> | 1002691 |
|  | Morgan Stanley Eaton Vance CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-18A, Class D1R, 6.984% (3-Month Term SOFR+310 basis points), 10/20/2037<sup>1,2,3</sup> | 997500 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-1A, Class ER, 10.004% (3-Month Term SOFR+606 basis points), 10/23/2037<sup>1,2,3</sup> | 1005311 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-19A, Class D1R, 6.905% (3-Month Term SOFR+300 basis points), 7/15/2038<sup>1,2,3,6</sup> | 1006649 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-19A, Class D2R, 8.405% (3-Month Term SOFR+450 basis points), 7/15/2038<sup>1,2,3</sup> | 1005254 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | Mountain View CLO Ltd.<br> Series 2019-2A, Class DR, 8.505% (3-Month Term SOFR+460 basis points), 7/15/2037<sup>1,2,3</sup> | $1007533 |
|  | Neuberger Berman CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2016-22A, Class ER2, 10.712% (3-Month Term SOFR+683 basis points), 4/15/2038<sup>1,2,3</sup> | 1009491 |
| 3500000 | &nbsp;&nbsp;&nbsp;Series 2017-16SA, Class A1R2, 5.085% (3-Month Term SOFR+118 basis points), 4/15/2039<sup>1,2,3</sup> | 3499650 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2017-16SA, Class D1R2, 6.605% (3-Month Term SOFR+270 basis points), 4/15/2039<sup>1,2,3</sup> | 2011014 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2019-32RA, Class D1, 7.279% (3-Month Term SOFR+295 basis points), 7/20/2039<sup>1,2,3</sup> | 2010232 |
|  | Neuberger Berman Loan Advisers CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-41A, Class DR, 6.705% (3-Month Term SOFR+280 basis points), 4/15/2034<sup>1,2,3</sup> | 1005067 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-27A, Class D2R, 8.405% (3-Month Term SOFR+450 basis points), 7/15/2038<sup>1,2,3</sup> | 1004973 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-28A, Class D1R, 7.084% (3-Month Term SOFR+320 basis points), 10/20/2038<sup>1,2,3</sup> | 1010074 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2019-31A, Class AR2, 5.114% (3-Month Term SOFR+123 basis points), 1/20/2039<sup>1,2,3</sup> | 2501815 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-33A, Class D2R2, 8.044% (3-Month Term SOFR+415 basis points), 4/16/2039<sup>1,2,3</sup> | 1005225 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-60A, Class E, 10.337% (3-Month Term SOFR+648 basis points), 4/22/2039<sup>1,2,3</sup> | 1031334 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-36RA, Class D, 7.032% (3-Month Term SOFR+275 basis points), 7/20/2039<sup>1,2,3</sup> | 1507807 |
|  | New Mountain CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series CLO-1A, Class DRR, 6.755% (3-Month Term SOFR+285 basis points), 1/15/2038<sup>1,2,3</sup> | 1005306 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series CLO-4A, Class ER, 10.794% (3-Month Term SOFR+691 basis points), 3/20/2038<sup>1,2,3</sup> | 1030939 |
| 1750000 | Newark BSL CLO Ltd.<br> Series 2017-1A, Class D, 10.420% (3-Month Term SOFR+656 basis points), 7/25/2030<sup>1,2,3</sup> | 1762142 |
|  | Oaktree CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class DR, 7.005% (3-Month Term SOFR+310 basis points), 7/15/2038<sup>1,2,3</sup> | 1005429 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class ER, 9.905% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>1,2,3</sup> | 1492311 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class A1R, 5.234% (3-Month Term SOFR+135 basis points), 7/20/2038<sup>1,2,3</sup> | 2000374 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D1R, 6.934% (3-Month Term SOFR+305 basis points), 7/20/2038<sup>1,2,3</sup> | 2010858 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class ER, 9.884% (3-Month Term SOFR+600 basis points), 7/20/2038<sup>1,2,3</sup> | $1009830 |
|  | OCP CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-5A, Class BR, 5.920% (3-Month Term SOFR+206 basis points), 4/26/2031<sup>1,2,3,6</sup> | 1006647 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-5A, Class CR, 7.020% (3-Month Term SOFR+316 basis points), 4/26/2031<sup>1,2,3,6</sup> | 1003396 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-16A, Class DR, 7.339% (3-Month Term SOFR+341 basis points), 4/10/2033<sup>1,2,3</sup> | 1003708 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-30A, Class D, 8.365% (3-Month Term SOFR+450 basis points), 1/24/2037<sup>1,2,3</sup> | 1000000 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-30A, Class E, 10.955% (3-Month Term SOFR+709 basis points), 1/24/2037<sup>1,2,3</sup> | 1000000 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-20A, Class D1R, 7.484% (3-Month Term SOFR+360 basis points), 4/18/2037<sup>1,2,3</sup> | 1007553 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-22A, Class D1R, 6.884% (3-Month Term SOFR+300 basis points), 10/20/2037<sup>1,2,3</sup> | 1007991 |
| 2000000 | Octagon Investment Partners Ltd.<br> Series 2018-18A, Class C, 6.855% (3-Month Term SOFR+296 basis points), 4/16/2031<sup>1,2,3,6</sup> | 2007594 |
|  | Octagon Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-1A, Class D, 7.266% (3-Month Term SOFR+336 basis points), 10/15/2034<sup>1,2,3</sup> | 997944 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D1R, 6.630% (3-Month Term SOFR+275 basis points), 10/20/2038<sup>1,2,3</sup> | 1006799 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class ER, 9.630% (3-Month Term SOFR+575 basis points), 10/20/2038<sup>1,2,3</sup> | 1262306 |
| 2000000 | OHA Credit Funding Ltd.<br> Series 2021-8A, Class D1R, 6.534% (3-Month Term SOFR+265 basis points), 1/20/2038<sup>1,2,3</sup> | 2010646 |
|  | OZLM Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-22A, Class C, 6.793% (3-Month Term SOFR+291 basis points), 1/17/2031<sup>1,2,3</sup> | 1003330 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-21A, Class C, 6.816% (3-Month Term SOFR+293 basis points), 1/20/2031<sup>1,2,3</sup> | 1003353 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-18A, Class D, 7.016% (3-Month Term SOFR+311 basis points), 4/15/2031<sup>1,2,3</sup> | 1003319 |
| 1120000 | &nbsp;&nbsp;&nbsp;Series 2018-20A, Class C, 7.096% (3-Month Term SOFR+321 basis points), 4/20/2031<sup>1,2,3</sup> | 1123750 |
| 500000 | Palmer Square Loan Funding Ltd.<br> Series 2020-1A, Class SUB, 0.000%, 2/20/2028<sup>1,2,4,7,8</sup> |  |
|  | Post CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2021-1A, Class DR, 6.905% (3-Month Term SOFR+300 basis points), 10/15/2034<sup>1,2,3</sup> | 750022 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class E, 10.684% (3-Month Term SOFR+680 basis points), 4/20/2037<sup>1,2,3</sup> | $1016564 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class BR, 5.560% (3-Month Term SOFR+170 basis points), 10/20/2038<sup>1,2,3</sup> | 754715 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D1R, 6.710% (3-Month Term SOFR+285 basis points), 10/20/2038<sup>1,2,3</sup> | 1512989 |
| 675000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D2R, 7.810% (3-Month Term SOFR+395 basis points), 10/20/2038<sup>1,2,3</sup> | 675009 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class E, 9.110% (3-Month Term SOFR+540 basis points), 1/20/2039<sup>1,2,3</sup> | 996167 |
| 2000000 | Rad CLO Ltd.<br> Series 2021-15A, Class A1AR, 5.244% (3-Month Term SOFR+136 basis points), 7/20/2040<sup>1,2,3</sup> | 2005573 |
|  | Regatta Funding Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-2A, Class ER, 11.005% (3-Month Term SOFR+710 basis points), 1/15/2033<sup>1,2,3</sup> | 1005791 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class A1R3, 4.765% (3-Month Term SOFR+107 basis points), 6/20/2034<sup>1,2,3</sup> | 2000095 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class ER3, 10.095% (3-Month Term SOFR+640 basis points), 6/20/2034<sup>1,2,3</sup> | 1497757 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class D1R, 7.582% (3-Month Term SOFR+370 basis points), 4/17/2037<sup>1,2,3</sup> | 1511300 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class D2R, 8.882% (3-Month Term SOFR+500 basis points), 4/17/2037<sup>1,2,3</sup> | 502418 |
| 1300000 | &nbsp;&nbsp;&nbsp;Series 2021-3A, Class D1R, 7.005% (3-Month Term SOFR+310 basis points), 10/15/2037<sup>1,2,3</sup> | 1306486 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2021-5A, Class D2R, 7.884% (3-Month Term SOFR+400 basis points), 1/20/2038<sup>1,2,3</sup> | 753872 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-4A, Class A1, 5.442% (3-Month Term SOFR+134 basis points), 7/25/2038<sup>1,2,3</sup> | 2007175 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2025-5A, Class D1, 7.085% (3-Month Term SOFR+280 basis points), 10/15/2038<sup>1,2,3</sup> | 2513390 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D1R, 6.352% (3-Month Term SOFR+260 basis points), 1/25/2039<sup>1,2,3</sup> | 1000001 |
| 2500000 | Riserva CLO Ltd.<br> Series 2016-3A, Class DRR, 7.396% (3-Month Term SOFR+351 basis points), 1/18/2034<sup>1,2,3</sup> | 2481545 |
|  | RR Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2022-21A, Class DR, 9.755% (3-Month Term SOFR+585 basis points), 7/15/2039<sup>1,2,3</sup> | 755503 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2024-36RA, Class C1R, 6.655% (3-Month Term SOFR+275 basis points), 1/15/2040<sup>1,2,3</sup> | 2010634 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Sculptor CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 30A, Class ER, 10.704% (3-Month Term SOFR+682 basis points), 7/20/2038<sup>1,2,3</sup> | $747205 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 29A, Class D1R, 7.257% (3-Month Term SOFR+340 basis points), 7/22/2038<sup>1,2,3</sup> | 1508072 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 29A, Class D2R, 8.207% (3-Month Term SOFR+435 basis points), 7/22/2038<sup>1,2,3</sup> | 1005258 |
|  | Shackleton CLO Ltd. |  |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2019-14A, Class DRR, 6.884% (3-Month Term SOFR+300 basis points), 7/20/2034<sup>1,2,3</sup> | 1254245 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2019-14A, Class ERR, 9.784% (3-Month Term SOFR+590 basis points), 7/20/2034<sup>1,2,3</sup> | 1235148 |
|  | Signal Peak CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class BR2, 5.508% (3-Month Term SOFR+165 basis points), 10/26/2034<sup>1,2,3</sup> | 1001824 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-5A, Class D1R, 8.058% (3-Month Term SOFR+420 basis points), 4/25/2037<sup>1,2,3</sup> | 1012535 |
|  | Silver Point CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D1R, 7.034% (3-Month Term SOFR+315 basis points), 4/20/2038<sup>1,2,3</sup> | 1512411 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2025-11A, Class D1, 7.283% (3-Month Term SOFR+300 basis points), 7/15/2038<sup>1,2,3</sup> | 1507861 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2025-12A, Class A1, 5.288% (3-Month Term SOFR+131 basis points), 10/15/2038<sup>1,2,3</sup> | 1504500 |
| 2350000 | Sixth Street CLO Ltd.<br> Series 2023-22A, Class D1R, 6.520% (3-Month Term SOFR+265 basis points), 4/21/2038<sup>1,2,3</sup> | 2365498 |
| 1350000 | Sound Point CLO Ltd.<br> Series 2018-2A, Class D, 7.120% (3-Month Term SOFR+326 basis points), 7/26/2031<sup>1,2,3</sup> | 1353328 |
| 1000000 | Symphony CLO Ltd.<br> Series 2023-39A, Class AR, 5.188% (3-Month Term SOFR+133 basis points), 1/25/2038<sup>1,2,3</sup> | 1003340 |
|  | THL Credit Wind River CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2015-1A, Class ER, 9.946% (3-Month Term SOFR+606 basis points), 10/20/2030<sup>1,2,3,6</sup> | 1996298 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-3A, Class AR3, 4.992% (3-Month Term SOFR+120 basis points), 1/15/2038<sup>1,2,3</sup> | 1002442 |
|  | Trestles CLO Ltd. |  |
| 1290000 | &nbsp;&nbsp;&nbsp;Series 2025-8A, Class D1, 7.297% (3-Month Term SOFR+300 basis points), 6/11/2035<sup>1,2,3</sup> | 1297848 |
| 2250000 | &nbsp;&nbsp;&nbsp;Series 2023-6A, Class A1R, 5.038% (3-Month Term SOFR+118 basis points), 4/25/2038<sup>1,2,3</sup> | 2246560 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Trinitas CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-15A, Class E, 11.569% (3-Month Term SOFR+771 basis points), 4/22/2034<sup>1,2,3</sup> | $988538 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-25A, Class D1, 8.860% (3-Month Term SOFR+500 basis points), 1/23/2037<sup>1,2,3</sup> | 1000000 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-21A, Class C1R, 5.834% (3-Month Term SOFR+195 basis points), 4/20/2038<sup>1,2,3</sup> | 1002156 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-34A, Class D1, 7.857% (3-Month Term SOFR+400 basis points), 4/22/2038<sup>1,2,3</sup> | 2010465 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-34A, Class E, 11.017% (3-Month Term SOFR+716 basis points), 4/22/2038<sup>1,2,3</sup> | 1022389 |
|  | Upland CLO Ltd. |  |
| 30426 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class A1AR, 5.166% (3-Month Term SOFR+128 basis points), 4/20/2031<sup>1,2,3,6</sup> | 30463 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class CR, 7.046% (3-Month Term SOFR+316 basis points), 4/20/2031<sup>1,2,3</sup> | 752512 |
| 833954 | Venture CLO Ltd.<br> Series 2019-38A, Class ARR, 4.838% (3-Month Term SOFR+100 basis points), 7/30/2032<sup>1,2,3</sup> | 834716 |
| 1000000 | Verdelite Static CLO Ltd.<br> Series 2024-1A, Class D, 6.734% (3-Month Term SOFR+285 basis points), 7/20/2032<sup>1,2,3</sup> | 1001032 |
|  | Voya CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class C, 7.473% (3-Month Term SOFR+359 basis points), 4/17/2030<sup>1,2,3</sup> | 752488 |
| 716000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class CR, 7.116% (3-Month Term SOFR+321 basis points), 10/15/2030<sup>1,2,3</sup> | 718375 |
| 1325000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class CR, 6.796% (3-Month Term SOFR+291 basis points), 1/20/2031<sup>1,2,3</sup> | 1329443 |
| 2127000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class C, 6.746% (3-Month Term SOFR+286 basis points), 4/19/2031<sup>1,2,3</sup> | 2134134 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D, 6.916% (3-Month Term SOFR+301 basis points), 7/15/2031<sup>1,2,3,6</sup> | 1254181 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-3A, Class CRR, 7.396% (3-Month Term SOFR+351 basis points), 10/18/2031<sup>1,2,3</sup> | 1003376 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-3A, Class CR4, 6.784% (3-Month Term SOFR+290 basis points), 10/20/2031<sup>1,2,3</sup> | 1002616 |
| 5000000 | &nbsp;&nbsp;&nbsp;Series 2017-3A, Class CRR, 6.984% (3-Month Term SOFR+310 basis points), 4/20/2034<sup>1,2,3</sup> | 5012993 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-4A, Class ER, 10.584% (3-Month Term SOFR+670 basis points), 4/20/2037<sup>1,2,3,6</sup> | 1012953 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-1A, Class A1RR, 5.275% (3-Month Term SOFR+137 basis points), 10/15/2037<sup>1,2,3</sup> | 1003241 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-1A, Class D1RR, 6.955% (3-Month Term SOFR+305 basis points), 10/15/2037<sup>1,2,3</sup> | $1007982 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-2A, Class D2RR, 7.884% (3-Month Term SOFR+400 basis points), 1/20/2038<sup>1,2,3</sup> | 1005163 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class ARR, 5.120% (3-Month Term SOFR+125 basis points), 1/20/2038<sup>1,2,3</sup> | 1501410 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class D1RR, 6.570% (3-Month Term SOFR+270 basis points), 1/20/2038<sup>1,2,3</sup> | 1004289 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class D2RR, 7.720% (3-Month Term SOFR+385 basis points), 1/20/2038<sup>1,2,3</sup> | 1005181 |
| 600000 | Wellington Management CLO Ltd.<br> Series 2023-1A, Class D2R, 7.854% (3-Month Term SOFR+400 basis points), 10/20/2038<sup>1,2,3</sup> | 597847 |
|  | Whitebox CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-4A, Class D1R, 7.784% (3-Month Term SOFR+390 basis points), 4/20/2036<sup>1,2,3</sup> | 1506936 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-4A, Class ER, 10.364% (3-Month Term SOFR+648 basis points), 4/20/2036<sup>1,2,3</sup> | 1015876 |
| 1500000 | Wind River CLO Ltd.<br> Series 2021-4A, Class AR, 5.100% (3-Month Term SOFR+123 basis points), 1/20/2035<sup>1,2,3,6</sup> | 1500379 |
|  | **TOTAL COLLATERALIZED LOAN OBLIGATIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $317,697,318) | **319885205** |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS — 13.9%** |  |
| 388969 | Ajax Mortgage Loan Trust<br> Series 2021-F, Class A, 4.875%, 6/25/2061 | 389072 |
| 3683510 | Alternative Loan Trust<br> Series 2006-HY10, Class 1X, 0.476%, 5/25/2036<sup>2,8</sup> | 69585 |
| 650000 | Bellemeade Re Ltd.<br> Series 2025-1, Class M2, 7.774% (30-Day SOFR Average+390 basis points), 10/25/2035<sup>1,2,3</sup> | 650806 |
|  | Chase Home Lending Mortgage Trust |  |
| 353977 | &nbsp;&nbsp;&nbsp;Series 2024-5, Class A4, 6.000%, 4/25/2055<sup>1,2,8</sup> | 360098 |
| 2512280 | &nbsp;&nbsp;&nbsp;Series 2025-8, Class A4, 6.000%, 6/25/2056<sup>1,2,8</sup> | 2548663 |
| 2501237 | Chase Mortgage Finance Trust<br> Series 2007-A1, Class 1M, 6.392%, 2/25/2037<sup>2,8</sup> | 2383134 |
| 1414445 | CHL Mortgage Pass-Through Trust<br> Series 2005-HYB2, Class M, 5.063%, 5/20/2035<sup>2,8</sup> | 1239229 |
| 1000000 | COLT Mortgage Loan Trust<br> Series 2025-7, Class B1, 6.922%, 6/25/2070 | 1008304 |
|  | Connecticut Avenue Securities Trust |  |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2021-R01, Class 1B2, 9.874% (30-Day SOFR Average+600 basis points), 10/25/2041 | 1859409 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
| 1950000 | &nbsp;&nbsp;&nbsp;Series 2021-R02, Class 2B2, 10.074% (30-Day SOFR Average+620 basis points), 11/25/2041 | $2022780 |
| 1920000 | &nbsp;&nbsp;&nbsp;Series 2021-R03, Class 1B2, 9.374% (30-Day SOFR Average+550 basis points), 12/25/2041 | 1986374 |
| 1700000 | &nbsp;&nbsp;&nbsp;Series 2022-R01, Class 1B2, 9.874% (30-Day SOFR Average+600 basis points), 12/25/2041 | 1762854 |
| 1610000 | &nbsp;&nbsp;&nbsp;Series 2022-R04, Class 1B2, 13.374% (30-Day SOFR Average+950 basis points), 3/25/2042 | 1755520 |
| 2450000 | &nbsp;&nbsp;&nbsp;Series 2022-R05, Class 2B2, 10.874% (30-Day SOFR Average+700 basis points), 4/25/2042 | 2612244 |
| 1646000 | Cross Mortgage Trust<br> Series 2025-H6, Class B1B, 7.585%, 7/25/2070 | 1638937 |
|  | CSMC Trust |  |
| 2400000 | &nbsp;&nbsp;&nbsp;Series 2019-RPL1, Class B2, 4.087%, 7/25/2058 | 1790579 |
| 272429 | &nbsp;&nbsp;&nbsp;Series 2021-RPL4, Class A2, 7.559%, 12/27/2060 | 274614 |
| 1750000 | &nbsp;&nbsp;&nbsp;Series 2021-NQM7, Class B2, 4.357%, 10/25/2066 | 1524887 |
| 1875000 | &nbsp;&nbsp;&nbsp;Series 2021-NQM8, Class B1, 4.211%, 10/25/2066 | 1534337 |
| 2010000 | Deephaven Residential Mortgage Trust<br> Series 2021-1, Class B2, 3.955%, 5/25/2065 | 1835570 |
| 1347572 | Deutsche Alt-A Securities Mortgage Loan Trust<br> Series 2007-OA5, Class A1B, 4.286% (1-Month Term SOFR+55 basis points), 8/25/2047<sup>2,3</sup> | 1181923 |
| 1000000 | Easy Street Mortgage Loan Trust<br> Series 2025-RTL2, Class A1, 5.606%, 10/25/2040 | 1003110 |
|  | EFMT |  |
| 1060000 | &nbsp;&nbsp;&nbsp;Series 2025-RTL1, Class M1, 6.394%, 11/25/2040 | 1068592 |
| 1440000 | &nbsp;&nbsp;&nbsp;Series 2025-RTL1, Class M2, 8.334%, 11/25/2040 | 1463495 |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2024-NQM1, Class B1B, 7.526%, 11/25/2069 | 1811851 |
|  | Fannie Mae REMICS |  |
| 1002531 | &nbsp;&nbsp;&nbsp;Series 2023-51, Class PO, 0.000%, 11/25/2053 | 872991 |
| 1158423 | &nbsp;&nbsp;&nbsp;Series 2023-54, Class PO, 0.000%, 11/25/2053 | 981283 |
| 1282607 | &nbsp;&nbsp;&nbsp;Series 2025-6, Class FB, 5.874% (30-Day SOFR Average+200 basis points), 2/25/2055 | 1300246 |
| 1667889 | &nbsp;&nbsp;&nbsp;Series 2025-49, Class FA, 4.674% (30-Day SOFR Average+80 basis points), 6/25/2055 | 1657708 |
|  | FARM Mortgage Trust |  |
| 1347967 | &nbsp;&nbsp;&nbsp;Series 2021-1, Class B, 3.227%, 7/25/2051 | 1023599 |
| 2895518 | &nbsp;&nbsp;&nbsp;Series 2023-1, Class B, 3.036%, 3/25/2052 | 2176300 |
| 2299063 | &nbsp;&nbsp;&nbsp;Series 2025-2, Class B, 5.690%, 9/25/2055 | 2027088 |
| 182000 | Fidelis Mortgage Trust<br> Series 2025-RTL1, Class B, 8.950%, 2/27/2040 | 183860 |
|  | Freddie Mac REMICS |  |
| 2132462 | &nbsp;&nbsp;&nbsp;Series 5266, Class FA, 4.694% (30-Day SOFR Average+82 basis points), 9/25/2052 | 2107410 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
| 1400988 | &nbsp;&nbsp;&nbsp;Series 5435, Class BS, 4.177% (30-Day SOFR Average+1,193 basis points), 7/25/2054 | $1310719 |
| 2108796 | &nbsp;&nbsp;&nbsp;Series 5502, Class FD, 5.474% (30-Day SOFR Average+160 basis points), 2/25/2055 | 2133461 |
| 2671142 | &nbsp;&nbsp;&nbsp;Series 5502, Class FC, 5.874% (30-Day SOFR Average+200 basis points), 2/25/2055 | 2707873 |
| 1000000 | Freddie Mac Seasoned Credit Risk Transfer Trust<br> Series 2022-1, Class M, 4.500%, 11/25/2061 | 935017 |
| 1000000 | Freddie Mac STACR REMIC Trust<br> Series 2025-DNA4, Class M2, 5.424% (30-Day SOFR Average+155 basis points), 10/25/2045 | 1006389 |
| 1000000 | Freddie Mac Structured Agency Credit Risk Debt Notes<br> Series 2022-HQA1, Class B2, 14.874% (30-Day SOFR Average+1,100 basis points), 3/25/2042 | 1106361 |
| 2500000 | GCAT Trust<br> Series 2025-INV5, Class A28, 5.486% (30-Day SOFR Average+150 basis points), 12/25/2055 | 2504712 |
|  | Government National Mortgage Association |  |
| 1037480 | &nbsp;&nbsp;&nbsp;Series 2024-79, Class VB, 5.074% (30-Day SOFR Average+1,095 basis points), 5/20/2054 | 1011257 |
| 426274 | &nbsp;&nbsp;&nbsp;Series 2025-4, Class FY, 5.518% (30-Day SOFR Average+160 basis points), 1/20/2055 | 429408 |
|  | GS Mortgage-Backed Securities Trust |  |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2022-LTV1, Class A14, 3.000%, 6/25/2052 | 1829695 |
| 1722317 | &nbsp;&nbsp;&nbsp;Series 2023-PJ6, Class A4, 6.500%, 4/25/2054<sup>1,2,8</sup> | 1768401 |
| 2443590 | &nbsp;&nbsp;&nbsp;Series 2025-PJ5, Class A2, 5.500%, 10/25/2055<sup>1,2,8</sup> | 2465563 |
| 2604758 | HarborView Mortgage Loan Trust<br> Series 2006-10, Class 1A1A, 4.246% (1-Month Term SOFR+51 basis points), 11/19/2036<sup>2,3</sup> | 2109557 |
| 207714 | HomeBanc Mortgage Trust<br> Series 2006-1, Class 3A2, 4.702%, 4/25/2037<sup>2,8</sup> | 187308 |
| 1700000 | HOMES Trust<br> Series 2025-NQM3, Class B1, 7.411%, 2/25/2070 | 1734558 |
|  | Homeward Opportunities Fund Trust |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-RRTL2, Class M1, 8.164%, 9/25/2039 | 1508838 |
| 922000 | &nbsp;&nbsp;&nbsp;Series 2024-RRTL2, Class M2, 9.081%, 9/25/2039 | 922392 |
| 2250000 | &nbsp;&nbsp;&nbsp;Series 2025-RRTL2, Class M1, 6.536%, 9/25/2040 | 2270824 |
| 459583 | IndyMac INDX Mortgage Loan Trust<br> Series 2005-AR15, Class A1, 3.983%, 9/25/2035<sup>2,8</sup> | 373028 |
|  | JP Morgan Mortgage Trust |  |
| 2109944 | &nbsp;&nbsp;&nbsp;Series 2021-12, Class B5, 3.160%, 2/25/2052 | 1720744 |
| 4428628 | &nbsp;&nbsp;&nbsp;Series 2023-2, Class A2, 5.500%, 7/25/2053<sup>1,2,8</sup> | 4468229 |
| 2235814 | &nbsp;&nbsp;&nbsp;Series 2024-CCM1, Class A3, 5.500%, 4/25/2055<sup>1,2,8</sup> | 2254242 |
| 2564607 | &nbsp;&nbsp;&nbsp;Series 2024-INV1, Class A3, 5.500%, 4/25/2055<sup>1,2,8</sup> | 2589335 |
| 1424986 | &nbsp;&nbsp;&nbsp;Series 2024-12, Class A2, 6.000%, 6/25/2055<sup>1,2,8</sup> | 1452152 |
| 2630176 | &nbsp;&nbsp;&nbsp;Series 2025-CCM1, Class A2, 5.500%, 6/25/2055<sup>1,2,8</sup> | 2660315 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-5MPR, Class B1, 7.223%, 11/25/2055 | $1018902 |
|  | LHOME Mortgage Trust |  |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2024-RTL5, Class M2, 8.180%, 9/25/2039 | 1822991 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-RTL1, Class M2, 8.379%, 1/25/2040 | 1027286 |
| 2100000 | &nbsp;&nbsp;&nbsp;Series 2025-RTL3, Class M1, 6.891%, 8/25/2040 | 2120110 |
| 2000000 | MFA Trust<br> Series 2024-RTL3, Class A2, 6.539%, 11/25/2039 | 2031140 |
| 3025000 | Mill City Mortgage Loan Trust<br> Series 2019-GS2, Class B2, 3.250%, 8/25/2059 | 2412725 |
| 1840134 | Morgan Stanley Mortgage Loan Trust<br> Series 2005-2AR, Class B1, 4.346% (1-Month Term SOFR+61 basis points), 4/25/2035<sup>2,3</sup> | 1618880 |
|  | Morgan Stanley Residential Mortgage Loan Trust |  |
| 1894879 | &nbsp;&nbsp;&nbsp;Series 2024-INV3, Class A1, 6.500%, 6/25/2054<sup>1,2,8</sup> | 1947037 |
| 2126109 | &nbsp;&nbsp;&nbsp;Series 2025-1, Class A1, 6.000%, 3/25/2055<sup>1,2,8</sup> | 2166641 |
| 620000 | &nbsp;&nbsp;&nbsp;Series 2025-SPL1, Class M1, 4.250%, 2/25/2065 | 571504 |
| 1360000 | &nbsp;&nbsp;&nbsp;Series 2025-SPL1, Class B1, 4.250%, 2/25/2065 | 1206782 |
|  | New Residential Mortgage Loan Trust |  |
| 190000 | &nbsp;&nbsp;&nbsp;Series 2024-RTL1, Class M1, 9.298%, 3/25/2039 | 191081 |
| 543933 | &nbsp;&nbsp;&nbsp;Series 2014-3A, Class B4, 5.375%, 11/25/2054 | 533209 |
| 1292000 | &nbsp;&nbsp;&nbsp;Series 2021-NQ1R, Class B2, 4.328%, 7/25/2055 | 1165403 |
| 2227798 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class B6, 5.624%, 12/25/2057<sup>1,2,8</sup> | 1903475 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2019-RPL3, Class B3, 3.978%, 7/25/2059 | 417943 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-NQM1, Class B2, 7.492%, 10/25/2063 | 1978206 |
| 1315000 | &nbsp;&nbsp;&nbsp;Series 2024-NQM1, Class B2, 7.981%, 3/25/2064 | 1333385 |
| 1800000 | NYMT Loan Trust<br> Series 2025-INV1, Class B1, 6.989%, 4/25/2060 | 1805553 |
|  | OBX Trust |  |
| 982511 | &nbsp;&nbsp;&nbsp;Series 2025-R1, Class A3, 5.193%, 9/25/2062 | 985082 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-R1, Class M1, 5.754%, 9/25/2062 | 1007604 |
| 2000000 | PRET Trust<br> Series 2025-RPL4, Class M2, 4.000%, 3/25/2065 | 1773558 |
| 2989000 | PRPM LLC<br> Series 2025-6, Class A2, 8.326%, 8/25/2028<sup>1,2,5</sup> | 3011851 |
| 959036 | &nbsp;&nbsp;&nbsp;Series 2025-7, Class A1, 5.503%, 8/25/2030 | 962429 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2025-7, Class A2, 7.449%, 8/25/2030<sup>1,2,5</sup> | 1254341 |
| 2139000 | &nbsp;&nbsp;&nbsp;Series 2025-7, Class M1, 10.551%, 8/25/2030 | 2161434 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2024-RCF1, Class M2, 4.000%, 1/25/2054<sup>1,2,5</sup> | 1914194 |
| 2750000 | &nbsp;&nbsp;&nbsp;Series 2025-RPL3, Class M2, 3.250%, 4/25/2055 | 2507714 |
| 1145000 | &nbsp;&nbsp;&nbsp;Series 2025-RCF4, Class M2, 4.500%, 8/25/2055 | 1056133 |
| 500000 | PRPM Trust<br> Series 2024-NQM3, Class B1, 7.400%, 8/25/2069 | 506987 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
| 1954462 | RCO Mortgage LLC<br> Series 2025-5, Class A1, 5.418%, 10/25/2030 | $1960406 |
|  | Redwood Funding Trust |  |
| 1934937 | &nbsp;&nbsp;&nbsp;Series 2025-2, Class A, 7.112%, 10/25/2055 | 1956167 |
| 877777 | &nbsp;&nbsp;&nbsp;Series 2025-3, Class A, 6.231%, 12/27/2056 | 887426 |
| 1146000 | &nbsp;&nbsp;&nbsp;Series 2025-3, Class B, 7.749%, 12/27/2056 | 1157824 |
|  | Saluds Grade Alternative Mortgage Trust |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2025-RRTL1, Class A1, 5.320%, 10/25/2040 | 752541 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-RRTL1, Class M2, 8.417%, 10/25/2040 | 1985642 |
| 750000 | Splitero Trust<br> Series 2025-1, Class B1, 7.000%, 12/25/2055<sup>1,2,5</sup> | 662870 |
| 1155000 | Starwood Mortgage Residential Trust<br> Series 2020-3, Class B2, 4.750%, 4/25/2065 | 1021181 |
| 420248 | Structured Asset Mortgage Investments II Trust<br> Series 2004-AR5, Class 1M, 4.521% (1-Month Term SOFR+79 basis points), 10/19/2034<sup>2,3</sup> | 367426 |
|  | Toorak Mortgage Trust |  |
| 2365000 | &nbsp;&nbsp;&nbsp;Series 2024-2, Class A2, 8.647%, 10/25/2031 | 2387420 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-RRTL2, Class B1, 8.178%, 9/25/2039 | 1505139 |
|  | Towd Point Mortgage Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2017-4, Class B4, 3.645%, 6/25/2057 | 1588474 |
| 1287812 | &nbsp;&nbsp;&nbsp;Series 2021-R1, Class B1, 0.000%, 11/30/2060 | 537539 |
| 943000 | &nbsp;&nbsp;&nbsp;Series 2021-R1, Class B2, 0.000%, 11/30/2060 | 371002 |
| 2060405 | &nbsp;&nbsp;&nbsp;Series 2021-R1, Class B3, 0.000%, 11/30/2060 | 731811 |
| 15047448 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class XS3, 0.000%, 12/25/2061<sup>1,2,8</sup> | 173873 |
| 15047448 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class X, 0.000%, 12/25/2061<sup>1,2,8</sup> | 301024 |
| 1167000 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class B1, 4.552%, 12/25/2061<sup>1,2,8</sup> | 1069648 |
| 1218620 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class B3, 4.552%, 12/25/2061<sup>1,2,8</sup> | 959082 |
| 1242926 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class B4, 4.552%, 12/25/2061<sup>1,2,8</sup> | 863144 |
|  | Verus Securitization Trust |  |
| 1087000 | &nbsp;&nbsp;&nbsp;Series 2022-1, Class B1, 4.007%, 1/25/2067 | 871471 |
| 1440000 | &nbsp;&nbsp;&nbsp;Series 2023-INV1, Class B2, 7.451%, 2/25/2068 | 1434370 |
| 476000 | &nbsp;&nbsp;&nbsp;Series 2023-INV2, Class B1, 8.023%, 8/25/2068 | 479778 |
| 373000 | &nbsp;&nbsp;&nbsp;Series 2023-6, Class B1, 7.769%, 9/25/2068 | 377406 |
| 634000 | &nbsp;&nbsp;&nbsp;Series 2023-7, Class B1, 7.899%, 10/25/2068 | 643408 |
| 1750000 | &nbsp;&nbsp;&nbsp;Series 2024-INV1, Class B2, 8.447%, 3/25/2069 | 1773604 |
| 392000 | &nbsp;&nbsp;&nbsp;Series 2024-6, Class B1, 7.221%, 7/25/2069 | 398419 |
| 2300000 | &nbsp;&nbsp;&nbsp;Series 2024-INV2, Class B2, 7.941%, 8/26/2069 | 2313420 |
| 1010000 | &nbsp;&nbsp;&nbsp;Series 2024-7, Class B2, 7.807%, 9/25/2069 | 1021955 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-2, Class B1, 6.966%, 3/25/2070 | 1010787 |
| 1784000 | &nbsp;&nbsp;&nbsp;Series 2025-4, Class B2, 7.435%, 5/25/2070 | 1793569 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
| 466000 | Visio Trust<br> Series 2023-2, Class M1, 7.709%, 10/25/2058 | $470853 |
|  | **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $168,618,217) | **169809089** |
|  | **COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.2%** |  |
|  | AG Trust |  |
| 800000 | &nbsp;&nbsp;&nbsp;Series 2024-NLP, Class B, 6.514% (1-Month Term SOFR+276 basis points), 8/15/2041<sup>1,3</sup> | 805781 |
| 1064000 | &nbsp;&nbsp;&nbsp;Series 2024-NLP, Class D, 8.404% (1-Month Term SOFR+465 basis points), 8/15/2041<sup>1,3</sup> | 1068716 |
|  | Atrium Hotel Portfolio Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-ATRM, Class D, 7.050% (1-Month Term SOFR+330 basis points), 8/15/2042<sup>1,3</sup> | 2003928 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-ATRM, Class G, 10.500% (1-Month Term SOFR+675 basis points), 8/15/2042<sup>1,3</sup> | 1004472 |
| 2000000 | BAHA Trust<br> Series 2024-MAR, Class D, 8.907%, 12/10/2041<sup>1,8</sup> | 2106312 |
| 781486 | BANK<br> Series 2018-BN14, Class A2, 4.128%, 9/15/2060<sup>2</sup> | 778735 |
| 1765000 | BMO Mortgage Trust<br> Series 2022-C2, Class XD, 2.310%, 7/15/2054<sup>1,8</sup> | 233289 |
| 2500000 | BRCK Trust<br> Series 2025-830B, Class D, 6.409%, 12/10/2042<sup>1,8</sup> | 2528395 |
|  | BWAY Mortgage Trust |  |
| 1180763 | &nbsp;&nbsp;&nbsp;Series 2013-1515, Class A2, 3.454%, 3/10/2033<sup>1,2</sup> | 1119858 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2013-1515, Class B, 3.473%, 3/10/2033<sup>1,2</sup> | 1160795 |
| 2400000 | BX Trust<br> Series 2025-VOLT, Class D, 6.500% (1-Month Term SOFR+275 basis points), 12/15/2044<sup>1,3</sup> | 2405748 |
| 1850000 | CEDR Commercial Mortgage Trust<br> Series 2022-SNAI, Class C, 5.581% (1-Month Term SOFR+183 basis points), 2/15/2039<sup>1,3</sup> | 1815424 |
| 1000000 | Citigroup Commercial Mortgage Trust<br> Series 2015-GC35, Class B, 4.346%, 11/10/2048<sup>2,8</sup> | 928251 |
|  | COMM Mortgage Trust |  |
| 3673775 | &nbsp;&nbsp;&nbsp;Series 2013-CR12, Class AM, 4.300%, 10/10/2046<sup>2</sup> | 3490502 |
| 1928440 | &nbsp;&nbsp;&nbsp;Series 2014-UBS4, Class AM, 3.968%, 8/10/2047<sup>2</sup> | 1867472 |
| 2930000 | DBC Mortgage Trust<br> Series 2025-DBC, Class D, 6.351% (1-Month Term SOFR+260 basis points), 11/15/2042<sup>1,2,3</sup> | 2947829 |
| 1525553 | Government National Mortgage Association<br> Series 2025-100, Class JS, 5.176% (30-Day SOFR Average+1,595 basis points), 6/20/2055 | 1495069 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)** |  |
|  | GS Mortgage Securities Corp Trust |  |
| 290297 | &nbsp;&nbsp;&nbsp;Series 2020-DUNE, Class D, 5.920% (1-Month Term SOFR+216 basis points), 12/15/2036<sup>1,3</sup> | $284185 |
| 82942 | &nbsp;&nbsp;&nbsp;Series 2020-DUNE, Class E, 6.520% (1-Month Term SOFR+276 basis points), 12/15/2036<sup>1,3</sup> | 79578 |
| 1981673 | &nbsp;&nbsp;&nbsp;Series 2015-GC30, Class B, 3.961%, 5/10/2050<sup>2,8</sup> | 1899643 |
| 1000000 | HLTN Commercial Mortgage Trust<br> Series 2024-DPLO, Class C, 6.290% (1-Month Term SOFR+254 basis points), 6/15/2041<sup>1,3</sup> | 1005271 |
| 282395 | J.P. Morgan Chase Commercial Mortgage Securities Trust<br> Series 2021-2NU, Class C, 2.076%, 1/5/2040<sup>1,8</sup> | 242967 |
| 2700000 | JPMBB Commercial Mortgage Securities Trust<br> Series 2015-C30, Class B, 4.123%, 7/15/2048<sup>2,8</sup> | 2561962 |
| 1115000 | OWS Real Estate Finance LLC<br> Series 2025-MARG2, Class A, 7.751% (1-Month Term SOFR+400 basis points), 8/15/2034<sup>1,3</sup> | 1117643 |
| 1300000 | PRM7 Trust<br> Series 2025-PRM7, Class D, 5.661%, 11/10/2042<sup>1,8</sup> | 1290692 |
| 506369 | SMR Mortgage Trust<br> Series 2022-IND, Class B, 6.150% (1-Month Term SOFR+240 basis points), 2/15/2039<sup>1,3</sup> | 507997 |
| 2000000 | VTR Commercial Mortgage Trust<br> Series 2025-STEM, Class D, 6.493%, 10/13/2039<sup>1,8</sup> | 2017228 |
| 250000 | WB Commercial Mortgage Trust<br> Series 2024-HQ, Class D, 8.011%, 3/15/2040<sup>1,8</sup> | 251247 |
|  | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $38,870,484) | **39018989** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **COMMON STOCKS — 16.5%** |  |
|  | **COMMUNICATIONS — 0.4%** |  |
| 11878 | Electronic Arts, Inc. | 2427032 |
| 74139 | Frontier Communications Parent, Inc.\* | 2822472 |
| 469 | Warner Bros Discovery, Inc.\* | 13516 |
|  |  | **5263020** |
|  | **CONSUMER DISCRETIONARY — 0.3%** |  |
| 122764 | Berto Acquisition Corp.\*<sup>,6,9</sup> | 1244827 |
| 224782 | Denny's Corp.\* | 1398144 |
| 10079 | HNI Corp. | 423721 |
|  |  | **3066692** |
|  | **FINANCIALS — 10.5%** |  |
| 51740 | 1RT Acquisition Corp. - Class A\*<sup>,6</sup> | 527748 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 6586 | A Paradise Acquisition Corp. - Class A\*<sup>,6</sup> | $66189 |
| 268812 | AA Mission Acquisition Corp. - Class A\*<sup>,6,9</sup> | 2868224 |
| 33356 | AA Mission Acquisition Corp. II - Class A\*<sup>,6</sup> | 331225 |
| 243198 | Agriculture & Natural Solutions Acquisition Corp. - Class A\*<sup>,6,9</sup> | 2716522 |
| 26484 | Aimei Health Technology Co., Ltd.<sup>6</sup> | 301123 |
| 6676 | American Exceptionalism Acquisition Corp. - Class A\*<sup>,6</sup> | 76040 |
| 52730 | Andretti Acquisition Corp. II - Class A\*<sup>,6</sup> | 555774 |
| 112586 | Apex Treasury Corp. - Class A<sup>6</sup> | 1113476 |
| 73517 | Armada Acquisition Corp. II - Class A\*<sup>,6</sup> | 752814 |
| 64205 | Artius II Acquisition, Inc. - Class A\*<sup>,6</sup> | 661312 |
| 109960 | Axiom Intelligence Acquisition Corp. I - Class A\*<sup>,6</sup> | 1107297 |
| 79690 | Blue Foundry Bancorp\* | 990547 |
| 42218 | Blue Water Acquisition Corp. - Class A\*<sup>,6</sup> | 435690 |
| 100056 | BTC Development Corp. - Class A\*<sup>,6</sup> | 1002061 |
| 277229 | Cadence Bank<sup>9</sup> | 11876490 |
| 64140 | Cal Redwood Acquisition Corp. - Class A\*<sup>,6</sup> | 652945 |
| 53852 | Cantor Equity Partners I, Inc. - Class A\*<sup>,6</sup> | 561138 |
| 27607 | Cantor Equity Partners II, Inc. - Class A\*<sup>,6</sup> | 310855 |
| 170011 | Cantor Equity Partners III, Inc. - Class A\*<sup>,6</sup> | 1734112 |
| 134266 | Cantor Equity Partners IV, Inc. - Class A\*<sup>,6,9</sup> | 1380254 |
| 79943 | Cantor Equity Partners V, Inc. - Class A\*<sup>,6</sup> | 819416 |
| 7821 | Cayson Acquisition Corp.\*<sup>,6</sup> | 83372 |
| 249562 | Centurion Acquisition Corp. - Class A\*<sup>,6,9</sup> | 2665322 |
| 85493 | ChampionsGate Acquisition Corp. - Class A\*<sup>,6</sup> | 869464 |
| 107263 | Charlton Aria Acquisition Corp. - Class A\*<sup>,6</sup> | 1124116 |
| 34184 | Cohen Circle Acquisition Corp. II - Class A\*<sup>,6</sup> | 350044 |
| 102321 | Comerica, Inc.<sup>9</sup> | 8894765 |
| 24771 | Crane Harbor Acquisition Corp. - Class A\*<sup>,6,9</sup> | 266784 |
| 53648 | CSLM Digital Asset Acquisition Corp. III Ltd. - Class A\*<sup>,6</sup> | 533798 |
| 138477 | Digital Asset Acquisition Corp. - Class A\*<sup>,6,9</sup> | 1412465 |
| 299907 | Drugs Made In America Acquisition Corp.\*<sup>,6</sup> | 3110036 |
| 276206 | Drugs Made In America Acquisition II Corp.\*<sup>,6,9</sup> | 2734439 |
| 111160 | Dune Acquisition Corp. II - Class A\*<sup>,6</sup> | 1132720 |
| 16260 | Dynamix Corp. - Class A\*<sup>,6</sup> | 167315 |
| 66132 | Dynamix Corp. III - Class A\*<sup>,6</sup> | 654045 |
| 108144 | EQV Ventures Acquisition Corp. II - Class A\*<sup>,6</sup> | 1084684 |
| 60602 | Evolution Global Acquisition Corp. - Class A\*<sup>,6</sup> | 598142 |
| 75045 | Fifth Era Acquisition Corp. I - Class A\*<sup>,6</sup> | 769211 |
| 39098 | FIGX Capital Acquisition Corp. - Class A\*<sup>,6</sup> | 393326 |
| 40531 | Forge Global Holdings, Inc.\* | 1806061 |
| 53408 | FutureCrest Acquisition Corp. - Class A\*<sup>,6</sup> | 539421 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 74894 | Gesher Acquisition Corp. II - Class A\*<sup>,6</sup> | $766915 |
| 33588 | GigCapital7 Corp. - Class A\*<sup>,6</sup> | 354018 |
| 63335 | Globa Terra Acquisition Corp. - Class A\*<sup>,6</sup> | 639684 |
| 91898 | Gores Holdings X, Inc. - Class A\*<sup>,6</sup> | 945630 |
| 181350 | GP-Act III Acquisition Corp. - Class A\*<sup>,6,9</sup> | 1940445 |
| 195186 | Graf Global Corp. - Class A\*<sup>,6,9</sup> | 2099225 |
| 126448 | GSR IV Acquisition Corp. - Class A\*<sup>,6,9</sup> | 1263216 |
| 78192 | Haymaker Acquisition Corp. IV - Class A\*<sup>,6,9</sup> | 889825 |
| 205394 | Heritage Commerce Corp. | 2466782 |
| 33650 | Highview Merger Corp. - Class A\*<sup>,6</sup> | 336500 |
| 66458 | Inflection Point Acquisition Corp. III - Class A\*<sup>,6</sup> | 673884 |
| 75581 | Inflection Point Acquisition Corp. IV\*<sup>,6,9</sup> | 810228 |
| 79472 | Insight Digital Partners II - Class A\*<sup>,6</sup> | 787568 |
| 65587 | Invest Green Acquisition Corp. - Class A\*<sup>,6</sup> | 645376 |
| 80351 | Jackson Acquisition Co. II - Class A\*<sup>,6</sup> | 837257 |
| 37263 | Jena Acquisition Corp. II - Class A\*<sup>,6</sup> | 378965 |
| 16167 | K&F Growth Acquisition Corp. II - Class A\*<sup>,6</sup> | 167167 |
| 13635 | Keen Vision Acquisition Corp.\*<sup>,6</sup> | 160211 |
| 39769 | LaFayette Acquisition Corp.\*<sup>,6</sup> | 393713 |
| 191384 | Launch One Acquisition Corp. - Class A\*<sup>,6,9</sup> | 2026757 |
| 141746 | Legato Merger Corp. III\*<sup>,6,9</sup> | 1542197 |
| 194016 | Lionheart Holdings - Class A\*<sup>,6,9</sup> | 2072091 |
| 145913 | Live Oak Acquisition Corp. V - Class A\*<sup>,6</sup> | 1502904 |
| 53649 | M3-Brigade Acquisition VI Corp. - Class A\*<sup>,6</sup> | 537027 |
| 116287 | Melar Acquisition Corp. I - Class A\*<sup>,6</sup> | 1236131 |
| 128537 | Mountain Lake Acquisition Corp. - Class A\*<sup>,6,9</sup> | 1336785 |
| 4594 | New America Acquisition I Corp.\* | 47824 |
| 7999 | Newbury Street II Acquisition Corp. - Class A\*<sup>,6</sup> | 83670 |
| 156973 | NewHold Investment Corp. II - Class A\*<sup>,6,9</sup> | 1626240 |
| 10807 | OTG Acquisition Corp. I - Class A\*<sup>,6</sup> | 108070 |
| 24044 | Oyster Enterprises II Acquisition Corp. - Class A\*<sup>,6</sup> | 243085 |
| 84600 | Pioneer Acquisition I Corp. - Class A\*<sup>,6</sup> | 851076 |
| 87688 | Plum Acquisition Corp. IV - Class A\*<sup>,6</sup> | 914586 |
| 75156 | ProCap Acquisition Corp.\*<sup>,6</sup> | 761330 |
| 31324 | Pyrophyte Acquisition Corp. - Class A\*<sup>,4,6</sup> | 369936 |
| 33936 | Pyrophyte Acquisition Corp. II - Class A\*<sup>,6</sup> | 341396 |
| 101200 | Range Capital Acquisition Corp.\*<sup>,6</sup> | 1067660 |
| 147032 | Real Asset Acquisition Corp. - Class A\*<sup>,6,9</sup> | 1499726 |
| 53000 | Renatus Tactical Acquisition Corp. I - Class A\*<sup>,6</sup> | 565510 |
| 55418 | Republic Digital Acquisition Co. - Class A\*<sup>,6</sup> | 561107 |
| 41885 | RF Acquisition Corp. II\*<sup>,6</sup> | 451520 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 666 | Rice Acquisition Corp. III - Class A\*<sup>,6</sup> | $6833 |
| 193908 | Rithm Acquisition Corp. - Class A\*<sup>,6,9</sup> | 2014704 |
| 72229 | Roman DBDR Acquisition Corp. II - Class A\*<sup>,6</sup> | 753348 |
| 39380 | Safeguard Acquisition Corp. - Class A\*<sup>,6</sup> | 397147 |
| 261726 | Siddhi Acquisition Corp. - Class A\*<sup>,6,9</sup> | 2687926 |
| 69880 | Silverbox Corp. IV - Class A\*<sup>,6</sup> | 739330 |
| 26235 | SilverBox Corp. V\*<sup>,6</sup> | 263399 |
| 163953 | SIM Acquisition Corp. I - Class A\*<sup>,6,9</sup> | 1736262 |
| 64122 | Sizzle Acquisition Corp. II\*<sup>,9</sup> | 651480 |
| 13594 | Solarius Capital Acquisition Corp. - Class A\*<sup>,6</sup> | 136620 |
| 155576 | Soulpower Acquisition Corp. - Class A\*<sup>,6</sup> | 1579096 |
| 45885 | Spring Valley Acquisition Corp. III - Class A\*<sup>,6</sup> | 465733 |
| 111183 | Synovus Financial Corp. | 5564709 |
| 52690 | Tailwind 2.0 Acquisition Corp. - Class A\*<sup>,6</sup> | 519523 |
| 64961 | Tavia Acquisition Corp.\*<sup>,6</sup> | 678193 |
| 200939 | Texas Ventures Acquisition III Corp. - Class A\*<sup>,6,9</sup> | 2140000 |
| 117866 | Titan Acquisition Corp. - Class A\*<sup>,6</sup> | 1209305 |
| 26712 | Trailblazer Acquisition Corp. - Class A\*<sup>,6</sup> | 267387 |
| 87682 | Translational Development Acquisition Corp. - Class A\*<sup>,6</sup> | 919784 |
| 13999 | Two Harbors Investment Corp. | 146990 |
| 319062 | Vendome Acquisition Corp. I - Class A\*<sup>,6,9</sup> | 3212954 |
| 85695 | Viking Acquisition Corp. I - Class A\*<sup>,6</sup> | 848381 |
| 77521 | Vine Hill Capital Investment Corp. - Class A\*<sup>,6,9</sup> | 834901 |
| 201116 | Voyager Acquisition Corp. - Class A\*<sup>,6,9</sup> | 2145908 |
| 83399 | Wen Acquisition Corp. - Class A\*<sup>,6</sup> | 842330 |
| 41477 | Yorkville Acquisition Corp. - Class A\*<sup>,6</sup> | 420162 |
|  |  | **127516424** |
|  | **HEALTH CARE — 1.3%** |  |
| 144271 | Amicus Therapeutics, Inc.\* | 2054419 |
| 99343 | Astria Therapeutics, Inc.\*<sup>,9</sup> | 1300400 |
| 5305 | Avidity Biosciences, Inc.\* | 382650 |
| 27009 | Cidara Therapeutics, Inc.\* | 5966018 |
| 34749 | Exact Sciences Corp.\*<sup>,9</sup> | 3529108 |
| 38812 | Hologic, Inc.\*<sup>,9</sup> | 2891106 |
|  |  | **16123701** |
|  | **INDUSTRIALS — 0.6%** |  |
| 9652 | Boeing Co.\* | 2095642 |
| 172139 | Hillenbrand, Inc.<sup>9</sup> | 5460249 |
|  |  | **7555891** |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **MATERIALS — 0.3%** |  |
| 85894 | Sealed Air Corp. | $**3558588** |
|  | **REAL ESTATE — 0.7%** |  |
| 329800 | Alexander & Baldwin, Inc. | 6807072 |
| 105260 | Plymouth Industrial, Inc. | 2303089 |
|  |  | **9110161** |
|  | **TECHNOLOGY — 2.4%** |  |
| 196019 | Clearwater Analytics Holdings, Inc. - Class A\* | 4727978 |
| 54881 | Confluent, Inc. - Class A\* | 1659601 |
| 22049 | CyberArk Software Ltd.\*<sup>,6,9</sup> | 9835177 |
| 125798 | Dayforce, Inc.\*<sup>,9</sup> | 8700190 |
| 215453 | Jamf Holding Corp.\* | 2803044 |
| 82176 | SEMrush Holdings, Inc. - Class A\* | 977073 |
|  |  | **28703063** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $195,861,061) | **200897540** |

---

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  |  |
|  | **CORPORATE BONDS — 0.4%** |  |
|  | **FINANCIALS — 0.4%** |  |
| 1000000 | Atlantic Union Bankshares Corp.<br> 2.875% (3-Month Term SOFR+186 basis points), 12/15/2031<sup>2,8</sup> | 920098 |
| 2000000 | EverBank Financial Corp.<br> 7.500% (3-Month Term SOFR+407 basis points), 9/1/2035<sup>1,2,8</sup> | 2073398 |
| 1000000 | Flushing Financial Corp.<br> 3.125% (3-Month Term SOFR+204 basis points), 12/1/2031<sup>2,8</sup> | 893676 |
| 1000000 | Valley National Bancorp<br> 3.000% (3-Month Term SOFR+236 basis points), 6/15/2031<sup>2,8</sup> | 942544 |
|  |  | **4829716** |
|  | **TOTAL CORPORATE BONDS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $4,642,576) | **4829716** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **PRIVATE INVESTMENT VEHICLES — 0.8%** |  |
|  | **INVESTMENT PARTNERSHIPS — 0.8%** |  |
| N/A | Residential Mortgage Loan Sponsor LLC - Class B<sup>4,10</sup> | 1744068 |
| N/A | Residential Mortgage Loan Sponsor LLC - Class C<sup>4,10</sup> | 1702542 |
| N/A | Residential Mortgage Loan Sponsor LLC - Class D<sup>4,10</sup> | 2587034 |
| N/A | Residential Mortgage Loan Sponsor LLC - Class E<sup>4,10</sup> | 2520593 |
| N/A | Residential Mortgage Loan Sponsor LLC - Class F<sup>4,10</sup> | 1494915 |
|  |  | **10049152** |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **INVESTMENT PARTNERSHIPS (Continued)** |  |
|  | **TOTAL PRIVATE INVESTMENT VEHICLES** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $9,800,000) | $**10049152** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Contracts |  |  |
|  | **PURCHASED OPTIONS CONTRACTS — 29.3%** |  |
|  | **CALL OPTIONS — 23.4%** |  |
|  | S&P 500 Index |  |
| 3086 | Exercise Price: $6,000.00, Notional Amount: $1,851,600,000,<br> Expiration Date: March 31, 2026\* | 285532150 |
|  | **TOTAL CALL OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $286,434,077) | **285532150** |
|  | **PUT OPTIONS — 5.9%** |  |
|  | S&P 500 Index |  |
| 310 | Exercise Price: $6,505.00, Notional Amount: $201,655,000,<br> Expiration Date: January 30, 2026\* | 702150 |
| 3086 | Exercise Price: $7,000.00, Notional Amount: $2,160,200,000,<br> Expiration Date: March 31, 2026\* | 70900850 |
|  | **TOTAL PUT OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $71,284,841) | **71603000** |
|  | **TOTAL PURCHASED OPTIONS CONTRACTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $357,718,918) | **357135150** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **RIGHTS — 0.0%** |  |
| 1014 | Abiomed, Inc., Expiration Date: December 30, 2029\*<sup>,4</sup> | 1034 |
| 276206 | Drugs Made In America Acquisition II Corp., Expiration Date: September 16, 2030\*<sup>,6</sup> | 38669 |
| 65587 | IB Acquisition Corp., Expiration Date: December 29, 2026\* | 4526 |
| 39769 | LaFayette Acquisition Corp.\*<sup>,6</sup> | 5373 |
| 52690 | Tailwind 2.0 Acquisition Corp., Expiration Date: March 30, 2026\*<sup>,6</sup> | 8641 |
|  | **TOTAL RIGHTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,034) | **58243** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Units |  |  |
|  | **UNITS — 0.7%** |  |
|  | **FINANCIALS — 0.7%** |  |
| 26254 | Activate Energy Acquisition Corp.\*<sup>,6</sup> | 262540 |
| 26330 | Alussa Energy Acquisition Corp. II\*<sup>,6</sup> | 265933 |
| 51318 | American Drive Acquisition Co.\*<sup>,6</sup> | 512667 |
| 13165 | Blueport Acquisition Ltd.\*<sup>,6</sup> | 132176 |
| 44193 | Bluerock Acquisition Corp.\*<sup>,6</sup> | 441930 |
| 16280 | Centurion Acquisition Corp. - Class A<sup>4,6</sup> |  |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Units |  | Value |
|  | **UNITS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 20349 | Centurion Acquisition Corp. - Class B<sup>4,6</sup> | $— |
| 79620 | Crane Harbor Acquisition Corp. II\*<sup>,6</sup> | 801375 |
| 24440 | Daedalus Special Acquisition Corp.\*<sup>,6</sup> | 245622 |
| 13765 | GP-Act III Acquisition Corp. - Class A<sup>4,6</sup> |  |
| 17206 | GP-Act III Acquisition Corp. - Class B<sup>4,6</sup> |  |
| 65666 | Hall Chadwick Acquisition Corp.\*<sup>,6</sup> | 658302 |
| 79589 | Iron Horse Acquisition II Corp.\*<sup>,6</sup> | 791115 |
| 39808 | ITHAX Acquisition Corp. III\*<sup>,6</sup> | 396488 |
| 13128 | Leapfrog Acquisition Corp.\*<sup>,6</sup> | 131346 |
| 99573 | Meshflow Acquisition Corp.\*<sup>,6</sup> | 995730 |
| 88538 | SC II Acquisition Corp.\*<sup>,6</sup> | 892020 |
| 46622 | Silicon Valley Acquisition Corp.\*<sup>,6</sup> | 463656 |
| 53006 | TGE Value Creative Solutions Corp.\*<sup>,6</sup> | 526880 |
| 53052 | Vine Hill Capital Investment Corp. II\*<sup>,6</sup> | 531581 |
|  |  | **8049361** |
|  | **TOTAL UNITS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $8,084,466) | **8049361** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **WARRANTS — 0.0%** |  |
| 16678 | AA Mission Acquisition Corp. II, Expiration Date: September 9, 2031\*<sup>,6</sup> | 3340 |
| 25014 | BTC Development Corp., Expiration Date: August 19, 2030\*<sup>,6</sup> | 11256 |
| 19840 | Dynamix Corp. III, Expiration Date: November 19, 2030\*<sup>,6</sup> | 6349 |
| 13352 | FutureCrest Acquisition Corp., Expiration Date: November 5, 2030\*<sup>,6</sup> | 9747 |
| 28565 | Viking Acquisition Corp. I, Expiration Date: October 30, 2030\*<sup>,6</sup> | 10855 |
| 10255 | Yorkville Acquisition Corp., Expiration Date: June 6, 2030\*<sup>,6</sup> | 5141 |
|  | **TOTAL WARRANTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $0) | **46688** |
|  | **SHORT-TERM INVESTMENTS — 5.4%** |  |
| 551253 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 3.64%<sup>9,11</sup> | 551253 |
| 64658683 | UMB Bank, Money Market Special II Deposit Investment, 3.48%<sup>11</sup> | 64658683 |
|  | **TOTAL SHORT-TERM INVESTMENTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $65,209,936) | **65209936** |
|  | **TOTAL INVESTMENTS — 101.1%** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,223,882,232) | **1232537599** |
|  | Liabilities in Excess of Other Assets — (1.1)% | (13921719) |
|  | **TOTAL NET ASSETS — 100.0%** | $**1218615880** |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **SECURITIES SOLD SHORT — (3.4)%** |  |
|  | **COMMON STOCKS — (3.4)%** |  |
|  | **CONSUMER DISCRETIONARY — (0.0)%** |  |
| (10079) | HNI Corp. | $**(423721)** |
|  | **FINANCIALS — (2.5)%** |  |
| (133507) | CVB Financial Corp. | (2483230) |
| (190962) | Fifth Third Bancorp | (8938931) |
| (51689) | Fulton Financial Corp. | (999148) |
| (686076) | Huntington Bancshares, Inc. | (11903419) |
| (58216) | Steel Newco, Inc.\* | (5554389) |
| (32656) | UWM Holdings Corp. - Class A | (143033) |
|  |  | **(30022150)** |
|  | **HEALTH CARE — (0.0)%** |  |
| (58612) | BioCryst Pharmaceuticals, Inc.\* | **(457174)** |
|  | **INDUSTRIALS — (0.2)%** |  |
| (9652) | Boeing Co.\* | **(2095642)** |
|  | **TECHNOLOGY — (0.7)%** |  |
| (48520) | Palo Alto Networks, Inc.\* | **(8937384)** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $41,120,832) | **(41936071)** |
|  | **TOTAL SECURITIES SOLD SHORT** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $41,120,832) | $**(41936071)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Contracts |  |  |
|  | **WRITTEN OPTIONS CONTRACTS — (5.0)%** |  |
|  | **CALL OPTIONS — (3.3)%** |  |
|  | Amicus Therapeutics, Inc. |  |
| (7) | Exercise Price: $14.00, Notional Amount: $(9800),<br> Expiration Date: January 16, 2026\* | (140) |
| (46) | Exercise Price: $15.00, Notional Amount: $(69000),<br> Expiration Date: January 16, 2026\* | (115) |
|  | Clearwater Analytics Holdings, Inc. |  |
| (1) | Exercise Price: $25.00, Notional Amount: $(2500),<br> Expiration Date: January 16, 2026\* | (3) |
| (472) | Exercise Price: $25.00, Notional Amount: $(1180000),<br> Expiration Date: February 20, 2026\* | (2360) |
| (265) | Exercise Price: $25.00, Notional Amount: $(662500),<br> Expiration Date: March 20, 2026\* | (1987) |
|  | S&P 500 Index |  |
| (3086) | Exercise Price: $7,000.00, Notional Amount: $(2160200000),<br> Expiration Date: March 31, 2026\* | (39747680) |
|  | SEMrush Holdings, Inc. |  |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Contracts |  | Value |
|  | **WRITTEN OPTIONS CONTRACTS (Continued)** |  |
|  | **CALL OPTIONS (Continued)** |  |
| (66) | Exercise Price: $12.50, Notional Amount: $(82500),<br> Expiration Date: January 16, 2026\* | $(165) |
|  | **TOTAL CALL OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $40,192,817) | **(39752450)** |
|  | **PUT OPTIONS — (1.7)%** |  |
|  | S&P 500 Index |  |
| (310) | Exercise Price: $7,195.00, Notional Amount: $(223045000),<br> Expiration Date: January 30, 2026\* | (10230000) |
| (3086) | Exercise Price: $6,000.00, Notional Amount: $(1851600000),<br> Expiration Date: March 31, 2026\* | (11171320) |
|  | **TOTAL PUT OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $21,332,053) | **(21401320)** |
|  | **TOTAL WRITTEN OPTIONS CONTRACTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $61,524,870) | $**(61153770)** |

---

LLC — Limited Liability Company

REMIC — Real Estate Mortgage Investment Conduit

SOFR — Secured Overnight Financing Rate

\* Non-income producing security.

<sup>1</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $423,647,217, which represents 34.76% of the total net assets of the Fund.

<sup>2</sup> Callable.

<sup>3</sup> Floating rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>4</sup> The value of these securities was determined using significant unobservable inputs. These are reported as Level 3 securities in the Fair Value Hierarchy.

<sup>5</sup> Step rate security.

<sup>6</sup> Foreign security denominated in U.S. Dollars.

<sup>7</sup> Affiliated company.

<sup>8</sup> Variable rate security.

<sup>9</sup> All or a portion of this security is segregated as collateral for securities sold short or written options contracts. The market value of the securities pledged as collateral is $48,160,880, which represents 3.95% of the total net assets of the Fund.

<sup>10</sup> Investment does not issue shares.

<sup>11</sup> The rate is the annualized seven-day yield at period end.

**First Trust Multi Strategy Fund**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Shares/Principal<br> Amount End <br> of Period** | **Value <br> Beginning of <br> Period** | **Additions** | **Reductions** | **Net Realized <br> Gain (Loss)** | **Change in <br> Unrealized <br> Appreciation <br> (Depreciation)** | **Value End <br> of Period** | **Dividend <br> Income\*** |
| **Collateralized Loan Obligations - 0.0%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Palmer Square Loan Funding Ltd. | $500000 | $- | $- | $- | $- | $- | $- | $- |
| **Total** | **500000** | $**-** | $**-** | $**-** | $**-** | $**-** | $**-** | $**-** |

---

\* Net of foreign withholding taxes.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** INVESTMENT MANAGERS SERIES TRUST II

- **b. Investment Company Act file number:** 811-22894

- **c. CIK number of Registrant:** 0001587982

- **d. LEI of Registrant:** 549300SU7ER9OFETRU41

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

  - **Street Address 1:** 235 WEST GALENA STREET

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 532123948

  - **Telephone number:** 4142992000

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

- **a. Name of Series:** First Trust Multi-Strategy Fund

- **b. EDGAR series identifier (if any):** S000055376

- **c. LEI of Series:** 549300WVZTHJWP7HCR03

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

- **a. Date of fiscal year-end:** 2026-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1727049199.59

**Total Liabilities:** $510334250.99

**Net Assets:** $1216714948.60

**Cash Not Reported:** $94225629.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.000000000000 | **1-Year:** 56.962936720340 | **5-Year:** 3402.559789395465 | **10-Year:** 34074.083227420662 | **30-Year:** 30168.186091650534

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

- **3-Month:** 0.000000000000 | **1-Year:** 943.750647138848 | **5-Year:** 14849.549173926123 | **10-Year:** 24582.453687864129 | **30-Year:** 35506.039318958899

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000174208 | 0.87%                | 0.20%                | 0.27%                |
| Class ID C000174209 | 0.87%                | 0.21%                | 0.28%                |
| Class ID C000239642 | 0.79%                | 0.13%                | 0.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1755007.89              | $-193237.92                                |
| Month 2  | $393657.29               | $658430.47                                 |
| Month 3  | $1071581.22              | $44878.87                                  |

**Designated Index Information**

- **Index Name:** Bloomberg US Corporate High Yield Total Return Index

- **Index Identifier:** LF98TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ballyrock Ltd                            | Ballyrock CLO 17 Ltd.                                           | CUSIP: 05876LAW3<br>LEI: 254900J6ILFT5YJVHO91 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $497543.45    | 0.04%             | 2038-10-20      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                            | Ballyrock CLO 17 Ltd.                                           | CUSIP: 05876MAE1<br>LEI: 254900J6ILFT5YJVHO91 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $739273.73    | 0.06%             | 2038-10-20      | Floating      | 9.98%                 | Yes           |                  2 | On Loan: No      |
| Bank                                     | BANK 2018-BNK14                                                 | CUSIP: 06035RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781486 | PA      | $778734.95    | 0.06%             | 2060-09-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust             | Barclays Mortgage Trust 2021-NPL1                               | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    653434 | PA      | $653859.00    | 0.05%             | 2051-11-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                           | Barings CLO Ltd. 2021-I                                         | CUSIP: 06762EAG9<br>LEI: 5493001QIXQNVJN0QT95 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $752717.48    | 0.06%             | 2034-04-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                           | Barings Clo Ltd. 2023-I                                         | CUSIP: 06762HAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005309.70   | 0.08%             | 2038-04-20      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                           | Barings Clo Ltd. 2023-I                                         | CUSIP: 06762HAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005114.30   | 0.08%             | 2038-04-20      | Floating      | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                           | Barings CLO Ltd. 2025-VII                                       | CUSIP: 06765FAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $749969.93    | 0.06%             | 2038-01-15      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                           | Barings CLO Ltd. 2025 VIII                                      | CUSIP: 06765KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.08%             | 2039-01-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BELLEMEADE RE LT                         | Bellemeade Re 2025-1 Ltd.                                       | CUSIP: 07876NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $650806.00    | 0.05%             | 2035-10-25      | Floating      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO IV Ltd.                             | CUSIP: 08180FCG4<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000576.20   | 0.08%             | 2038-10-20      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO Ltd.                                | CUSIP: 08182DAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3523054.15   | 0.29%             | 2038-04-20      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners Clo XXXVII Ltd.                         | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007640.80   | 0.17%             | 2038-01-25      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO XXIII Ltd.                          | CUSIP: 08186VAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003939.30   | 0.08%             | 2034-04-25      | Floating      | 6.76%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO XXIII Ltd.                          | CUSIP: 08186XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $994244.00    | 0.08%             | 2034-04-25      | Floating      | 9.11%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO 42 Ltd.                             | CUSIP: 08187LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.16%             | 2038-10-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO XXXVI Ltd.                          | CUSIP: 081922AJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005283.50   | 0.08%             | 2038-01-25      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                     | Birch Grove CLO 8 Ltd.                                          | CUSIP: 09077UAA0<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $510201.25    | 0.04%             | 2037-04-20      | Floating      | 10.98%                | Yes           |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                    | Black Diamond CLO 2022-1 Ltd.                                   | CUSIP: 09203BAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2013213.20   | 0.17%             | 2035-10-25      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                     | BlueMountain Fuji U.S. Clo II Ltd.                              | CUSIP: 09629EAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1904700.03   | 0.16%             | 2030-10-20      | Floating      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                     | BlueMountain CLO XXX Ltd.                                       | CUSIP: 09630QAS0<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002363.20   | 0.08%             | 2035-04-15      | Floating      | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Clearwater Analytics Holdings, Inc.      | Clearwater Analytics Holdings, Inc.                             | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DE               |  | US        |        -1 | NC      | $-2.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Clearwater Analytics Holdings, Inc.      | Clearwater Analytics Holdings, Inc.                             | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DE               |  | US        |      -265 | NC      | $-1987.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Clearwater Analytics Holdings, Inc.      | Clearwater Analytics Holdings, Inc.                             | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DE               |  | US        |      -472 | NC      | $-2360.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRCK Trust                               | BRCK Trust 2025-830B                                            | CUSIP: 10635AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2528395.00   | 0.21%             | 2042-12-10      | Variable      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| SEMrush Holdings, Inc.                   | SEMrush Holdings, Inc.                                          | CUSIP: 999999999<br>LEI: 254900WQEX0OLGK16D27 | N/A              | DE               |  | US        |       -66 | NC      | $-165.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2024-23 Ltd.                                | CUSIP: 11765DAA1<br>LEI: 391200W7QGMU3U2OCV81 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1009537.90   | 0.08%             | 2037-05-15      | Floating      | 10.58%                | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2023-21 Ltd.                                | CUSIP: 11766BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000109.80   | 0.08%             | 2038-10-18      | Floating      | 9.16%                 | Yes           |                  2 | On Loan: No      |
| CBAMR Ltd                                | CBAM 2018-5 Ltd.                                                | CUSIP: 12516LAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2256080.18   | 0.19%             | 2038-10-17      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| CEDR Trust                               | CEDR Commercial Mortgage Trust 2022-SNAI                        | CUSIP: 12524AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1815423.50   | 0.15%             | 2039-02-15      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                         | CIFC Funding 2017-IV Ltd.                                       | CUSIP: 12551KAA1<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1515659.85   | 0.12%             | 2030-10-24      | Floating      | 10.23%                | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman CLO XVI-S Ltd.                                 | CUSIP: 64131TAY0<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3499650.00   | 0.29%             | 2039-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman CLO XVI-S Ltd.                                 | CUSIP: 64131TBG8<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2011014.40   | 0.17%             | 2039-04-15      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 27 Ltd.                      | CUSIP: 64131WAY3<br>LEI: 549300IWMW28G8CR9G28 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004973.30   | 0.08%             | 2038-07-15      | Floating      | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 31 Ltd.                      | CUSIP: 64132JAW5<br>LEI: 5493007OZE2103TZO049 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2501815.25   | 0.21%             | 2039-01-20      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 33 Ltd.                      | CUSIP: 64132TBC6<br>LEI: 549300RVE5T2OYI2H743 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005224.60   | 0.08%             | 2039-04-16      | Floating      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 41 Ltd.                      | CUSIP: 64134BAQ3<br>LEI: 549300RYH1PYRU661D66 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005066.70   | 0.08%             | 2034-04-15      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman CLO 32R Ltd.                                   | CUSIP: 64135XAG6<br>LEI: 25490093SHVBS5BLDZ40 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010231.80   | 0.17%             | 2039-07-20      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| New Mountain CLO Ltd                     | New Mountain CLO 4 Ltd.                                         | CUSIP: 64754PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1030939.20   | 0.08%             | 2038-03-20      | Floating      | 10.79%                | Yes           |                  2 | On Loan: No      |
| New Mountain CLO 1 Ltd                   | New Mountain CLO 1 Ltd.                                         | CUSIP: 64755RBJ1<br>LEI: 5493000BYT2KQ1EMLL07 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005305.80   | 0.08%             | 2038-01-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2021-NQM1R                  | CUSIP: 64828BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1292000 | PA      | $1165403.38   | 0.10%             | 2055-07-25      | Variable      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2024-NQM1                   | CUSIP: 64828DAF4<br>LEI: 213800TFYSB4XLW7QW74 | Long             | ABS-MBS          | CORP              | US        |   1315000 | PA      | $1333385.02   | 0.11%             | 2064-03-25      | Variable      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2014-3                      | CUSIP: 64829DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543933 | PA      | $533209.03    | 0.04%             | 2054-11-25      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2018-1                      | CUSIP: 64830GCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2227798 | PA      | $1903475.01   | 0.16%             | 2057-12-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Alinea CLO LTD                           | Alinea CLO 2018-1 Ltd.                                          | CUSIP: 016268AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1253073.00   | 0.10%             | 2031-07-20      | Floating      | 9.83%                 | Yes           |                  2 | On Loan: No      |
| Alinea CLO LTD                           | Alinea CLO 2018-1 Ltd.                                          | CUSIP: 016269AL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503687.60   | 0.12%             | 2031-07-20      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Annisa CLO Ltd                           | Annisa CLO Ltd. 2016-2                                          | CUSIP: 036011AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003354.90   | 0.08%             | 2031-07-20      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                               | Apidos CLO XXIV                                                 | CUSIP: 03762XAD1<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1153287.51   | 0.09%             | 2030-10-20      | Floating      | 9.95%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                               | Apidos CLO XXIII                                                | CUSIP: 03765YBN3<br>LEI: 635400C39IXGGYE6DH05 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008953.00   | 0.17%             | 2033-04-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                               | Apidos CLO XXVIII                                               | CUSIP: 03767CAU4<br>LEI: 549300QCAOUF4OXOI275 | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1361326.77   | 0.11%             | 2038-10-20      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                               | Apidos CLO XXIX                                                 | CUSIP: 03767MAY4<br>LEI: 549300AVJUID3QNR9M59 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1512655.80   | 0.12%             | 2038-07-25      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                               | Apidos CLO XXXI                                                 | CUSIP: 03767XAC8<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $756066.08    | 0.06%             | 2031-04-15      | Floating      | 10.77%                | Yes           |                  2 | On Loan: No      |
| Apidos CLO                               | Apidos CLO XXX                                                  | CUSIP: 03768CAW9<br>LEI: 2549001XBZ4DU4T7EC48 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1506471.75   | 0.12%             | 2031-10-18      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                               | Apidos Clo LIV                                                  | CUSIP: 03771RAA9<br>LEI: 254900SXYQWBYZA9L226 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2006254.00   | 0.16%             | 2038-10-20      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                             | Ares LXIII CLO Ltd.                                             | CUSIP: 039937BC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005120.40   | 0.08%             | 2038-10-15      | Floating      | 8.63%                 | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2021-17R Ltd.                               | CUSIP: 11766LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001288.20   | 0.08%             | 2038-01-20      | Floating      | 10.81%                | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2021-17R Ltd.                               | CUSIP: 11766MAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004284.20   | 0.08%             | 2038-01-20      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2023-20 Ltd.                                | CUSIP: 117919AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008405.00   | 0.17%             | 2038-04-15      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| CBAMR Ltd                                | CBAMR 2017-4 Ltd.                                               | CUSIP: 12516EAG6<br>LEI: 635400U9D8ZDLM1G7T76 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007774.20   | 0.08%             | 2038-03-31      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Ondeck Asset Securitization Tr           | OnDeck Asset Securitization IV LLC                              | CUSIP: 67108SAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2011812.00   | 0.17%             | 2032-11-17      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                 | OZLM XXII Ltd.                                                  | CUSIP: 67111VAJ5<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003329.50   | 0.08%             | 2031-01-17      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                 | OZLM XXI Ltd.                                                   | CUSIP: 67112AAG6<br>LEI: 5493002HF6D1C4B1AK86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003352.80   | 0.08%             | 2031-01-20      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                 | OZLM XVIII Ltd.                                                 | CUSIP: 67112GAG3<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003319.20   | 0.08%             | 2031-04-15      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                 | OZLM XX Ltd.                                                    | CUSIP: 67112MAG0<br>LEI: 549300ROA1URR67W0G46 | Long             | ABS-CBDO         | CORP              | KY        |   1120000 | PA      | $1123749.76   | 0.09%             | 2031-04-20      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2023-30 Ltd.                                            | CUSIP: 67117QAA9<br>LEI: 2138008RM9AHM8ZQ8119 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1000000.00   | 0.08%             | 2037-01-24      | Floating      | 10.96%                | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2021-22 Ltd.                                            | CUSIP: 67117TAU9<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007990.50   | 0.08%             | 2037-10-20      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                  | NYMT Loan Trust Series 2025-R1                                  | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173908 | PA      | $1177921.92   | 0.10%             | 2030-02-25      | Variable      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                  | NYMT Loan Trust 2025-INV1                                       | CUSIP: 67120YAG4<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1805553.00   | 0.15%             | 2060-04-25      | Variable      | 6.99%                 | Yes           |                  2 | On Loan: No      |
| OWS Real Estate Finance LLC              | OWS Real Estate Finance LLC                                     | CUSIP: 67121XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115000 | PA      | $1117642.55   | 0.09%             | 2034-08-15      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                 | OBX 2025-R1 Trust                                               | CUSIP: 67123GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002617.00   | 0.08%             | 2062-09-25      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                 | OBX 2025-R1 Trust                                               | CUSIP: 67123GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1007604.00   | 0.08%             | 2062-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2023-2 Ltd.                                         | CUSIP: 67401QAL0<br>LEI: 254900E6646RC82IR359 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000374.40   | 0.16%             | 2038-07-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2023-2 Ltd.                                         | CUSIP: 67401QAU0<br>LEI: 254900E6646RC82IR359 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010858.00   | 0.17%             | 2038-07-20      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2023-2 Ltd.                                         | CUSIP: 67402AAE0<br>LEI: 254900E6646RC82IR359 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1009830.20   | 0.08%             | 2038-07-20      | Floating      | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2022-1 Ltd.                                         | CUSIP: 67402LAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005429.00   | 0.08%             | 2038-07-15      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                             | Ares XXXIX CLO Ltd.                                             | CUSIP: 04015WBL7<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4014348.00   | 0.33%             | 2037-07-18      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                             | Ares LIV CLO Ltd.                                               | CUSIP: 04017XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1009852.50   | 0.08%             | 2038-07-15      | Floating      | 9.90%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                             | Ares LXXVI CLO Ltd.                                             | CUSIP: 04021KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1018480.00   | 0.08%             | 2038-05-27      | Floating      | 11.06%                | Yes           |                  2 | On Loan: No      |
| Arini US CLO Limited                     | Arini U.S. CLO I Ltd.                                           | CUSIP: 04039AAG9<br>LEI: 2549005XY5NLS2UWEM64 | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1959472.71   | 0.16%             | 2038-04-15      | Floating      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| ATLANTIC UNION BANKSHARE                 | Atlantic Union Bankshares Corp.                                 | CUSIP: 04911AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $920098.00    | 0.08%             | 2031-12-15      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust             | Atrium Hotel Portfolio Trust 2025-ATRM                          | CUSIP: 049917AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2003928.00   | 0.16%             | 2042-08-15      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust             | Atrium Hotel Portfolio Trust 2025-ATRM                          | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004472.00   | 0.08%             | 2042-08-15      | Floating      | 10.50%                | Yes           |                  2 | On Loan: No      |
| The BAHA Trust                           | BAHA Trust 2024-MAR                                             | CUSIP: 05493XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2106312.00   | 0.17%             | 2041-12-10      | Variable      | 8.91%                 | Yes           |                  2 | On Loan: No      |
| SPX 03/31/26 C7000 03/26 7000.0 CAL   /  | SPX 03/31/26 C7000 03/26 7000.0 CAL   /                         | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |     -3086 | NC      | $-39747680.00 | -3.27%            |  |  |  | No            |                  1 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2022-2 Ltd.                             | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1500249.90   | 0.12%             | 2035-04-22      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2018-2                                  | CUSIP: 05682VAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1505028.75   | 0.12%             | 2031-07-19      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2023-1 Ltd.                             | CUSIP: 05685NAN0<br>LEI: 549300OV3LSQ8RJ1DY13 | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1501055.85   | 0.12%             | 2038-07-16      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2023-1 Ltd.                             | CUSIP: 05685NAW0<br>LEI: 549300OV3LSQ8RJ1DY13 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1008418.00   | 0.08%             | 2038-07-16      | Floating      | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2023-1 Ltd.                             | CUSIP: 05685NAY6<br>LEI: 549300OV3LSQ8RJ1DY13 | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1507979.85   | 0.12%             | 2038-07-16      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                            | Ballyrock CLO 2019-2 Ltd.                                       | CUSIP: 05875MBK7<br>LEI: 254900IF22Z7SA13VI60 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1508306.55   | 0.12%             | 2038-10-25      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| BasePoint MCA Securitization L           | Basepoint Mca Securitization II LLC                             | CUSIP: 06983XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3006426.00   | 0.25%             | 2031-08-15      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2019-RPL3                   | CUSIP: 64830NAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $417943.00    | 0.03%             | 2059-07-25      | Variable      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2023-NQM1                   | CUSIP: 64831HAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1978206.00   | 0.16%             | 2063-10-25      | Variable      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2024-RTL1                   | CUSIP: 64831PAC9<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $191080.72    | 0.02%             | 2039-03-25      | Variable      | 9.30%                 | Yes           |                  2 | On Loan: No      |
| Newark BSL CLO 2 Ltd.                    | Newark BSL CLO 2 Ltd.                                           | CUSIP: 65023QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1762142.03   | 0.14%             | 2030-07-25      | Floating      | 10.42%                | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                            | Ballyrock CLO 2019-2 Ltd.                                       | CUSIP: 05875MBM3<br>LEI: 254900IF22Z7SA13VI60 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000337.50   | 0.08%             | 2038-10-25      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                            | Ballyrock CLO 24 Ltd.                                           | CUSIP: 05875VAE2<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |   1250000 | PA      | $1262866.25   | 0.10%             | 2038-07-15      | Floating      | 9.90%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                            | Ballyrock CLO 17 Ltd.                                           | CUSIP: 05876LAU7<br>LEI: 254900J6ILFT5YJVHO91 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2013642.80   | 0.17%             | 2038-10-20      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan T           | Alternative Loan Trust 2006-HY10                                | CUSIP: 12668BA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3683510 | PA      | $69585.19     | 0.01%             | 2036-05-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                   | CHL Mortgage Pass-Through Trust 2005-HYB2                       | CUSIP: 12669GWW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1414445 | PA      | $1239229.36   | 0.10%             | 2035-05-20      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi           | Carlyle Global Market Strategies CLO 2015-4 Ltd.                | CUSIP: 14311NBL7<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999157.80    | 0.08%             | 2032-07-20      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2020-20 Ltd.                                            | CUSIP: 670859AU1<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007552.90   | 0.08%             | 2037-04-18      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2014-5 Ltd.                                             | CUSIP: 67102SAQ7<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006646.90   | 0.08%             | 2031-04-26      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2014-5 Ltd.                                             | CUSIP: 67102SAS3<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003396.10   | 0.08%             | 2031-04-26      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| BioCryst Pharmaceuticals Inc             | BioCryst Pharmaceuticals, Inc.                                  | CUSIP: 09058V103<br>LEI: 549300Z0INP1Z5NP6J59 | Short            | EC               | CORP              | US        |    -58612 | NS      | $-457173.60   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BTC Development Corp                     | BTC Development Corp. - Class A                                 | CUSIP: G0701G109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    100056 | NS      | $1002060.84   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BTC DEVELOPMENT CORP-CL A                | BTC Development Corp.                                           | CUSIP: G0701G117<br>LEI: N/A                  | N/A              | DE               | CORP              | KY        |     25014 | NC      | $11256.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TGE Value Creative Solutions C           | TGE Value Creative Solutions Corp.                              | CUSIP: G8773E126<br>LEI: N/A                  | Long             |  | CORP              | FR        |     53006 | NS      | $526879.64    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Blue Foundry Bancorp                     | Blue Foundry Bancorp                                            | CUSIP: 09549B104<br>LEI: 5493008KPK5NJT0FNK56 | Long             | EC               | CORP              | US        |     79690 | NS      | $990546.70    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Bluerock Acquisition Corp                | Bluerock Acquisition Corp.                                      | CUSIP: G1352R121<br>LEI: N/A                  | Long             |  | CORP              | US        |     44193 | NS      | $441930.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Blue Water Acquisition Corp II           | Blue Water Acquisition Corp. III - Class A                      | CUSIP: G1368E106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     42218 | NS      | $435689.76    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ACM Auto Trust                           | ACM Auto Trust 2025-4                                           | CUSIP: 00161LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2003024.00   | 0.16%             | 2030-05-20      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Battalion CLO LTD                        | Battalion Clo XV Ltd.                                           | CUSIP: 07131AAM6<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   1272023 | PA      | $1271867.14   | 0.10%             | 2033-01-17      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Battalion CLO LTD                        | Battalion Clo XV Ltd.                                           | CUSIP: 07131AAR5<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1499625.00   | 0.12%             | 2033-01-17      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                           | ACM Auto Trust 2025-4                                           | CUSIP: 00161LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2191914 | PA      | $2157989.75   | 0.18%             | 2032-08-20      | Fixed         | 8.42%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                               | AMSR 2023-SFR2 Trust                                            | CUSIP: 00178YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2568761.10   | 0.21%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Cherry Securitization Trust              | Cherry Securitization Trust 2024-1                              | CUSIP: 164737AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1023412.00   | 0.08%             | 2032-04-15      | Fixed         | 9.31%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                         | CIFC Funding 2018-II Ltd.                                       | CUSIP: 17180WAS4<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1010773.50   | 0.08%             | 2037-10-20      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Trailblazer Acquisition Corp             | Trailblazer Acquisition Corp. - Class A                         | CUSIP: G9009S103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26712 | NS      | $267387.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Blueport Acquisition Ltd                 | Blueport Acquisition Ltd.                                       | CUSIP: G1196A128<br>LEI: N/A                  | Long             |  | CORP              | US        |     13165 | NS      | $132176.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Commercial Mortgage            | Citigroup Commercial Mortgage Trust 2015-GC35                   | CUSIP: 17324KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $928251.00    | 0.08%             | 2048-11-10      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                         | COLT 2025-7 Mortgage Loan Trust                                 | CUSIP: 19689CAE1<br>LEI: 213800DOQUYA3TO33M98 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1008304.00   | 0.08%             | 2070-06-25      | Variable      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Colony American Finance Ltd              | Corevest American Finance 2020-4 Trust                          | CUSIP: 21873AAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $281189.70    | 0.02%             | 2052-12-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Colony American Finance Ltd              | Corevest American Finance 2021-1 Trust                          | CUSIP: 21873LAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $90437.20     | 0.01%             | 2053-04-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2022-R04                    | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1755519.85   | 0.14%             | 2042-03-25      | Floating      | 13.37%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2021-R03                    | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1920000 | PA      | $1986374.40   | 0.16%             | 2041-12-25      | Floating      | 9.37%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trus           | CoreVest American Finance 2021-3 Trust                          | CUSIP: 21873NAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91764.50     | 0.01%             | 2054-10-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO            | Creeksource 2024-1 Dunes Creek Clo Ltd.                         | CUSIP: 225914AJ9<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507914.60   | 0.12%             | 2038-01-15      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust              | DBC 2025-DBC Mortgage Trust                                     | CUSIP: 23306HAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2930000 | PA      | $2947829.05   | 0.24%             | 2042-11-15      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage           | Deephaven Residential Mortgage Trust 2021-1                     | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010000 | PA      | $1835570.19   | 0.15%             | 2065-05-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2022-R05                    | CUSIP: 20754DAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2450000 | PA      | $2612243.90   | 0.21%             | 2042-04-25      | Floating      | 10.87%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2021-R02                    | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $2022779.85   | 0.17%             | 2041-11-25      | Floating      | 10.07%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2022-R01                    | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1762854.10   | 0.14%             | 2041-12-25      | Floating      | 9.87%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2021-R01                    | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1859409.00   | 0.15%             | 2041-10-25      | Floating      | 9.87%                 | Yes           |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO            | Creeksource 2024-1 Dunes Creek Clo Ltd.                         | CUSIP: 225917AA1<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $765329.70    | 0.06%             | 2038-01-15      | Floating      | 10.05%                | Yes           |                  2 | On Loan: No      |
| Cross Mortgage Trust                     | Cross 2025-H6 Mortgage Trust                                    | CUSIP: 22758TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646000 | PA      | $1638937.01   | 0.13%             | 2070-07-25      | Variable      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC            | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5   | CUSIP: 25150XAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1347572 | PA      | $1181923.04   | 0.10%             | 2047-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                     | Dewolf Park CLO Ltd.                                            | CUSIP: 25211AAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.08%             | 2030-10-15      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu           | Bear Stearns Asset Backed Securities Trust                      | CUSIP: 073879CH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675706 | PA      | $621884.60    | 0.05%             | 2034-07-25      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                     | Dewolf Park CLO Ltd.                                            | CUSIP: 25211CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.08%             | 2030-10-15      | Floating      | 10.37%                | Yes           |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                 | Dividend Solar Loans 2018-2 LLC                                 | CUSIP: 255387AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1419797 | PA      | $1332339.23   | 0.11%             | 2038-12-20      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 40 Senior Loan Fund                                      | CUSIP: 26244GAL9<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501771.90    | 0.04%             | 2031-08-15      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 41 Senior Loan Fund                                      | CUSIP: 26244KAU0<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003322.70   | 0.08%             | 2031-04-15      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| CANADIAN DOLLARS  /                      | CANADIAN DOLLARS  /                                             | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | CA        |     -7508 | OU      | $-5469.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Cadence Bank                             | Cadence Bank                                                    | CUSIP: 12740C103<br>LEI: Q7C315HKI8VX0SSKBS64 | Long             | EC               | CORP              | US        |    277229 | NS      | $11876490.36  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 45 Senior Loan Fund                                      | CUSIP: 26244MAW2<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |   1169259 | PA      | $1170654.96   | 0.10%             | 2030-10-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 45 Senior Loan Fund                                      | CUSIP: 26244MBE1<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $954493.41    | 0.08%             | 2030-10-15      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 61 Clo Ltd.                                              | CUSIP: 26251CAY0<br>LEI: 549300JHVVT1NJ057H42 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1204169.52   | 0.10%             | 2032-01-17      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 75 CLO Ltd.                                              | CUSIP: 26252JBC1<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999726.40   | 0.16%             | 2034-04-14      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Elevation CLO Ltd                        | Elevation CLO 2018-10 Ltd.                                      | CUSIP: 28623CAL5<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |    185465 | PA      | $185690.06    | 0.02%             | 2031-10-20      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 22 Ltd                       | Elmwood CLO 22 Ltd.                                             | CUSIP: 29001YAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753930.23    | 0.06%             | 2038-04-17      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 68 CLO Ltd.                                              | CUSIP: 26252QAQ5<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503868.50   | 0.12%             | 2035-07-15      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 102 CLO Ltd.                                             | CUSIP: 26253TAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005530.50   | 0.08%             | 2038-10-15      | Floating      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Cantor Equity Partners III Inc           | Cantor Equity Partners III, Inc. - Class A                      | CUSIP: G1828A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    170011 | NS      | $1734112.20   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Cayson Acquisition Corp                  | Cayson Acquisition Corp.                                        | CUSIP: G1993W109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7821 | NS      | $83371.86     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Cohen Circle Acquisition Corp            | Cohen Circle Acquisition Corp. II - Class A                     | CUSIP: G2254C121<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     34184 | NS      | $350044.16    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Cidara Therapeutics Inc                  | Cidara Therapeutics, Inc.                                       | CUSIP: 171757206<br>LEI: 549300IHQ9Z7RI1X2D22 | Long             | EC               | CORP              | US        |     27009 | NS      | $5966018.01   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO IV Ltd                       | Elmwood CLO IV Ltd.                                             | CUSIP: 29002GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007761.20   | 0.17%             | 2037-04-18      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2023-1 Ltd.                                         | CUSIP: 29244CAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3019178.70   | 0.25%             | 2038-04-25      | Floating      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2023-1 Ltd.                                         | CUSIP: 29244NAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1014991.90   | 0.08%             | 2038-04-25      | Floating      | 11.20%                | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2022-1 Ltd.                                         | CUSIP: 29246AAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1511985.75   | 0.12%             | 2037-10-20      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 102 CLO Ltd.                                             | CUSIP: 26253UAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003611.20   | 0.08%             | 2038-10-15      | Floating      | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 120 CLO Ltd.                                             | CUSIP: 26253YAN4<br>LEI: 254900RK37YYJANZLP58 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.08%             | 2039-01-15      | Floating      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2023-2 Ltd.                                         | CUSIP: 29247BAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2507694.75   | 0.21%             | 2038-10-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2025-1 Ltd.                                         | CUSIP: 29249DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010884.00   | 0.17%             | 2038-07-20      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2025-1 Ltd.                                         | CUSIP: 29249DAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005242.50   | 0.08%             | 2038-07-20      | Floating      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| EVERBANK FINANCIAL CORP                  | EverBank Financial Corp.                                        | CUSIP: 29977GAE2<br>LEI: 549300ZSQX8IP0RAE826 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2073398.00   | 0.17%             | 2035-09-01      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables            | Exeter Automobile Receivables Trust 2024-3                      | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2100220.00   | 0.17%             | 2031-10-15      | Fixed         | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E           | FARM 2023-1 Mortgage Trust                                      | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2895518 | PA      | $2176300.00   | 0.18%             | 2052-03-25      | Variable      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E           | FARM 2025-2 Mortgage Trust                                      | CUSIP: 30768BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2054365.66   | 0.17%             | 2055-09-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E           | FARM 21-1 Mortgage Trust                                        | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1347967 | PA      | $1023599.22   | 0.08%             | 2051-07-25      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Cantor Equity Partners IV Inc            | Cantor Equity Partners IV, Inc. - Class A                       | CUSIP: G1828E100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    134266 | NS      | $1380254.48   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Cantor Equity Partners I Inc             | Cantor Equity Partners I, Inc. - Class A                        | CUSIP: G1827K107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     53852 | NS      | $561137.84    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                               | CUSIP: 3136BQPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002531 | PA      | $872990.79    | 0.07%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                               | CUSIP: 3136BQQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1158423 | PA      | $981282.52    | 0.08%             | 2053-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                               | CUSIP: 3136BUVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1282607 | PA      | $1300245.58   | 0.11%             | 2055-02-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                               | CUSIP: 3136BWAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1667889 | PA      | $1657707.72   | 0.14%             | 2055-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                                              | CUSIP: 3137H9AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2132462 | PA      | $2107409.86   | 0.17%             | 2052-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                                              | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1400988 | PA      | $1310719.27   | 0.11%             | 2054-07-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                         | Flatiron CLO 20 Ltd.                                            | CUSIP: 33883MBE3<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000299.20   | 0.08%             | 2038-11-20      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                         | Flatiron CLO 20 Ltd.                                            | CUSIP: 33883NAG7<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1739448.03   | 0.14%             | 2038-11-20      | Floating      | 9.14%                 | Yes           |                  2 | On Loan: No      |
| FLUSHING FINANCIAL CORP                  | Flushing Financial Corp.                                        | CUSIP: 343873AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $893676.00    | 0.07%             | 2031-12-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                       | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1   | CUSIP: 35563PC80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $935017.00    | 0.08%             | 2061-11-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                      | Freddie Mac STACR REMIC Trust 2022-HQA1                         | CUSIP: 35564KUL1<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1106361.00   | 0.09%             | 2042-03-25      | Floating      | 14.87%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                      | Freddie Mac STACR REMIC Trust 2025-DNA4                         | CUSIP: 35564UBS5<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006389.00   | 0.08%             | 2045-10-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T           | Morgan Stanley Mortgage Loan Trust 2005-2AR                     | CUSIP: 61745M4G5<br>LEI: 549300M91PFQR7JLJ570 | Long             | ABS-MBS          | CORP              | US        |   1840134 | PA      | $1618880.03   | 0.13%             | 2035-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GCAT                                     | GCAT 2025-INV5 Trust                                            | CUSIP: 36173VBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2504712.50   | 0.21%             | 2055-12-25      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust             | GS Mortgage Securities Trust 2015-GC30                          | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |   1981673 | PA      | $1899643.44   | 0.16%             | 2050-05-10      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO           | Morgan Stanley Eaton Vance CLO 2021-1 Ltd.                      | CUSIP: 61773LAE0<br>LEI: 549300IR0OSEGDTMK223 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005310.50   | 0.08%             | 2037-10-23      | Floating      | 10.00%                | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor           | Morgan Stanley Residential Mortgage Loan Trust 2024-INV3        | CUSIP: 61776GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1894879 | PA      | $1947037.32   | 0.16%             | 2054-06-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust             | GS Mortgage Securities Corp. Trust 2020-DUNE                    | CUSIP: 36258BAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290297 | PA      | $284185.39    | 0.02%             | 2036-12-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust             | GS Mortgage Securities Corp. Trust 2020-DUNE                    | CUSIP: 36258BAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82942 | PA      | $79578.45     | 0.01%             | 2036-12-15      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 120 CLO Ltd.                                             | CUSIP: 26253YAQ7<br>LEI: 254900RK37YYJANZLP58 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.08%             | 2039-01-15      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 120 CLO Ltd.                                             | CUSIP: 26254EAA5<br>LEI: 254900RK37YYJANZLP58 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.16%             | 2039-01-15      | Floating      | 9.15%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO           | Morgan Stanley Eaton Vance CLO 2022-18 Ltd.                     | CUSIP: 617924AU9<br>LEI: 549300O0I1STG733YG49 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $997500.00    | 0.08%             | 2037-10-20      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO           | Morgan Stanley Eaton Vance CLO 2023-19 Ltd.                     | CUSIP: 617934AU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006649.00   | 0.08%             | 2038-07-15      | Floating      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage T           | EFMT 2024-NQM1                                                  | CUSIP: 26845DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1811851.20   | 0.15%             | 2069-11-25      | Variable      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage T           | EFMT 2025-RTL1                                                  | CUSIP: 26846FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1068592.36   | 0.09%             | 2040-11-25      | Variable      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities            | GS Mortgage-Backed Securities Trust 2022-LTV2                   | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1829695.00   | 0.15%             | 2052-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities            | GS Mortgage-Backed Securities Trust 2023-PJ6                    | CUSIP: 36268FAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1722317 | PA      | $1768401.00   | 0.15%             | 2054-04-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities            | GS Mortgage-Backed Securities Trust 2025-PJ5                    | CUSIP: 36272DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2443590 | PA      | $2465562.89   | 0.20%             | 2055-10-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Galaxy CLO Ltd                           | Galaxy Xxiv Clo Ltd.                                            | CUSIP: 36321BAG6<br>LEI: 6354006LLTU5DRVJLQ86 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503249.45   | 0.12%             | 2037-04-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr           | Goodleap Sustainable Home Solutions Trust 2023-4                | CUSIP: 38237YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2190258 | PA      | $2173152.29   | 0.18%             | 2057-03-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A           | Government National Mortgage Association                        | CUSIP: 38384PKG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1037480 | PA      | $1011257.12   | 0.08%             | 2054-05-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-2NU | CUSIP: 46592FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282395 | PA      | $242966.73    | 0.02%             | 2040-01-05      | Variable      | 2.08%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2021-12                                | CUSIP: 46592WCG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2109944 | PA      | $1720743.95   | 0.14%             | 2052-02-25      | Variable      | 3.16%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2025-CCM1                              | CUSIP: 46593MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2630176 | PA      | $2660315.01   | 0.22%             | 2055-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust                                        | CUSIP: 46593VAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1018901.70   | 0.08%             | 2055-11-25      | Variable      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Cantor Equity Partners II Inc            | Cantor Equity Partners II, Inc. - Class A                       | CUSIP: G1827P106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     27607 | NS      | $310854.82    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Cantor Equity Partners V Inc             | Cantor Equity Partners V, Inc. - Class A                        | CUSIP: G1828S109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     79943 | NS      | $819415.75    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO           | Morgan Stanley Eaton Vance CLO 2023-19 Ltd.                     | CUSIP: 617934AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005254.20   | 0.08%             | 2038-07-15      | Floating      | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor           | Morgan Stanley Residential Mortgage Loan Trust 2025-1           | CUSIP: 617944AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2126109 | PA      | $2166641.31   | 0.18%             | 2055-03-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor           | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1        | CUSIP: 617946AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $571504.22    | 0.05%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor           | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1        | CUSIP: 617946AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1360000 | PA      | $1206782.40   | 0.10%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Confluent Inc                            | Confluent, Inc. - Class A                                       | CUSIP: 20717M103<br>LEI: 254900MRZ83YWUV7SN74 | Long             | EC               | CORP              | US        |     54881 | NS      | $1659601.44   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Crane Harbor Acquisition Corp            | Crane Harbor Acquisition Corp. - Class A                        | CUSIP: G24979109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     24771 | NS      | $266783.67    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SPX 03/31/26 C6000 03/26 6000.0 CAL   /  | SPX 03/31/26 C6000 03/26 6000.0 CAL   /                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |      3086 | NC      | $285532150.00 | 23.47%            |  |  |  | No            |                  1 | On Loan: No      |
| Regatta 32 Funding Ltd.                  | Regatta 32 Funding Ltd.                                         | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007174.80   | 0.16%             | 2038-07-25      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                  | Regatta VII Funding Ltd.                                        | CUSIP: 75887TBA3<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1497756.60   | 0.12%             | 2034-06-20      | Floating      | 10.09%                | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                        | 720 East CLO 2023-II Ltd.                                       | CUSIP: 817941AU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1508313.60   | 0.12%             | 2038-10-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                        | 720 East CLO 2023-II Ltd.                                       | CUSIP: 817942AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006707.10   | 0.08%             | 2038-10-15      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| Shackleton CLO LTD                       | Shackleton 2019-XIV Clo Ltd.                                    | CUSIP: 81880XBC5<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1254245.00   | 0.10%             | 2034-07-20      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Charlton Aria Acquisition Corp           | Charlton Aria Acquisition Corp. - Class A                       | CUSIP: G9877L107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    107263 | NS      | $1124116.24   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ChampionsGate Acquisition Corp           | ChampionsGate Acquisition Corp. - Class A                       | CUSIP: G2124S108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     85493 | NS      | $869463.81    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Shackleton CLO LTD                       | Shackleton 2019-XIV Clo Ltd.                                    | CUSIP: 81880YAJ9<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1235148.13   | 0.10%             | 2034-07-20      | Floating      | 9.78%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XXI Ltd.                                           | CUSIP: 89640JAW7<br>LEI: 254900S6ZHFKMFCQD992 | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1002155.80   | 0.08%             | 2038-04-20      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XV Ltd.                                            | CUSIP: 89642BAA0<br>LEI: 254900ZVDNHQAUJNHH42 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $988537.50    | 0.08%             | 2034-04-22      | Floating      | 11.57%                | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XXXIV Ltd.                                         | CUSIP: 89643KAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010465.20   | 0.17%             | 2038-04-22      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XXXIV Ltd.                                         | CUSIP: 89643LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1022388.90   | 0.08%             | 2038-04-22      | Floating      | 11.02%                | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2024-6                               | CUSIP: 92540JAE2<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    392000 | PA      | $398419.00    | 0.03%             | 2069-07-25      | Variable      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2024-INV2                            | CUSIP: 92540NAF0<br>LEI: 2138002Y4WGHSN8NFF24 | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2313420.50   | 0.19%             | 2069-08-26      | Variable      | 7.94%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2025-4                               | CUSIP: 92540UAH0<br>LEI: 2138009ZO3B2B5MAHZ49 | Long             | ABS-MBS          | CORP              | US        |   1784000 | PA      | $1793569.38   | 0.15%             | 2070-05-25      | Variable      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2019-1 Ltd.                                            | CUSIP: 92917NAW8<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003240.50   | 0.08%             | 2037-10-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2019-1 Ltd.                                            | CUSIP: 92917NBC1<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007982.40   | 0.08%             | 2037-10-15      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage T           | EFMT 2025-RTL1                                                  | CUSIP: 26846FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1463495.04   | 0.12%             | 2040-11-25      | Variable      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trus           | Easy Street Mortgage Loan Trust 2025-RTL2                       | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003110.00   | 0.08%             | 2040-10-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Comerica Inc                             | Comerica, Inc.                                                  | CUSIP: 200340107<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | EC               | CORP              | US        |    102321 | NS      | $8894764.53   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Crane Harbor Acquisition Corp            | Crane Harbor Acquisition Corp. II                               | CUSIP: G25014120<br>LEI: N/A                  | Long             |  | CORP              | US        |     79620 | NS      | $801375.30    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Cal Redwood Acquisition Corp             | Cal Redwood Acquisition Corp. - Class A                         | CUSIP: G17564108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     64140 | NS      | $652945.20    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Lionheart Holdings                       | Lionheart Holdings - Class A                                    | CUSIP: G5501C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    194016 | NS      | $2072090.88   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| CVB Financial Corp                       | CVB Financial Corp.                                             | CUSIP: 126600105<br>LEI: N/A                  | Short            | EC               | CORP              | US        |   -133507 | NS      | $-2483230.20  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Clearwater Analytics Holdings            | Clearwater Analytics Holdings, Inc. - Class A                   | CUSIP: 185123106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    196019 | NS      | $4727978.28   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2020-2 Ltd.                                            | CUSIP: 92918HBD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005163.10   | 0.08%             | 2038-01-20      | Floating      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2020-3 Ltd.                                            | CUSIP: 92918NAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1501410.30   | 0.12%             | 2038-01-20      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CyberArk Software Ltd                    | CyberArk Software Ltd.                                          | CUSIP: M2682V108<br>LEI: 529900YEXNDM894PWS93 | Long             | EC               | CORP              | IL        |     22049 | NS      | $9835176.94   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Vance CDO Ltd                      | Eaton Vance CLO 2020-1 Ltd.                                     | CUSIP: 278301AG1<br>LEI: 5493004NKU3QU5G6QW39 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $981735.80    | 0.08%             | 2037-10-15      | Floating      | 10.15%                | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                      | Eaton Vance CLO 2013-1 Ltd.                                     | CUSIP: 27830BBY9<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004952.80   | 0.16%             | 2038-10-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                      | Eaton Vance CLO 2013-1 Ltd.                                     | CUSIP: 27830BCG7<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005517.10   | 0.08%             | 2038-10-15      | Floating      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                      | Eaton Vance Clo 2015-1 Ltd.                                     | CUSIP: 27830KBA1<br>LEI: 5493008YP5U5LTXAO749 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003355.60   | 0.08%             | 2030-01-20      | Floating      | 6.65%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                                              | CUSIP: 3137HJSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2671142 | PA      | $2707872.76   | 0.22%             | 2055-02-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                                              | CUSIP: 3137HJSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2108796 | PA      | $2133460.71   | 0.18%             | 2055-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fidelis Mortgage Trust                   | Fidelis Mortgage Trust 2025-RTL1                                | CUSIP: 31575LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182000 | PA      | $183859.68    | 0.02%             | 2040-02-27      | Variable      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                         | Flatiron CLO 24 Ltd.                                            | CUSIP: 33882HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    750000 | PA      | $766947.60    | 0.06%             | 2037-01-15      | Floating      | 11.73%                | Yes           |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                        | Mountain View Clo XV Ltd.                                       | CUSIP: 62432PBC5<br>LEI: 254900VKL64PZVEG4F33 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007532.70   | 0.08%             | 2037-07-15      | Floating      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                         | NMEF Funding 2025-B LLC                                         | CUSIP: 62919WAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1020581.00   | 0.08%             | 2033-01-18      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2020-3 Ltd.                                            | CUSIP: 92918NBE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004289.00   | 0.08%             | 2038-01-20      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2020-3 Ltd.                                            | CUSIP: 92918NBG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005180.70   | 0.08%             | 2038-01-20      | Floating      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                 | Madison Park Funding XIV Ltd.                                   | CUSIP: 55818RBQ8<br>LEI: 254900Q2IOW6JYPYIV98 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $754588.73    | 0.06%             | 2030-10-22      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                 | Madison Park Funding XXXIV Ltd.                                 | CUSIP: 55819GBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1808853.66   | 0.15%             | 2037-10-16      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| SPX 01/30/26 P7195 01/26 7195.0 PUT   /  | SPX 01/30/26 P7195 01/26 7195.0 PUT   /                         | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |      -310 | NC      | $-10230000.00 | -0.84%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 01/30/26 P6505 01/26 6505.0 PUT   /  | SPX 01/30/26 P6505 01/26 6505.0 PUT   /                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |       310 | NC      | $702150.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Madison Park Funding Ltd                 | Madison Park Funding XXVII Ltd.                                 | CUSIP: 55820YAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000201.20   | 0.08%             | 2038-04-20      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXVI Ltd.                                             | CUSIP: 55954YBC8<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | KY        |   5955000 | PA      | $5934885.80   | 0.49%             | 2038-01-25      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2022-4 Ltd.                                            | CUSIP: 92920MAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1012953.40   | 0.08%             | 2037-04-20      | Floating      | 10.58%                | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust             | WB Commercial Mortgage Trust 2024-HQ                            | CUSIP: 92943PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $251247.25    | 0.02%             | 2040-03-15      | Variable      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| Wellington Management CLO                | Wellington Management CLO 1 Ltd.                                | CUSIP: 94957JAS3<br>LEI: 213800W7PWM3WCMD7X28 | Long             | ABS-CBDO         | CORP              | JE        |    600000 | PA      | $597846.66    | 0.05%             | 2038-10-20      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                       | Whitebox CLO IV Ltd.                                            | CUSIP: 96467KAU3<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1506936.30   | 0.12%             | 2036-04-20      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 36R Ltd.                     | CUSIP: 64090EAG1<br>LEI: 254900RBT2LAQQHMHG60 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507807.20   | 0.12%             | 2039-07-20      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 60 Ltd.                      | CUSIP: 640974AA9<br>LEI: 254900LV0LNHKC2KQJ62 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1031334.30   | 0.08%             | 2039-04-22      | Floating      | 10.34%                | Yes           |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                       | Whitebox CLO IV Ltd.                                            | CUSIP: 96467LAE7<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1015876.10   | 0.08%             | 2036-04-20      | Floating      | 10.36%                | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                       | THL Credit Wind River 2019-3 Clo Ltd.                           | CUSIP: 97314JBC8<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002441.50   | 0.08%             | 2038-01-15      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                       | Wind River 2021-4 CLO Ltd.                                      | CUSIP: 97316UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500378.60   | 0.12%             | 2035-01-20      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Artius II Acquisition Inc                | Artius II Acquisition, Inc. - Class A                           | CUSIP: G0509J115<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     64205 | NS      | $661311.50    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 28 Ltd.                      | CUSIP: 64130PAU7<br>LEI: 5493008C5LSWKG3UQ392 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1010073.70   | 0.08%             | 2038-10-20      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman CLO XXII Ltd.                                  | CUSIP: 64131CAG6<br>LEI: 549300FFV1EYI8ON7P41 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1009491.40   | 0.08%             | 2038-04-15      | Floating      | 10.71%                | Yes           |                  2 | On Loan: No      |
| AA Mission Acquisition Corp              | AA Mission Acquisition Corp. - Class A                          | CUSIP: G1000R101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    268812 | NS      | $2868224.04   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| ABIOMED, Inc. CONTINGENT VALUE RHT   /   | ABIOMED, Inc. CONTINGENT VALUE RHT   /                          | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1014 | NC      | $1034.28      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXVII Ltd.                                            | CUSIP: 55955EBC1<br>LEI: 5493003N6WY184N72D84 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $754160.10    | 0.06%             | 2038-10-20      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXV Ltd.                                              | CUSIP: 55955HAA9<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1107096.65   | 0.09%             | 2032-01-25      | Floating      | 10.47%                | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXVIII Ltd.                                           | CUSIP: 55955LBA9<br>LEI: 54930077HHZ1QV5CPQ30 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005323.00   | 0.08%             | 2038-01-15      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XLIV Ltd.                                             | CUSIP: 55955UAJ1<br>LEI: 529900QN6D2QU338OD40 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1260028.25   | 0.10%             | 2037-10-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| American Drive Acquisition Co            | American Drive Acquisition Co.                                  | CUSIP: G0R91M121<br>LEI: N/A                  | Long             |  | CORP              | US        |     51318 | NS      | $512666.82    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Activate Energy Acquisition Co           | Activate Energy Acquisition Corp.                               | CUSIP: G0081J129<br>LEI: N/A                  | Long             |  | CORP              | KY        |     26254 | NS      | $262540.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| American Exceptionalism Acquis           | American Exceptionalism Acquisition Corp. A - Class A           | CUSIP: G0273J101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6676 | NS      | $76039.64     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTURION CL B CL B   /                  | CENTURION CL B CL B   /                                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     20349 | NS      | $0.20         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Alussa Energy Acquisition Corp           | Alussa Energy Acquisition Corp. II                              | CUSIP: G0233J126<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26330 | NS      | $265933.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Agriculture & Natural Solution           | Agriculture & Natural Solutions Acquisition Corp.               | CUSIP: G0131Y100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    243198 | NS      | $2716521.66   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| A Paradise Acquisition Corp              | A Paradise Acquisition Corp. - Class A                          | CUSIP: G04819101<br>LEI: N/A                  | Long             | EC               | CORP              | HK        |      6586 | NS      | $66189.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| APEX TREAS Corp. ORD SHS CL A   /        | APEX TREAS Corp. ORD SHS CL A   /                               | CUSIP: G04104108<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |    112586 | NS      | $1113475.54   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Astria Therapeutics Inc                  | Astria Therapeutics, Inc.                                       | CUSIP: 04635X102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     99343 | NS      | $1300399.87   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Axiom Intelligence Acquisition           | Axiom Intelligence Acquisition Corp. 1 - Class A                | CUSIP: G0750N104<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |    109960 | NS      | $1107297.20   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Boeing Co/The                            | Boeing Co.                                                      | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |      9652 | NS      | $2095642.24   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Boeing Co/The                            | Boeing Co.                                                      | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Short            | EC               | CORP              | US        |     -9652 | NS      | $-2095642.24  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Marble Point CLO Ltd.                    | Marble Point CLO XV Ltd.                                        | CUSIP: 56606YBA2<br>LEI: 549300CO8XB55W8SS394 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002735.70   | 0.08%             | 2032-07-23      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                   | Marlette Funding Trust 2023-2                                   | CUSIP: 57109L103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3806 | PA      | $258808.00    | 0.02%             | 2033-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Inflection Point Acquisition C           | Inflection Point Acquisition Corp. IV                           | CUSIP: G1169T104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     75581 | NS      | $810228.32    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| HNI Corp                                 | HNI Corp.                                                       | CUSIP: 404251100<br>LEI: 549300SKRADLC4O5HV93 | Long             | EC               | CORP              | US        |     10079 | NS      | $423721.16    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HNI Corp                                 | HNI Corp.                                                       | CUSIP: 404251100<br>LEI: 549300SKRADLC4O5HV93 | Short            | EC               | CORP              | US        |    -10079 | NS      | $-423721.16   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Hologic Inc                              | Hologic, Inc.                                                   | CUSIP: 436440101<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | EC               | CORP              | US        |     38812 | NS      | $2891105.88   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Heritage Commerce Corp                   | Heritage Commerce Corp.                                         | CUSIP: 426927109<br>LEI: 549300CLIS851ELSR406 | Long             | EC               | CORP              | US        |    205394 | NS      | $2466781.94   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Yorkville Acquisition Corp               | Yorkville Acquisition Corp. - Class A                           | CUSIP: G98659116<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41477 | NS      | $420162.01    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Marlette Funding Trust                   | Marlette Funding Trust 2023-1                                   | CUSIP: 57110P101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1352 | PA      | $68952.00     | 0.01%             | 2033-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Amicus Therapeutics, Inc.                | Amicus Therapeutics, Inc.                                       | CUSIP: 999999999<br>LEI: 549300MRD1SMUTNBPQ53 | N/A              | DE               |  | US        |       -46 | NC      | $-115.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Amicus Therapeutics, Inc.                | Amicus Therapeutics, Inc.                                       | CUSIP: 999999999<br>LEI: 549300MRD1SMUTNBPQ53 | N/A              | DE               |  | US        |        -7 | NC      | $-140.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MENLO CLO                                | Menlo Clo III Ltd.                                              | CUSIP: 58682NAG7<br>LEI: 254900SSGUF4LVDEDB34 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002690.60   | 0.08%             | 2038-10-16      | Floating      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| YORKVILLE ACQUISITION CORP-A             | Yorkville Acquisition Corp.                                     | CUSIP: G98659124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     10255 | NC      | $5140.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Meshflow Acquisition Corp                | Meshflow Acquisition Corp.                                      | CUSIP: G6032N127<br>LEI: N/A                  | Long             |  | CORP              | US        |     99573 | NS      | $995730.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| MENLO CLO                                | Menlo CLO I Ltd.                                                | CUSIP: 586915AG5<br>LEI: 2549005RHPY3C68SIP61 | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1382220.81   | 0.11%             | 2038-01-20      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Mountain Lake Acquisition Corp           | Mountain Lake Acquisition Corp. - Class A                       | CUSIP: G6301B101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    128537 | NS      | $1336784.80   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MSILF Government Portfolio               | MSILF Government Portfolio - Class Institutional                | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |    536994 | PA      | $536993.56    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| NewHold Investment Corp III              | NewHold Investment Corp. III - Class A                          | CUSIP: G6486E102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    156973 | NS      | $1626240.28   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Newbury Street II Acquisition            | Newbury Street II Acquisition Corp. - Class A                   | CUSIP: G6439S109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7999 | NS      | $83669.54     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New America Acquisition I Corp           | New America Acquisition I Corp. - Class A                       | CUSIP: 023634207<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4594 | NS      | $47823.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| 1RT Acquisition Corp                     | 1RT Acquisition Corp. - Class A                                 | CUSIP: G6757R105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     51740 | NS      | $527748.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| OTG Acquisition Corp I                   | OTG Acquisition Corp. I - Class A                               | CUSIP: G6791A100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10807 | NS      | $108070.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Oyster Enterprises II Acquisit           | Oyster Enterprises II Acquisition Corp. - Class A               | CUSIP: G6861F104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     24044 | NS      | $243084.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Pioneer Acquisition I Corp               | Pioneer Acquisition I Corp. - Class A                           | CUSIP: G7117W107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     84600 | NS      | $851076.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Tailwind 2.0 Acquisition Corp            | Tailwind 2.0 Acquisition Corp. - Class A                        | CUSIP: G8662J111<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     52690 | NS      | $519523.40    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Tailwind 2.0 Acquisition Corp            | Tailwind 2.0 Acquisition Corp.                                  | CUSIP: G8662J129<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     52690 | NC      | $8641.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Texas Ventures Acquisition III           | Texas Ventures Acquisition III Corp. - Class A                  | CUSIP: G8772L105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    200939 | NS      | $2140000.35   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Two Harbors Investment Corp              | Two Harbors Investment Corp. - REIT                             | CUSIP: 90187B804<br>LEI: 549300ZUIBT6KH4HU823 | Long             |  | CORP              | US        |     13999 | NS      | $146989.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UWM Holdings Corp                        | UWM Holdings Corp.                                              | CUSIP: 91823B109<br>LEI: N/A                  | Short            | EC               | CORP              | US        |    -32656 | NS      | $-143033.28   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AG Trust                                 | AG Trust 2024-NLP                                               | CUSIP: 00792MAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $805780.80    | 0.07%             | 2041-08-15      | Floating      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| AG Trust                                 | AG Trust 2024-NLP                                               | CUSIP: 00792MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1064000 | PA      | $1068715.65   | 0.09%             | 2041-08-15      | Floating      | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                    | AIMCO CLO 10 Ltd.                                               | CUSIP: 00900UAG9<br>LEI: 5493004I93856WYBB035 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502065.45    | 0.04%             | 2037-07-22      | Floating      | 9.51%                 | Yes           |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                 | Ajax Mortgage Loan Trust 2021-F                                 | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388969 | PA      | $389071.66    | 0.03%             | 2061-06-25      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Voyager Acquisition Corp                 | Voyager Acquisition Corp.                                       | CUSIP: G93A7H104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    201116 | NS      | $2145907.72   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Viking Acquisition Corp I                | Viking Acquisition Corp. I - Class A                            | CUSIP: G9582G104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     85695 | NS      | $848380.50    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO 14 Ltd                       | Elmwood CLO 14 Ltd.                                             | CUSIP: 29003WAL9<br>LEI: 254900OL3XXZ9LCM4Q21 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503049.80   | 0.12%             | 2038-10-20      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 19 Ltd                       | Elmwood CLO 19 Ltd.                                             | CUSIP: 29004JBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1759699.20   | 0.14%             | 2038-10-17      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| VIKING ACQUISITIONS CORP I               | Viking Acquisition Corp. I                                      | CUSIP: G9582G112<br>LEI: N/A                  | N/A              | DE               | CORP              | KY        |     28565 | NC      | $10854.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Vine Hill Capital Investment C           | Vine Hill Capital Investment Corp. - Class A                    | CUSIP: G93Y09107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     77521 | NS      | $834901.17    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO 19 Ltd                       | Elmwood CLO 19 Ltd.                                             | CUSIP: 29004YAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1254358.38   | 0.10%             | 2038-10-17      | Floating      | 9.06%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A           | Government National Mortgage Association                        | CUSIP: 38385CCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426274 | PA      | $429408.45    | 0.04%             | 2055-01-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MENLO CLO                                | Menlo Clo II Ltd.                                               | CUSIP: 586916AE8<br>LEI: 254900584QQ9TE467R16 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507982.70   | 0.12%             | 2038-04-20      | Floating      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| MFRA Trust                               | MFA 2024-RTL3 Trust                                             | CUSIP: 59319PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2031140.00   | 0.17%             | 2039-11-25      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Vine Hill Capital Investment C           | Vine Hill Capital Investment Corp. II                           | CUSIP: G9709D125<br>LEI: N/A                  | Long             |  | CORP              | US        |     53052 | NS      | $531581.04    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Vendome Acquisition Corp I               | Vendome Acquisition Corp. I - Class A                           | CUSIP: G9580A109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    319062 | NS      | $3212954.34   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A           | Government National Mortgage Association                        | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1525553 | PA      | $1495069.03   | 0.12%             | 2055-06-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu           | GreenSky Home Improvement Trust 2024-1                          | CUSIP: 39571MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1654067 | PA      | $1726088.41   | 0.14%             | 2059-06-25      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Trust                 | Mill City Mortgage Loan Trust 2019-GS2                          | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3025000 | PA      | $2412724.88   | 0.20%             | 2059-08-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| SPX 12/31/25 P6510 12/25 6510.0 PUT   /  | SPX 12/31/25 P6510 12/25 6510.0 PUT   /                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |       310 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2022-1 Ltd.                                         | CUSIP: 67402NAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1492310.85   | 0.12%             | 2038-07-15      | Floating      | 9.90%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2019-16 Ltd.                                            | CUSIP: 67570QAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003708.10   | 0.08%             | 2033-04-10      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners Lt           | Octagon Investment Partners 18-R Ltd.                           | CUSIP: 67576FAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007594.40   | 0.17%             | 2031-04-16      | Floating      | 6.86%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2023-30 Ltd.                                            | CUSIP: 67578RAJ0<br>LEI: 2138008RM9AHM8ZQ8119 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1000000.00   | 0.08%             | 2037-01-24      | Floating      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| Octagon 57 Ltd                           | Octagon 57 Ltd.                                                 | CUSIP: 67592XAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $997944.20    | 0.08%             | 2034-10-15      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Octagon 68 Ltd                           | Octagon 68 Ltd.                                                 | CUSIP: 675949AY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006799.20   | 0.08%             | 2038-10-20      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Octagon 68 Ltd                           | Octagon 68 Ltd.                                                 | CUSIP: 675950AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1262305.63   | 0.10%             | 2038-10-20      | Floating      | 9.63%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag           | PRPM 2025-7 LLC                                                 | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    959036 | PA      | $962428.99    | 0.08%             | 2030-08-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag           | PRPM 2025-7 LLC                                                 | CUSIP: 69382YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1254341.25   | 0.10%             | 2030-08-25      | Variable      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag           | PRPM 2025-7 LLC                                                 | CUSIP: 69382YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2139000 | PA      | $2161433.83   | 0.18%             | 2030-08-25      | Variable      | 10.55%                | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | Pret 2025-NPL11 LLC                                             | CUSIP: 69383AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $375703.13    | 0.03%             | 2055-10-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | PRET 2025-NPL12 LLC                                             | CUSIP: 69383CAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002476.00   | 0.08%             | 2055-11-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | PRET 2025-NPL8 LLC                                              | CUSIP: 69392EAB6<br>LEI: 254900EZKI569P0YE486 | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $2158683.85   | 0.18%             | 2055-08-25      | Variable      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag           | PRPM 2025-RPL3 LLC                                              | CUSIP: 69392NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2507714.00   | 0.21%             | 2055-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag           | PRPM 2025-6 LLC                                                 | CUSIP: 69395KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2989000 | PA      | $3011850.91   | 0.25%             | 2028-08-25      | Variable      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd           | Palmer Square Loan Funding 2020-1 Ltd.                          | CUSIP: 69701DAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $0.00         | 0.00%             | 2028-02-20      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Point Securitization Trust               | Point Securitization Trust 2023-1                               | CUSIP: 73071JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1017057.20   | 0.08%             | 2053-11-25      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Point Securitization Trust               | Point Securitization Trust 2025-2                               | CUSIP: 73071PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $852299.00    | 0.07%             | 2055-09-25      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO 2021-1 Ltd.                                            | CUSIP: 73742FAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $750021.98    | 0.06%             | 2034-10-15      | Floating      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO 2023-1 Ltd.                                            | CUSIP: 73743CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $754715.40    | 0.06%             | 2038-10-20      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO 2023-1 Ltd.                                            | CUSIP: 73743CAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1512989.25   | 0.12%             | 2038-10-20      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO 2023-1 Ltd.                                            | CUSIP: 73743CAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    675000 | PA      | $675009.05    | 0.06%             | 2038-10-20      | Floating      | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO 2024-1 Ltd.                                            | CUSIP: 73743FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1016563.80   | 0.08%             | 2037-04-20      | Floating      | 10.68%                | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO VII Ltd.                                               | CUSIP: 73743JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $996167.40    | 0.08%             | 2039-01-20      | Floating      | 9.11%                 | Yes           |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust           | HLTN Commercial Mortgage Trust 2024-DPLO                        | CUSIP: 40424UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1005271.00   | 0.08%             | 2041-06-15      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S           | HOMES 2025-NQM3 Trust                                           | CUSIP: 40446GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1734557.60   | 0.14%             | 2070-02-25      | Variable      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | PRET 2025-NPL9 LLC                                              | CUSIP: 740937AB3<br>LEI: 254900IWII23Q41Y2V47 | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2111663.40   | 0.17%             | 2055-08-25      | Variable      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | PRET 2025-RPL4 Trust                                            | CUSIP: 740943AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1773558.00   | 0.15%             | 2065-03-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust           | HarborView Mortgage Loan Trust 2006-10                          | CUSIP: 41162CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2604758 | PA      | $2109556.74   | 0.17%             | 2036-11-19      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                  | HomeBanc Mortgage Trust 2006-1                                  | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207714 | PA      | $187308.34    | 0.02%             | 2037-04-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Warner Bros Discovery Inc                | Warner Bros Discovery, Inc.                                     | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |       469 | NS      | $13516.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wen Acquisition Corp                     | Wen Acquisition Corp. - Class A                                 | CUSIP: G9R39C103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     83399 | NS      | $842329.90    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| RR 36 LTD                                | RR 36 Ltd.                                                      | CUSIP: 74989AAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010634.40   | 0.17%             | 2040-01-15      | Floating      | 6.65%                 | Yes           |                  2 | On Loan: No      |
| Rad CLO Ltd                              | Rad CLO 15 Ltd.                                                 | CUSIP: 750103AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005573.20   | 0.16%             | 2040-07-20      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Armada Acquisition Corp II               | Armada Acquisition Corp. II - Class A                           | CUSIP: G0R38G104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     73517 | NS      | $752814.08    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| AA Mission Acquisition Corp II           | AA Mission Acquisition Corp. II - Class A                       | CUSIP: G1000S109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     33356 | NS      | $331225.08    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Homeward Opportunities Fund I            | Homeward Opportunities Fund Trust 2024-RRTL2                    | CUSIP: 43789GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1508838.00   | 0.12%             | 2039-09-25      | Variable      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I            | Homeward Opportunities Fund Trust 2024-RRTL2                    | CUSIP: 43789GAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922000 | PA      | $922391.85    | 0.08%             | 2039-09-25      | Variable      | 9.08%                 | Yes           |                  2 | On Loan: No      |
| AA MISSION ACQUISITION-A                 | AA Mission Acquisition Corp. II                                 | CUSIP: G1000S125<br>LEI: N/A                  | N/A              | DE               | CORP              | KY        |     16678 | NC      | $3340.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Homeward Opportunities Fund I            | Homeward Opportunities Fund Trust 2025-RRTL2                    | CUSIP: 437923AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2270823.75   | 0.19%             | 2040-09-25      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru           | IndyMac INDX Mortgage Loan Trust 2005-AR15                      | CUSIP: 45660LVL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459583 | PA      | $373028.40    | 0.03%             | 2035-09-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                          | Invesco U.S. CLO 2023-3 Ltd.                                    | CUSIP: 46091RAS2<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1509960.75   | 0.12%             | 2038-07-15      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Invesco CLO LTD                          | Invesco U.S. CLO 2023-2 Ltd.                                    | CUSIP: 46147LAE0<br>LEI: 2549000VWIHWVWECHQ22 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1023939.20   | 0.08%             | 2038-04-21      | Floating      | 11.75%                | Yes           |                  2 | On Loan: No      |
| Invesco CLO LTD                          | INVESCO U.S. CLO 2025-1 Ltd.                                    | CUSIP: 46151MAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.16%             | 2038-07-15      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Invesco CLO LTD                          | INVESCO U.S. CLO 2025-1 Ltd.                                    | CUSIP: 46151PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $757492.88    | 0.06%             | 2038-07-15      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| Invesco CLO LTD                          | Invesco U.S. CLO 2025-2 Ltd.                                    | CUSIP: 46151RAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005248.80   | 0.08%             | 2038-07-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| RCO Mortgage LLC                         | RCO X Mortgage LLC 2025-5                                       | CUSIP: 75523YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1954462 | PA      | $1960405.95   | 0.16%             | 2030-10-25      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                 | Redwood Funding Trust 2025-2                                    | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1934937 | PA      | $1956167.10   | 0.16%             | 2055-10-25      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                 | Redwood Funding Trust 2025-3                                    | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    877777 | PA      | $887425.70    | 0.07%             | 2056-12-27      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                 | Redwood Funding Trust 2025-3                                    | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1146000 | PA      | $1157824.43   | 0.10%             | 2056-12-27      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                    | Silver Point CLO 11 Ltd.                                        | CUSIP: 82809XAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507860.75   | 0.12%             | 2038-07-15      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.               | Sixth Street CLO XXII Ltd.                                      | CUSIP: 83011LAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2350000 | PA      | $2365498.49   | 0.19%             | 2038-04-21      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                      | Sound Point Clo XX Ltd.                                         | CUSIP: 83611JAG0<br>LEI: 549300RTEBF0FW35D815 | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1353328.29   | 0.11%             | 2031-07-26      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Splitero Trust 2025-1                    | Splitero Trust 2025-1                                           | CUSIP: 848948AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $662870.25    | 0.05%             | 2055-12-25      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential            | Starwood Mortgage Residential Trust 2020-3                      | CUSIP: 85573MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155000 | PA      | $1021180.55   | 0.08%             | 2065-04-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve           | Structured Asset Mortgage Investments II Trust 2004-AR5         | CUSIP: 86359LEG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420248 | PA      | $367425.68    | 0.03%             | 2034-10-19      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                         | Symphony CLO 39 Ltd.                                            | CUSIP: 87169TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1003340.00   | 0.08%             | 2038-01-25      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                       | THL Credit Wind River 2015-1 CLO Ltd.                           | CUSIP: 87246LAG9<br>LEI: 549300H4V7OE3OL7II20 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1996298.40   | 0.16%             | 2030-10-20      | Floating      | 9.95%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                    | Toorak Mortgage Trust 2024-RRTL2                                | CUSIP: 89055JAF2<br>LEI: 254900AXFPBUQ16CX921 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1505139.00   | 0.12%             | 2039-09-25      | Variable      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                    | Toorak Mortgage Trust 2024-2                                    | CUSIP: 89055KAB8<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |   2365000 | PA      | $2387420.20   | 0.20%             | 2031-10-25      | Variable      | 8.65%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2017-4                                | CUSIP: 89173UAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1588474.00   | 0.13%             | 2057-06-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-R1                               | CUSIP: 89179TAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1287812 | PA      | $537539.17    | 0.04%             | 2060-11-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-R1                               | CUSIP: 89179TAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943000 | PA      | $371001.66    | 0.03%             | 2060-11-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-R1                               | CUSIP: 89179TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2060405 | PA      | $731810.53    | 0.06%             | 2060-11-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Oak Hill Credit Partners                 | OHA Credit Funding 8 Ltd.                                       | CUSIP: 67707GBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010646.00   | 0.17%             | 2038-01-20      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag           | PRPM 2024-RCF1 LLC                                              | CUSIP: 693581AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1914194.00   | 0.16%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag           | PRPM 2024-NQM3                                                  | CUSIP: 69381FAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $506986.50    | 0.04%             | 2069-08-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag           | PRPM 2025-RCF4 LLC                                              | CUSIP: 69382WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1056133.12   | 0.09%             | 2055-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | PRET 2025-NPL13 LLC                                             | CUSIP: 74143UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1502799.00   | 0.12%             | 2055-12-25      | Variable      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                              | CUSIP: 89180LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167000 | PA      | $1069648.28   | 0.09%             | 2061-12-25      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                              | CUSIP: 89180LAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1218620 | PA      | $959081.97    | 0.08%             | 2061-12-25      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                               | PRM7 Trust 2025-PRM7                                            | CUSIP: 74290HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1290692.00   | 0.11%             | 2042-11-10      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| RCO Mortgage LLC                         | RCO IX Mortgage LLC 2025-4                                      | CUSIP: 74939VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1773357 | PA      | $1777279.68   | 0.15%             | 2030-10-25      | Variable      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                              | CUSIP: 89180LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242926 | PA      | $863144.12    | 0.07%             | 2061-12-25      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                              | CUSIP: 89180LCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15047448 | PA      | $173873.26    | 0.01%             | 2061-12-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                              | CUSIP: 89180LCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15047448 | PA      | $301024.20    | 0.02%             | 2061-12-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Trestles CLO LTD                         | Trestles CLO VI Ltd.                                            | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2246559.53   | 0.18%             | 2038-04-25      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| RCO Mortgage LLC                         | RCO IX Mortgage LLC 2025-4                                      | CUSIP: 74939VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1202904.00   | 0.10%             | 2030-10-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked           | Truist Bank Auto Credit-Linked Notes Series 2025-1              | CUSIP: 897926CE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635203 | PA      | $636715.00    | 0.05%             | 2033-09-26      | Fixed         | 9.69%                 | Yes           |                  2 | On Loan: No      |
| Trestles CLO LTD                         | Trestles CLO VIII Ltd.                                          | CUSIP: 89533DAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $1297848.49   | 0.11%             | 2035-06-11      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XXV Ltd.                                           | CUSIP: 89640BAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1000000.00   | 0.08%             | 2037-01-23      | Floating      | 8.86%                 | Yes           |                  2 | On Loan: No      |
| Visio Trust                              | Visio 2023-2 Trust                                              | CUSIP: 92839CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466000 | PA      | $470852.92    | 0.04%             | 2058-10-25      | Variable      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust            | VTR Commercial Mortgage Trust 2025-STEM                         | CUSIP: 92890YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2017228.00   | 0.17%             | 2039-10-13      | Variable      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| UPG HI Issuer Trust                      | UPG HI 2025-2 Issuer Trust                                      | CUSIP: 90321EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $997492.00    | 0.08%             | 2047-09-25      | Fixed         | 8.80%                 | Yes           |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                         | Unlock HEA Trust 2025-2                                         | CUSIP: 914917AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $779062.00    | 0.06%             | 2041-11-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2015-3 Ltd.                                            | CUSIP: 92913UBS4<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002615.90   | 0.08%             | 2031-10-20      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2016-1 Ltd.                                            | CUSIP: 92915CAW4<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |   1325000 | PA      | $1329442.86   | 0.11%             | 2031-01-20      | Floating      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2017-3 Ltd.                                            | CUSIP: 92915QBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5012993.00   | 0.41%             | 2034-04-20      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2017-1 Ltd.                                            | CUSIP: 92916MAD3<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $752488.28    | 0.06%             | 2030-04-17      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2013-3 Ltd.                                            | CUSIP: 92916XAQ0<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003376.40   | 0.08%             | 2031-10-18      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2018-1 Ltd.                                            | CUSIP: 92917AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2127000 | PA      | $2134133.75   | 0.18%             | 2031-04-19      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2013-1 Ltd.                                            | CUSIP: 92917CAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    716000 | PA      | $718375.40    | 0.06%             | 2030-10-15      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2018-2 Ltd.                                            | CUSIP: 92917JAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1254180.88   | 0.10%             | 2031-07-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| AIMEI HEALTH TECHNOL TENDERED SHARES   / | AIMEI HEALTH TECHNOL TENDERED SHARES   /                        | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     26484 | NS      | $301123.08    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Alexander & Baldwin Inc                  | Alexander & Baldwin, Inc. - REIT                                | CUSIP: 014491104<br>LEI: N/A                  | Long             |  | CORP              | US        |    329800 | NS      | $6807072.00   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| UNLOCK HEA TRUST                         | Unlock HEA Trust 2024-2                                         | CUSIP: 91528AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2696648 | PA      | $2702189.90   | 0.22%             | 2039-10-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                         | Unlock Hea Trust 2023-1                                         | CUSIP: 91528JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2745309 | PA      | $2705318.08   | 0.22%             | 2038-10-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Centurion Acquisition Corp               | Centurion Acquisition Corp.                                     | CUSIP: G20315100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    249562 | NS      | $2665322.16   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTURION CL A CL A   /                  | CENTURION CL A CL A   /                                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     16280 | NS      | $0.16         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Live Oak Acquisition Corp V              | Live Oak Acquisition Corp. V - Class A                          | CUSIP: G5509P102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    145913 | NS      | $1502903.90   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Launch One Acquisition Corp              | Launch One Acquisition Corp.                                    | CUSIP: G5S86M100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    191384 | NS      | $2026756.56   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Upland CLO Ltd                           | Upland CLO Ltd.                                                 | CUSIP: 915328AU2<br>LEI: 54930052JF7HYEE5CO91 | Long             | ABS-CBDO         | CORP              | KY        |     30426 | PA      | $30463.26     | 0.00%             | 2031-04-20      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Upland CLO Ltd                           | Upland CLO Ltd.                                                 | CUSIP: 915328BA5<br>LEI: 54930052JF7HYEE5CO91 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $752511.53    | 0.06%             | 2031-04-20      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust           | Upgrade Master Pass-Thru Trust Series 2025-ST8                  | CUSIP: 91535UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2818431.00   | 0.23%             | 2033-12-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust              | UPX HIL 2025-1 Issuer Trust                                     | CUSIP: 916925AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251925.75    | 0.02%             | 2047-01-25      | Fixed         | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Melar Acquisition Corp I                 | Melar Acquisition Corp. I - Class A                             | CUSIP: G6004G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    116287 | NS      | $1236130.81   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| M3-Brigade Acquisition VI Corp           | M3-Brigade Acquisition VI Corp. - Class A                       | CUSIP: G63221108<br>LEI: 529900K3KULJYPOBI946 | Long             | EC               | CORP              | US        |     53649 | NS      | $537026.49    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| VALLEY NATIONAL BANCORP                  | Valley National Bancorp                                         | CUSIP: 919794AE7<br>LEI: 549300ET52S1UBIB9762 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $942544.00    | 0.08%             | 2031-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                          | Venture 38 CLO Ltd.                                             | CUSIP: 92332NBC8<br>LEI: 549300EM6DS6KQH1HN07 | Long             | ABS-CBDO         | CORP              | KY        |    833955 | PA      | $834716.47    | 0.07%             | 2032-07-30      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Digital Asset Acquisition Corp           | Digital Asset Acquisition Corp. - Class A                       | CUSIP: G2868C103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    138477 | NS      | $1412465.40   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Dayforce Inc                             | Dayforce, Inc.                                                  | CUSIP: 15677J108<br>LEI: 549300T64GVCHFJ8L449 | Long             | EC               | CORP              | US        |    125798 | NS      | $8700189.68   | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| Denny's Corp                             | Denny's Corp.                                                   | CUSIP: 24869P104<br>LEI: 54930037V56XOULXM917 | Long             | EC               | CORP              | US        |    224782 | NS      | $1398144.04   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Verdelite Static CLO Ltd                 | Verdelite Static CLO 2024-1 Ltd.                                | CUSIP: 92338VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1001032.30   | 0.08%             | 2032-07-20      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2024-7                               | CUSIP: 924925AH3<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $1021955.37   | 0.08%             | 2069-09-25      | Variable      | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Pyrophyte Acquisition Corp II            | Pyrophyte Acquisition Corp. II - Class A                        | CUSIP: G7309T102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     33936 | NS      | $341396.16    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Palo Alto Networks Inc                   | Palo Alto Networks, Inc.                                        | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Short            | EC               | CORP              | US        |    -48520 | NS      | $-8937384.00  | -0.73%            |  |  |  | No            |                  1 | On Loan: No      |
| Drugs Made In America Acquisit           | Drugs Made In America Acquisition Corp.                         | CUSIP: G2847J104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    299907 | NS      | $3110035.59   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Drugs Made In America Acquisit           | Drugs Made In America Acquisition II Corp.                      | CUSIP: G2851K104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    276206 | NS      | $2734439.40   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| ProCap Acquisition Corp                  | ProCap Acquisition Corp. - Class A                              | CUSIP: G7257A105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     75156 | NS      | $761330.28    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Pyrophyte Acquisition Corp               | Pyrophyte Acquisition Corp. - Class A                           | CUSIP: G7308P101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     31324 | NS      | $369936.44    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2022-1                               | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1087000 | PA      | $871470.73    | 0.07%             | 2067-01-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2023-INV1                            | CUSIP: 92539FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1434369.60   | 0.12%             | 2068-02-25      | Variable      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2023-6                               | CUSIP: 92539XAE4<br>LEI: 984500915DDB7T2ACA27 | Long             | ABS-MBS          | CORP              | US        |    373000 | PA      | $377405.88    | 0.03%             | 2068-09-25      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2023-7                               | CUSIP: 92539YAE2<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |    634000 | PA      | $643407.93    | 0.05%             | 2068-10-25      | Variable      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| Drugs Made In America Acquisit           | Drugs Made In America Acquisition II Corp.                      | CUSIP: G2851K112<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |    276206 | NC      | $38668.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Dynamix Corp III                         | Dynamix Corp. III - Class A                                     | CUSIP: G2949T109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     66132 | NS      | $654045.48    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| DYNAMIX CORP III-CL A                    | Dynamix Corp. III                                               | CUSIP: G2949T117<br>LEI: N/A                  | N/A              | DE               | CORP              | KY        |     19840 | NC      | $6348.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Roman DBDR Acquisition Corp II           | Roman DBDR Acquisition Corp. II                                 | CUSIP: G7633M104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     72229 | NS      | $753348.47    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2023-INV2                            | CUSIP: 92540BAE9<br>LEI: 213800D3C9UXVQ7TZF09 | Long             | ABS-MBS          | CORP              | US        |    476000 | PA      | $479778.01    | 0.04%             | 2068-08-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2024-INV1                            | CUSIP: 92540FAF7<br>LEI: 9845000FE754F4AE7E70 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1773604.00   | 0.15%             | 2069-03-25      | Variable      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2025-2                               | CUSIP: 92540VAG0<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1010787.00   | 0.08%             | 2070-03-25      | Fixed         | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Fifth Era Acquisition Corp I             | Fifth Era Acquisition Corp. I - Class A                         | CUSIP: G3415K101<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     75045 | NS      | $769211.25    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FIGX Capital Acquisition Corp            | FIGX Capital Acquisition Corp. - Class A                        | CUSIP: G3473K100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     39098 | NS      | $393325.88    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fifth Third Bancorp                      | Fifth Third Bancorp                                             | CUSIP: 316773100<br>LEI: THRNG6BD57P9QWTQLG42 | Short            | EC               | CORP              | US        |   -190962 | NS      | $-8938931.22  | -0.73%            |  |  |  | No            |                  1 | On Loan: No      |
| Amicus Therapeutics Inc                  | Amicus Therapeutics, Inc.                                       | CUSIP: 03152W109<br>LEI: 549300MRD1SMUTNBPQ53 | Long             | EC               | CORP              | US        |    144271 | NS      | $2054419.04   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Forge Global Holdings Inc                | Forge Global Holdings, Inc.                                     | CUSIP: 34629L202<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     40531 | NS      | $1806061.36   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Daedalus Special Acquisition C           | Daedalus Special Acquisition Corp.                              | CUSIP: G2616C124<br>LEI: N/A                  | Long             |  | CORP              | GB        |     24440 | NS      | $245622.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Insight Digital Partners II              | Insight Digital Partners II - Class A                           | CUSIP: G4814G105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     79472 | NS      | $787567.52    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SIM Acquisition Corp I                   | SIM Acquisition Corp. I - Class A                               | CUSIP: G8431T101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    163953 | NS      | $1736262.27   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| UMB MONEY MARKET II SPECIAL   /          | UMB MONEY MARKET II SPECIAL   /                                 | CUSIP: SF8888628<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  58904319 | PA      | $58904319.39  | 4.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Fulton Financial Corp                    | Fulton Financial Corp.                                          | CUSIP: 360271100<br>LEI: 5493005QLZ6O1BNC0C11 | Short            | EC               | CORP              | US        |    -51689 | NS      | $-999148.37   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Frontier Communications Parent           | Frontier Communications Parent, Inc.                            | CUSIP: 35909D109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     74139 | NS      | $2822471.73   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Synovus Financial Corp                   | Synovus Financial Corp.                                         | CUSIP: 87161C501<br>LEI: 549300EIUS8UN5JTLE54 | Long             | EC               | CORP              | US        |    111183 | NS      | $5564709.15   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Solarius Capital Acquisition C           | Solarius Capital Acquisition Corp. - Class A                    | CUSIP: G82617104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13594 | NS      | $136619.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Soulpower Acquisition Corp               | Soulpower Acquisition Corp. - Class A                           | CUSIP: G82745103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    155576 | NS      | $1579096.40   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Spring Valley Acquisition Corp           | Spring Valley Acquisition Corp. III - Class A                   | CUSIP: G8377R101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     45885 | NS      | $465732.75    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Electronic Arts Inc                      | Electronic Arts, Inc.                                           | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |     11878 | NS      | $2427031.74   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Dynamix Corp                             | Dynamix Corp.                                                   | CUSIP: G2949D104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16260 | NS      | $167315.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GigCapital7 Corp                         | GigCapital7 Corp. - Class A                                     | CUSIP: G38648104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     33588 | NS      | $354017.52    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GP-Act III Acquisition Corp              | GP-Act III Acquisition Corp. - Class A                          | CUSIP: G4035N103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    181350 | NS      | $1940445.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| EQV Ventures Acquisition Corp            | EQV Ventures Acquisition Corp. II - Class A                     | CUSIP: G3106Q102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    108144 | NS      | $1084684.32   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Evolution Global Acquisition C           | Evolution Global Acquisition Corp. - Class A                    | CUSIP: G3226F101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     60602 | NS      | $598141.74    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Exact Sciences Corp                      | Exact Sciences Corp.                                            | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | EC               | CORP              | US        |     34749 | NS      | $3529108.44   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| FutureCrest Acquisition Corp             | FutureCrest Acquisition Corp. - Class A                         | CUSIP: G3730U107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     53408 | NS      | $539420.80    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FUTURECREST ACQUISITION-CL A             | FutureCrest Acquisition Corp.                                   | CUSIP: G3730U115<br>LEI: N/A                  | N/A              | DE               | CORP              | KY        |     13352 | NC      | $9746.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Silicon Valley Acquisition Cor           | Silicon Valley Acquisition Corp.                                | CUSIP: G81306105<br>LEI: N/A                  | Long             |  | CORP              | US        |     46622 | NS      | $463655.79    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Sizzle Acquisition Corp II               | Sizzle Acquisition Corp. II - Class A                           | CUSIP: G8193F109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     64122 | NS      | $651479.52    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Titan Acquisition Corp                   | Titan Acquisition Corp. - Class A                               | CUSIP: G8901A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    117866 | NS      | $1209305.16   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BERTO ACQUISITION CORP                   | BERTO ACQUISITION Corp.                                         | CUSIP: G1051H101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    122764 | NS      | $1244826.96   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Tavia Acquisition Corp                   | Tavia Acquisition Corp.                                         | CUSIP: G86880104<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |     64961 | NS      | $678192.84    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Translational Development Acqu           | Translational Development Acquisition Corp.                     | CUSIP: G9008W105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     87682 | NS      | $919784.18    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Carlyle Global Market Strategi           | Carlyle Global Market Strategies CLO 2014-2R Ltd.               | CUSIP: 14314LAL9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1506432.15   | 0.12%             | 2031-05-15      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategi           | Carlyle U.S. CLO 2023-5 Ltd.                                    | CUSIP: 14318QAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007134.50   | 0.08%             | 2036-01-27      | Floating      | 8.96%                 | Yes           |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust           | Carrington Mortgage Loan Trust Series 2006-NC2                  | CUSIP: 14453FAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1645746.00   | 0.14%             | 2036-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding IV CLO Ltd.                                       | CUSIP: 150323BS1<br>LEI: 549300PPJP6KEORGHQ85 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001789.00   | 0.08%             | 2038-01-23      | Floating      | 7.16%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding V CLO Ltd.                                        | CUSIP: 15032AAW7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003323.60   | 0.08%             | 2031-07-17      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| GP-ACT III ACQ CORP. CLASS A UNITS   /   | GP-ACT III ACQ CORP. CLASS A UNITS   /                          | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     13765 | NS      | $0.14         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GP-ACT III ACQ Corp. CLASS B UNITS   /   | GP-ACT III ACQ Corp. CLASS B UNITS   /                          | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     17206 | NS      | $0.17         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding XIX CLO Ltd.                                      | CUSIP: 15033CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503376.05   | 0.12%             | 2038-01-23      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding XVII CLO Ltd.                                     | CUSIP: 15033PAY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2018909.60   | 0.17%             | 2038-07-20      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora           | Chase Home Lending Mortgage Trust Series 2024-5                 | CUSIP: 16159QAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353977 | PA      | $360097.92    | 0.03%             | 2055-04-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora           | Chase Home Lending Mortgage Trust 2025-8                        | CUSIP: 16162UAD5<br>LEI: 529900CHSDEA1SX67419 | Long             | ABS-MBS          | CORP              | US        |   2512280 | PA      | $2548663.01   | 0.21%             | 2056-06-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora           | Chase Mortgage Finance Trust Series 2007-A1                     | CUSIP: 161630CP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2501237 | PA      | $2383133.69   | 0.20%             | 2037-02-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                           | AGL CLO 28 Ltd.                                                 | CUSIP: 00120WAJ3<br>LEI: 2549006PN3V33YGKK115 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1011341.30   | 0.08%             | 2037-01-21      | Floating      | 8.72%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                    | Aimco CLO 11 Ltd.                                               | CUSIP: 00140NBE9<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507488.00   | 0.12%             | 2037-07-17      | Floating      | 8.08%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                         | CIFC Funding 2013-III-R Ltd.                                    | CUSIP: 12552MAS7<br>LEI: 549300JZARV9CBLL1S14 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1510550.10   | 0.12%             | 2031-04-24      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                         | CIFC Funding 2013-III-R Ltd.                                    | CUSIP: 12552NAA4<br>LEI: 549300JZARV9CBLL1S14 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1495036.05   | 0.12%             | 2031-04-24      | Floating      | 10.03%                | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                      | COMM 2013-CCRE12 Mortgage Trust                                 | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |   3673776 | PA      | $3490501.89   | 0.29%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                      | COMM 2014-UBS4 Mortgage Trust                                   | CUSIP: 12591QAT9<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   1928440 | PA      | $1867472.13   | 0.15%             | 2047-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Graf Global Corp                         | Graf Global Corp. - Class A                                     | CUSIP: G4036C106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    195186 | NS      | $2099225.43   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Gesher Acquisition Corp II               | Gesher Acquisition Corp. II - Class A                           | CUSIP: G3852D107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     74894 | NS      | $766914.56    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR IV Acquisition Corp                  | GSR IV Acquisition Corp. - Class A                              | CUSIP: G4R12K107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    126448 | NS      | $1263215.52   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Gores Holdings X Inc                     | Gores Holdings X, Inc. - Class A                                | CUSIP: G4002F109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     91898 | NS      | $945630.42    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Globa Terra Acquisition Corp             | Globa Terra Acquisition Corp. - Class A                         | CUSIP: G3933N116<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     63335 | NS      | $639683.50    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Bancshares Inc/OH             | Huntington Bancshares, Inc.                                     | CUSIP: 446150104<br>LEI: 549300XTVCVV9I7B5T19 | Short            | EC               | CORP              | US        |   -686076 | NS      | $-11903418.60 | -0.98%            |  |  |  | No            |                  1 | On Loan: No      |
| Hall Chadwick Acquisition Corp           | Hall Chadwick Acquisition Corp.                                 | CUSIP: G42386121<br>LEI: N/A                  | Long             |  | CORP              | SG        |     65666 | NS      | $658301.65    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Hillenbrand Inc                          | Hillenbrand, Inc.                                               | CUSIP: 431571108<br>LEI: U246OE781574J2BUD366 | Long             | EC               | CORP              | US        |    172139 | NS      | $5460249.08   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Highview Merger Corp                     | Highview Merger Corp. - Class A                                 | CUSIP: G4569C101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     33650 | NS      | $336500.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Haymaker Acquisition Corp 4              | Haymaker Acquisition Corp. 4                                    | CUSIP: G4375F108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     78192 | NS      | $889824.96    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| IB Acquisition Corp                      | IB Acquisition Corp.                                            | CUSIP: 44934N116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     65587 | NC      | $4525.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Plum Acquisition Corp IV                 | Plum Acquisition Corp. IV                                       | CUSIP: G7134A104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     87688 | NS      | $914585.84    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Plymouth Industrial REIT Inc             | Plymouth Industrial REIT, Inc. - REIT                           | CUSIP: 729640102<br>LEI: N/A                  | Long             |  | CORP              | US        |    105260 | NS      | $2303088.80   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Steel Newco Inc                          | Steel Newco, Inc.                                               | CUSIP: 72348N109<br>LEI: N/A                  | Short            | EC               | CORP              | US        |    -58216 | NS      | $-5554388.56  | -0.46%            |  |  |  | No            |                  1 | On Loan: No      |
| Andretti Acquisition Corp II             | Andretti Acquisition Corp. II - Class A                         | CUSIP: G26745102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     52730 | NS      | $555774.20    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Real Asset Acquisition Corp              | Real Asset Acquisition Corp. - Class A                          | CUSIP: G73944103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    147032 | NS      | $1499726.40   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Rithm Acquisition Corp                   | Rithm Acquisition Corp. - Class A                               | CUSIP: G75751100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    193908 | NS      | $2014704.12   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Range Capital Acquisition Corp           | Range Capital Acquisition Corp.                                 | CUSIP: G7375C108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    101200 | NS      | $1067660.00   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic Digital Acquisition C           | Republic Digital Acquisition Co. - Class A                      | CUSIP: G7515A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     55418 | NS      | $561107.25    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| RF Acquisition Corp II                   | RF Acquisition Corp. II                                         | CUSIP: G75389109<br>LEI: N/A                  | Long             | EC               | CORP              | SG        |     41885 | NS      | $451520.30    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| RMLS CLASS B LLC   /                     | RMLS CLASS B LLC   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |         1 | PA      | $1744067.80   | 0.14%             | 2028-12-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| RMLS CLASS C LLC   /                     | RMLS CLASS C LLC   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |         1 | PA      | $1702542.37   | 0.14%             | 2028-12-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| RMLS CLASS D LLC   /                     | RMLS CLASS D LLC   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |         1 | PA      | $2587033.90   | 0.21%             | 2028-12-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| RMLS CLASS E LLC   /                     | RMLS CLASS E LLC   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |         1 | PA      | $2520593.22   | 0.21%             | 2028-12-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| RMLS CLASS F LLC   /                     | RMLS CLASS F LLC   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |         1 | PA      | $1494915.25   | 0.12%             | 2028-12-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Avidity Biosciences Inc                  | Avidity Biosciences, Inc.                                       | CUSIP: 05370A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5305 | NS      | $382649.65    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Renatus Tactical Acquisition C           | Renatus Tactical Acquisition Corp. I - Class A                  | CUSIP: G7490F101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     53000 | NS      | $565510.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Safeguard Acquisition Corp               | Safeguard Acquisition Corp. - Class A                           | CUSIP: G77676123<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     39380 | NS      | $397147.30    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Silverbox Corp IV                        | Silverbox Corp. IV - Class A                                    | CUSIP: G81354105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     69880 | NS      | $739330.40    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SilverBox Corp V                         | SilverBox Corp. V - Class A                                     | CUSIP: G8148S123<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26235 | NS      | $263399.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BMO Mortgage Trust                       | BMO 2022-C2 Mortgage Trust                                      | CUSIP: 05602NAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1765000 | PA      | $233288.88    | 0.02%             | 2054-07-15      | Variable      | 2.31%                 | Yes           |                  2 | On Loan: No      |
| BWAY Mortgage Trust                      | BWAY 2013-1515 Mortgage Trust                                   | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1180763 | PA      | $1119857.90   | 0.09%             | 2033-03-10      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| SC II Acquisition Corp                   | SC II Acquisition Corp.                                         | CUSIP: G7866D128<br>LEI: N/A                  | Long             |  | CORP              | US        |     88538 | NS      | $892020.35    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Siddhi Acquisition Corp                  | Siddhi Acquisition Corp. - Class A                              | CUSIP: G8118C124<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    261726 | NS      | $2687926.02   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| BWAY Mortgage Trust                      | BWAY 2013-1515 Mortgage Trust                                   | CUSIP: 05604FAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1160795.00   | 0.10%             | 2033-03-10      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                 | BX Trust 2025-VOLT                                              | CUSIP: 05619PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2405748.00   | 0.20%             | 2044-12-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Sealed Air Corp                          | Sealed Air Corp.                                                | CUSIP: 81211K100<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | EC               | CORP              | US        |     85894 | NS      | $3558588.42   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| SEMrush Holdings Inc                     | SEMrush Holdings, Inc. - Class A                                | CUSIP: 81686C104<br>LEI: 254900WQEX0OLGK16D27 | Long             | EC               | CORP              | US        |     82176 | NS      | $977072.64    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust             | CSMC 2019-RPL1 Trust                                            | CUSIP: 12596MAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $1790578.80   | 0.15%             | 2058-07-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust             | CSMC 2021-NQM8                                                  | CUSIP: 12659FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1875000 | PA      | $1534336.88   | 0.13%             | 2066-10-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust             | CSMC 2021-RPL4 Trust                                            | CUSIP: 12662GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270556 | PA      | $272725.42    | 0.02%             | 2060-12-27      | Variable      | 7.56%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust             | CSMC 2021-NQM7                                                  | CUSIP: 12662QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1524887.00   | 0.13%             | 2066-10-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 54 Senior Loan Fund                                      | CUSIP: 26244RAD3<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003345.30   | 0.08%             | 2029-10-19      | Floating      | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 80 CLO Ltd.                                              | CUSIP: 26245JAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $994275.70    | 0.08%             | 2033-01-17      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 30 Senior Loan Fund                                      | CUSIP: 26249BAW1<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005630.30   | 0.08%             | 2028-11-15      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 30 Senior Loan Fund                                      | CUSIP: 26249BAY7<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003612.80   | 0.08%             | 2028-11-15      | Floating      | 9.86%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                        | Elmwood CLO X Ltd.                                              | CUSIP: 29002VBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2513572.50   | 0.21%             | 2038-07-20      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                        | Elmwood CLO X Ltd.                                              | CUSIP: 29002WAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507249.05   | 0.12%             | 2038-07-20      | Floating      | 9.83%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                     | Elmwood CLO XII Ltd.                                            | CUSIP: 29002YAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3005478.60   | 0.25%             | 2037-10-15      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd                       | Elmwood CLO IX Ltd.                                             | CUSIP: 29003UAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2505542.75   | 0.21%             | 2038-04-20      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu           | JPMBB Commercial Mortgage Securities Trust 2015-C30             | CUSIP: 46644UBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2561962.50   | 0.21%             | 2048-07-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | J.P. Morgan Mortgage Trust 2023-2                               | CUSIP: 46656DAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4428628 | PA      | $4468228.87   | 0.37%             | 2053-07-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2024-CCM1                              | CUSIP: 46658NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2235814 | PA      | $2254241.75   | 0.19%             | 2055-04-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2024-INV1                              | CUSIP: 46658PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2564607 | PA      | $2589335.36   | 0.21%             | 2055-04-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Invest Green Acquisition Corp            | Invest Green Acquisition Corp. - Class A                        | CUSIP: G4924G102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     65587 | NS      | $645376.08    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Inflection Point Acquisition C           | Inflection Point Acquisition Corp. III - Class A                | CUSIP: G47875102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     66458 | NS      | $673884.12    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Dune Acquisition Corp II                 | Dune Acquisition Corp. II                                       | CUSIP: G2867S109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    111160 | NS      | $1132720.40   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Iron Horse Acquisition II Corp           | Iron Horse Acquisition II Corp.                                 | CUSIP: 46283H202<br>LEI: N/A                  | Long             |  | CORP              | US        |     79589 | NS      | $791114.66    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ITHAX Acquisition Corp III               | ITHAX Acquisition Corp. III                                     | CUSIP: G4977S128<br>LEI: N/A                  | Long             |  | CORP              | US        |     39808 | NS      | $396487.68    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Jackson Acquisition Co II                | Jackson Acquisition Co. II - Class A                            | CUSIP: G4992A110<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     80351 | NS      | $837257.42    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Jamf Holding Corp                        | Jamf Holding Corp.                                              | CUSIP: 47074L105<br>LEI: 254900IHLXZU4Z5ANA12 | Long             | EC               | CORP              | US        |    215453 | NS      | $2803043.53   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Jena Acquisition Corp II                 | Jena Acquisition Corp. II - Class A                             | CUSIP: G5093B105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     37263 | NS      | $378964.71    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| K&F Growth Acquisition Corp II           | K&F Growth Acquisition Corp. II - Class A                       | CUSIP: G52258111<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16167 | NS      | $167166.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CSLM Digital Asset Acquisition           | CSLM Digital Asset Acquisition Corp. III Ltd. - Class A         | CUSIP: G2584S101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     53648 | NS      | $533797.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Rice Acquisition Corp 3                  | Rice Acquisition Corp. 3 - Class A                              | CUSIP: G7553X106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       666 | NS      | $6833.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Keen Vision Acquisition Corp             | Keen Vision Acquisition Corp.                                   | CUSIP: G52443119<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13635 | NS      | $160211.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LaFayette Acquisition Corp               | LaFayette Acquisition Corp.                                     | CUSIP: G53426105<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |     39769 | NS      | $393713.10    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LaFayette Acquisition Corp               | LaFayette Acquisition Corp.                                     | CUSIP: G53426113<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |     39769 | NS      | $5372.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Legato Merger Corp III                   | Legato Merger Corp. III                                         | CUSIP: G5451A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    141746 | NS      | $1542196.48   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Leapfrog Acquisition Corp                | Leapfrog Acquisition Corp.                                      | CUSIP: G5414D129<br>LEI: N/A                  | Long             |  | CORP              | US        |     13128 | NS      | $131345.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2024-12                                | CUSIP: 46658TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1424986 | PA      | $1452151.55   | 0.12%             | 2055-06-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Jamestown CLO Ltd                        | Jamestown CLO XI Ltd.                                           | CUSIP: 47049AAA9<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1961157.60   | 0.16%             | 2031-07-14      | Floating      | 10.19%                | Yes           |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                    | KKR Financial CLO 2013-1 Ltd.                                   | CUSIP: 48249VBQ3<br>LEI: 549300ZUUB37M3VWNC17 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1511912.25   | 0.12%             | 2038-10-15      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                    | KKR CLO 18 Ltd.                                                 | CUSIP: 48251JAS2<br>LEI: 54930088PYF0FHKY5C94 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001905.00   | 0.16%             | 2035-10-18      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| SPX 12/31/25 C6000 12/25 6000.0 CAL   /  | SPX 12/31/25 C6000 12/25 6000.0 CAL   /                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |      3044 | NC      | $257370200.00 | 21.15%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 12/31/25 C7000 12/25 7000.0 CAL   /  | SPX 12/31/25 C7000 12/25 7000.0 CAL   /                         | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |     -3044 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPX 12/31/25 P6000 12/25 6000.0 PUT   /  | SPX 12/31/25 P6000 12/25 6000.0 PUT   /                         | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |     -3044 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPX 12/31/25 P7200 12/25 7200.0 PUT   /  | SPX 12/31/25 P7200 12/25 7200.0 PUT   /                         | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |      -310 | NC      | $-10989500.00 | -0.90%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 12/31/25 P7000 12/25 7000.0 PUT   /  | SPX 12/31/25 P7000 12/25 7000.0 PUT   /                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |      3044 | NC      | $47029800.00  | 3.87%             |  |  |  | No            |                  1 | On Loan: No      |
| LHOME Mortgage Trust                     | LHOME Mortgage Trust 2025-RTL1                                  | CUSIP: 50205UAD3<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1027286.00   | 0.08%             | 2040-01-25      | Variable      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                     | LHOME Mortgage Trust 2024-RTL5                                  | CUSIP: 50205WAD9<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1822991.40   | 0.15%             | 2039-09-25      | Variable      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                     | LHOME Mortgage Trust 2025-RTL3                                  | CUSIP: 50205YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2120109.60   | 0.17%             | 2040-08-25      | Variable      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| LMRE 2025-SFR1 Trust Issuing E           | LMRE 2025 SFR1 Trust                                            | CUSIP: 50208WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2950563.00   | 0.24%             | 2042-12-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| SPX 03/31/26 P6000 03/26 6000.0 PUT   /  | SPX 03/31/26 P6000 03/26 6000.0 PUT   /                         | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |     -3086 | NC      | $-11171320.00 | -0.92%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 03/31/26 P7000 03/26 7000.0 PUT   /  | SPX 03/31/26 P7000 03/26 7000.0 PUT   /                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |      3086 | NC      | $70900850.00  | 5.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Regatta VII Funding Ltd                  | Regatta VII Funding Ltd.                                        | CUSIP: 75888ABQ8<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000095.20   | 0.16%             | 2034-06-20      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Regatta VIII Funding Ltd                 | Regatta VIII Funding Ltd.                                       | CUSIP: 75888KAU8<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1511300.10   | 0.12%             | 2037-04-17      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Regatta VIII Funding Ltd                 | Regatta VIII Funding Ltd.                                       | CUSIP: 75888KAW4<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502417.90    | 0.04%             | 2037-04-17      | Floating      | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                 | Regatta XVI Funding Ltd.                                        | CUSIP: 75888QAL5<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005791.40   | 0.08%             | 2033-01-15      | Floating      | 11.00%                | Yes           |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                | Regatta XXIV Funding Ltd.                                       | CUSIP: 75889HAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753872.33    | 0.06%             | 2038-01-20      | Floating      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Regatta XXI Funding Ltd                  | Regatta XXI Funding Ltd.                                        | CUSIP: 75889JAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1306485.96   | 0.11%             | 2037-10-15      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Regatta XXVI Funding Ltd.                | Regatta XXVI Funding Ltd.                                       | CUSIP: 75900QAW5<br>LEI: 2549005JVL4XLCX5SY63 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000001.40   | 0.08%             | 2039-01-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Regatta 35 Funding Ltd.                  | Regatta 35 Funding Ltd.                                         | CUSIP: 75903YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2513390.50   | 0.21%             | 2038-10-15      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                        | Riserva Clo Ltd.                                                | CUSIP: 76761RBE8<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2481545.50   | 0.20%             | 2034-01-18      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| RR Ltd                                   | RR 21 Ltd.                                                      | CUSIP: 78090GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    750000 | PA      | $755503.20    | 0.06%             | 2039-07-15      | Floating      | 9.75%                 | Yes           |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust              | SMR 2022-IND Mortgage Trust                                     | CUSIP: 78458MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506369 | PA      | $507997.44    | 0.04%             | 2039-02-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg           | Saluda Grade Alternative Mortgage Trust 2025-NPL1               | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2025999 | PA      | $2039180.47   | 0.17%             | 2030-01-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg           | Saluds Grade Alternative Mortgage Trust 2025-RRTL1              | CUSIP: 79582NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $752541.00    | 0.06%             | 2040-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg           | Saluds Grade Alternative Mortgage Trust 2025-RRTL1              | CUSIP: 79582NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1985642.00   | 0.16%             | 2040-10-25      | Variable      | 8.42%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin           | Santander Bank Auto Credit-Linked Notes Series 2023-B           | CUSIP: 80290CCF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1964921 | PA      | $2067580.40   | 0.17%             | 2033-12-15      | Fixed         | 12.24%                | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin           | Santander Bank Auto Credit-Linked Notes Series 2025-A           | CUSIP: 80290CCW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2206723.20   | 0.18%             | 2034-01-16      | Fixed         | 11.05%                | Yes           |                  2 | On Loan: No      |
| Sculptor CLO Ltd                         | Sculptor CLO XXIX Ltd.                                          | CUSIP: 81124EAW0<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1508072.40   | 0.12%             | 2038-07-22      | Floating      | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Sculptor CLO Ltd                         | Sculptor CLO XXIX Ltd.                                          | CUSIP: 81124EAY6<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005258.40   | 0.08%             | 2038-07-22      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| Sculptor CLO Ltd                         | Sculptor CLO XXX Ltd.                                           | CUSIP: 81124PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $747205.13    | 0.06%             | 2038-07-20      | Floating      | 10.70%                | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                        | 720 East CLO 2023-I Ltd.                                        | CUSIP: 81785EAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502428.90    | 0.04%             | 2038-04-15      | Floating      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                     | Signal Peak CLO 5 Ltd.                                          | CUSIP: 82666VAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1012535.40   | 0.08%             | 2037-04-25      | Floating      | 8.06%                 | Yes           |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                     | Signal Peak CLO 4 Ltd.                                          | CUSIP: 82667EAQ4<br>LEI: 635400L44OLNOBHFTO08 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001823.90   | 0.08%             | 2034-10-26      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                    | Silver Point CLO 2 Ltd.                                         | CUSIP: 82808EAY7<br>LEI: 549300ODF186WFGMDH65 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1512410.85   | 0.12%             | 2038-04-20      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                    | Silver Point CLO 12 Ltd.                                        | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1504500.00   | 0.12%             | 2038-10-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-08

**Name of Applicant:** INVESTMENT MANAGERS SERIES TRUST II

**Signature:** /s/ Scott Schulenburg

**Name of Signer:** Scott Schulenburg

**Title:** President