# EDGAR Filing Document

**Accession Number:** 0001748680
**File Stem:** 0001752724-25-161832
**Filing Date:** 2025-6
**Character Count:** 298522
**Document Hash:** 799ba931db56e6e7f986be441543f051
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-161832.hdr.sgml**: 20250627

**ACCESSION NUMBER**: 0001752724-25-161832

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250627

**DATE AS OF CHANGE**: 20250627

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** 1WS Credit Income Fund
- **CENTRAL INDEX KEY:** 0001748680

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23368
- **FILM NUMBER:** 251085428

**BUSINESS ADDRESS:**
- **STREET 1:** 299 PARK AVENUE, 25TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10171
- **BUSINESS PHONE:** 212-377-4810

**MAIL ADDRESS:**
- **STREET 1:** 299 PARK AVENUE, 25TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10171

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** 1WS CREDIT INCOME FUND

- **b. Investment Company Act file number:** 811-23368

- **c. CIK number of Registrant:** 0001748680

- **d. LEI of Registrant:** 549300B58HSKB8RHUQ19

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

  - **Street Address 1:** 299 PARK AVENUE 25TH FLOOR

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10171

  - **Telephone number:** 2129572500

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

- **a. Name of Series:** 1WS Credit Income Fund

- **c. LEI of Series:** 549300B58HSKB8RHUQ19

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $663672929.35

**Total Liabilities:** $83400694.83

**Net Assets:** $580272234.52

**Cash Not Reported:** $1561044.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 180.36272127 | **1-Year:** 7178.70059110 | **5-Year:** 12255.03701327 | **10-Year:** 2010.98724244 | **30-Year:** 0.00000000

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

- **3-Month:** 1367.52906159 | **1-Year:** 62274.25044931 | **5-Year:** 107612.05379594 | **10-Year:** 8841.79935498 | **30-Year:** 14.00119035

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.72%                | 0.15%                | -0.05%               |
| Class ID N/A | 0.69%                | 0.05%                | -0.05%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $349589.72               | $2795972.17                                |
| Month 2  | $230944.01               | $1944336.32                                |
| Month 3  | $-389331.59              | $2777140.42                                |

**Designated Index Information**

- **Index Name:** 1WS Credit Income Fund - Bond Only

- **Index Identifier:** OWSCX - Bond Only

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class E                    | CUSIP: BCC3HJWV1<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    900000 | PA      | $1023948.43   | 0.18%             | 2042-10-27      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2025-1, Series 2025-1A, Class B                                                                 | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $757950.00    | 0.13%             | 2026-10-20      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| Oha Loan Funding Ltd                                    | OHA Loan Funding 2016-1, Ltd., Series 2016-1A, Class SUB                                                       | CUSIP: 67110VAC1<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $678500.00    | 0.12%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-1, Class A                                                 | CUSIP: 922955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7935120 | PA      | $8059701.77   | 1.39%             | 2032-07-25      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class F                                          | CUSIP: 05493LAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1886250.00   | 0.33%             | 2038-09-15      | Floating      | 9.44%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class D                                | CUSIP: 46591JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $852400.00    | 0.15%             | 2029-09-15      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1067000 | NS      | $-1067000.00  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Markit CMBX BB Index, Series 15                                                                                | CUSIP: CXNY8QW00<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-596350.97   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54GAJ94<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1803000 | NS      | $-1803000.00  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class D                                                                        | CUSIP: BCC3G6JR4<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |      9601 | PA      | $10889.80     | 0.00%             | 2042-02-24      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP548AAE1<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1682029 | NS      | $-1682029.00  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class C                                                  | CUSIP: 36264YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    567000 | PA      | $477584.10    | 0.08%             | 2026-05-15      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-4np PLC, Series 2006-4X, Class D1C                                                               | CUSIP: BCC0UB5C1<br>LEI: 21380013477BR2UW8M54 | Long             | ABS-MBS          | CORP              | GB        |    645564 | PA      | $797533.81    | 0.14%             | 2044-12-10      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-2, Series 2024-2A, Class F                                             | CUSIP: 89616PAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $741790.00    | 0.13%             | 2027-04-15      | Fixed         | 16.56%                | Yes           |                  2 | On Loan: No      |
| Kkr Financial Clo Ltd                                   | KKR CLO 15, Ltd., Series 2024-15, Class ER2                                                                    | CUSIP: 48251LAJ7<br>LEI: 549300K434Q30JZAS486 | Long             | ABS-CBDO         | CORP              | KY        |    570000 | PA      | $542925.00    | 0.09%             | 2032-01-18      | Floating      | 10.77%                | Yes           |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class E                                           | CUSIP: 46640NAR9<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $655800.00    | 0.11%             | 2045-11-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2021 FT, Series 2021-SP, Class G                                                               | CUSIP: BCC30Y6B9<br>LEI: 959800PAVFGQ48YNAE06 | Long             | ABS-O            | CORP              | ES        |    198529 | PA      | $218381.49    | 0.04%             | 2039-01-31      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP07KAJ60<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -703000 | NS      | $-703000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54BAN47<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -345640 | NS      | $-345640.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Hermitage Plc                                           | Hermitage 2024 PLC, Series 2024-1, Class E                                                                     | CUSIP: BCC3G92Q8<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-MBS          | CORP              | GB        |    281525 | PA      | $374436.26    | 0.06%             | 2033-04-21      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48QAA40<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -908591 | NS      | $-908591.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2021-3, Class B1                                                                     | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    591600 | PA      | $611241.12    | 0.11%             | 2034-02-25      | Floating      | 9.30%                 | Yes           |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class F                    | CUSIP: BCC3HJWW9<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    900000 | PA      | $1033940.16   | 0.18%             | 2042-10-27      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| Autonoria                                               | FCT Autonoria DE 2023, Series 2023-DE, Class G                                                                 | CUSIP: BCC38ZTS6<br>LEI: 549300XVWRQGZCNHXF23 | Long             | ABS-O            | CORP              | FR        |    245342 | PA      | $294222.51    | 0.05%             | 2043-01-26      | Floating      | 12.63%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2024-1, Class C                                                           | CUSIP: 91684NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1867000 | PA      | $1871854.20   | 0.32%             | 2034-11-20      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP17CAE12<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -710000 | NS      | $-710000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B2                                                | CUSIP: 20754DAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1456000 | PA      | $1567529.60   | 0.27%             | 2042-04-25      | Floating      | 11.35%                | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | New York Mortgage Trust, Inc., Series D                                                                        | CUSIP: 649604881<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |      8071 | NS      | $173930.05    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0181319<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -349105 | NS      | $-395483.33   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST6, Class CERT                                                        | CUSIP: 91680VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3093000 | PA      | $666245.78    | 0.11%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-11, Class E                                                          | CUSIP: 69548EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1699805 | PA      | $1690965.75   | 0.29%             | 2026-10-15      | Fixed         | 10.33%                | Yes           |                  2 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2023-2, Class D                                                          | CUSIP: BCC3BVJ94<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |    783922 | PA      | $916661.27    | 0.16%             | 2043-09-22      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9458566<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1123856 | NS      | $-1273159.40  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C                                | CUSIP: 46591JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $117787.50    | 0.02%             | 2029-09-15      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans FT, Series 2024-1, Class E                                                              | CUSIP: BCC3HCN87<br>LEI: 9598007LTXPL84RD7W58 | Long             | ABS-O            | CORP              | ES        |    426011 | PA      | $480917.36    | 0.08%             | 2038-09-28      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0250834<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -216613 | NS      | $-245389.87   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust, Series 2004-15, Class MV7                                               | CUSIP: 126673UT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740387 | PA      | $507979.85    | 0.09%             | 2035-02-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class E                                                                        | CUSIP: BCC3G6JS2<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    342298 | PA      | $396031.30    | 0.07%             | 2042-02-24      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5                                                   | CUSIP: 75115CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527463 | PA      | $377030.85    | 0.06%             | 2036-07-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2023-1, Series 2023-1A, Class D                                                                | CUSIP: 75525AAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2171200.00   | 0.37%             | 2031-02-18      | Fixed         | 12.27%                | Yes           |                  2 | On Loan: No      |
| Cifc Funding Ltd                                        | CIFC Funding 2014-III, Ltd., Series 2025-3A, Class FR                                                          | CUSIP: 12549RAN3<br>LEI: 549300KEIUMRD7WX5J42 | Long             | ABS-CBDO         | CORP              | KY        |   1030000 | PA      | $938227.00    | 0.16%             | 2038-03-31      | Floating      | 12.03%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Wilmot Plaza Mezz Loan, Class F                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.34%             | 2031-10-01      | Fixed         | 11.50%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP688LAE3<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -692000 | NS      | $-692000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B1B                                                                 | CUSIP: BCC0Z8XK4<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    514921 | PA      | $523595.26    | 0.09%             | 2040-10-10      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST10, Class CERT                                                       | CUSIP: 91681WAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1948000 | PA      | $696840.27    | 0.12%             | 2030-01-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST8, Class CERT                                                        | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2966000 | PA      | $754493.27    | 0.13%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |     -1000 | NS      | $-1000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bbva Consumer Auto                                      | Bbva Consumer Auto Fondo De Titulizacion, Series 2022-1, Class E                                               | CUSIP: BCC36L7B0<br>LEI: 9598003A77F40Z8U8H86 | Long             | ABS-O            | CORP              | ES        |    375055 | PA      | $455430.27    | 0.08%             | 2036-02-17      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail-UK 2007-5np PLC, Series 2007-5X, Class B1C                                                            | CUSIP: BCC115Y32<br>LEI: 213800AQ88V7QQ6G1S18 | Long             | ABS-MBS          | CORP              | GB        |    389132 | PA      | $473424.52    | 0.08%             | 2045-09-13      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-a Securities Inc Mortgage Loan Trust       | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class 2A2                                      | CUSIP: 25151XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899907 | PA      | $650632.71    | 0.11%             | 2047-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class A1                                                            | CUSIP: 034936AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $571384.50    | 0.10%             | 2055-02-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Vibrant Clo Ltd                                         | Vibrant CLO IX-R, Ltd., Series 2025-9RA, Class D2                                                              | CUSIP: 92557BAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $743850.00    | 0.13%             | 2037-04-20      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust Series 2020-ST5, Series 2021-ST5, Class CERT                                        | CUSIP: 91679XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5172000 | PA      | $650296.09    | 0.11%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Red & Black Auto Italy S.r.l                            | Red & Black Auto Italy Srl, Series 2023-2, Class E                                                             | CUSIP: BCC3C26S9<br>LEI: 8156003B1C9DCDE30892 | Long             | ABS-O            | CORP              | IT        |    385362 | PA      | $454849.15    | 0.08%             | 2028-02-28      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2024-2, Series 2024-2A, Class E                                            | CUSIP: 30166DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1783000 | PA      | $1808675.20   | 0.31%             | 2031-10-15      | Fixed         | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-PF1, Class A                                                                          | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1263000 | PA      | $1275630.00   | 0.22%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 3.9657 06/20/30                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-68842.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust                  | National Collegiate Student Loan Trust, Series 2005-3, Class B                                                 | CUSIP: 63543TAJ7<br>LEI: 635400WAVVCUCCIGH375 | Long             | ABS-O            | CORP              | US        |   2337113 | PA      | $1942374.28   | 0.33%             | 2037-07-27      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.0074 06/20/29                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $584635.55    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2017-ASHF, Class E                                                      | CUSIP: 61691KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $564050.00    | 0.10%             | 2034-11-15      | Floating      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Upgrade Receivables Trust                               | Upgrade Receivables Trust 2024-1, Series 2024-1A, Class E                                                      | CUSIP: 91533NAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1322000 | PA      | $1331915.00   | 0.23%             | 2028-06-15      | Fixed         | 11.53%                | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class E                                                              | CUSIP: BCC3L0D06<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |   1798000 | PA      | $1978812.32   | 0.34%             | 2078-06-24      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7421431<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -451531 | NS      | $-601752.49   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Business Mortgage Finance Plc                           | Business Mortgage Finance 7 PLC, Series 2007-7X, Class M1                                                      | CUSIP: BCC11CF61<br>LEI: 6354003XKCGEIVFGHI58 | Long             | ABS-O            | CORP              | GB        |    416006 | PA      | $471912.19    | 0.08%             | 2041-02-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                 | Fremont Home Loan Trust, Series 2004-C, Class M3                                                               | CUSIP: 35729PEV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       170 | PA      | $0.00         | 0.00%             | 2034-08-25      | Floating      | 6.17%                 | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R                                      | CUSIP: 63942LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       649 | PA      | $209170.31    | 0.04%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Crown Point Clo Ltd                                     | Crown Point CLO 11, Ltd., Series 2025-11A, Class D2R                                                           | CUSIP: 22845JAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1251000 | PA      | $1246496.40   | 0.21%             | 2038-02-28      | Floating      | 8.51%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP533NAE4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -931045 | NS      | $-931045.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya Clo Ltd                                            | Voya CLO 2019-4, Ltd., Series 2021-4A, Class ER                                                                | CUSIP: 92917UAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3220000 | PA      | $3155600.00   | 0.54%             | 2035-01-15      | Floating      | 11.23%                | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2024-1, Class F                                                                            | CUSIP: BCC3DT7X7<br>LEI: 635400SJNGQKQ4OKRU39 | Long             | ABS-MBS          | CORP              | GB        |    395000 | PA      | $541890.56    | 0.09%             | 2061-02-26      | Floating      | 10.11%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP28GAN25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1116063 | NS      | $-1116063.00  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Issuance Trust, Series 2025-A, Class D                                                                 | CUSIP: 68377TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1404000 | PA      | $1370865.60   | 0.24%             | 2033-02-08      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Whitebox Clo Iv Ltd                                     | Whitebox CLO IV, Ltd., Series 2025-4A, Class A3R                                                               | CUSIP: 96467KAY5<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |    758000 | PA      | $752239.20    | 0.13%             | 2036-04-20      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Bl Consumer Issuance Platform Ii                        | Compartment BL Consumer Credit 2024, Series 2024-1, Class F                                                    | CUSIP: BCC3DNFS2<br>LEI: 549300BCEKCIKD7MN312 | Long             | ABS-O            | CORP              | LU        |    462000 | PA      | $533268.16    | 0.09%             | 2041-09-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797QC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9896652.00   | 1.71%             | 2025-07-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17                                               | CUSIP: 12668AA47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120443 | PA      | $102617.33    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2025-1, Class E                                                | CUSIP: 90945JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1185000 | PA      | $1172439.00   | 0.20%             | 2028-03-10      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A4                                             | CUSIP: 86361KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1907568 | PA      | $1073960.78   | 0.19%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Now Trust                                               | NOW Trust, Series 2025-1, Class E                                                                              | CUSIP: BCC3L1ZX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |   1190000 | PA      | $754936.07    | 0.13%             | 2034-02-14      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2025-1, Series 2025-1A, Class E                                             | CUSIP: 89617CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $997700.00    | 0.17%             | 2028-05-15      | Fixed         | 10.37%                | Yes           |                  2 | On Loan: No      |
| Acc Trust                                               | ACC Trust, Series 2022-1, Class C                                                                              | CUSIP: 00091HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    995190 | PA      | $315375.68    | 0.05%             | 2025-10-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -318000 | NS      | $-318000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Mfra Trust                                              | MFA , Series 2024-RTL3, Class A2                                                                               | CUSIP: 59319PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752000 | PA      | $763956.80    | 0.13%             | 2039-11-25      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Icg Us Clo Ltd                                          | ICG US Clo 2021-1, Ltd., Series 2021-1A, Class E                                                               | CUSIP: 449289AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $835380.00    | 0.14%             | 2034-04-17      | Floating      | 10.87%                | Yes           |                  2 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.63094% IRS 06/20/2032                                                                 | CUSIP: SWP363093<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-20802.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Small Business Origination Loan Trust                   | Small Business Origination Loan Trust DAC, Series 2024-1, Class D                                              | CUSIP: BCC3FWX01<br>LEI: 635400AFAA26PESBRL15 | Long             | ABS-O            | CORP              | IE        |    276219 | PA      | $365943.04    | 0.06%             | 2035-12-15      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST4, Class CERT                                                        | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $61057.80     | 0.01%             | 2026-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | Jonas Catalog Holdings I, LLC, Term Loan                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1094568 | PA      | $1094568.03   | 0.19%             | 2029-09-19      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| Achv Abs Trust                                          | ACHV ABS Trust, Series 2024-3AL, Class E                                                                       | CUSIP: 00092KAE4<br>LEI: 549300V82ZKZDTAU0A46 | Long             | ABS-O            | CORP              | US        |    837000 | PA      | $810132.30    | 0.14%             | 2031-12-26      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| NYMT LOAN TRUST SERIES 2024-BPL2                        | NYMT 2024-BPL2 M                                                                                               | CUSIP: 67120TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3855750.00   | 0.66%             | 2039-05-25      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP166BAG7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -771000 | NS      | $-771000.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-A, Class R1                                                       | CUSIP: 83406T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10720 | PA      | $154451.97    | 0.03%             | 2046-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2016-C1, Class E                                                   | CUSIP: 17290YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1364000 | PA      | $1267428.80   | 0.22%             | 2049-05-10      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP884AB18<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -524000 | NS      | $-524000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Gsaa Home Equity Trust                                  | GSAA Home Equity Trust, Series 2007-8, Class A4                                                                | CUSIP: 38144RAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547743 | PA      | $304106.82    | 0.05%             | 2037-08-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-3, Class E                                                           | CUSIP: 69547GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1506300.00   | 0.26%             | 2027-01-15      | Fixed         | 12.63%                | Yes           |                  2 | On Loan: No      |
| Smrt                                                    | SMRT, Series 2022-MINI, Class F                                                                                | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $955800.00    | 0.16%             | 2039-01-15      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M3                                                | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743861 | PA      | $759482.11    | 0.13%             | 2034-06-25      | Variable      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2023-3, Series 2023-3A, Class C                                       | CUSIP: 76090YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549803 | PA      | $544855.20    | 0.09%             | 2032-01-26      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Credit-based Asset Servicing And Securitization         | C-BASS , Series 2007-CB4, Class A1B                                                                            | CUSIP: 1248MEAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1699051 | PA      | $793117.15    | 0.14%             | 2037-04-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding Llc                             | Merchants Fleet Funding LLC, Series 2024-1A, Class E                                                           | CUSIP: 588926AK1<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1012900.00   | 0.17%             | 2037-04-20      | Fixed         | 9.35%                 | Yes           |                  2 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.59039% IRS 06/20/2027                                                                 | CUSIP: SWP359039<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-209316.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fct Ponant                                              | FCT Ponant 1, Series 2025-1, Class F                                                                           | CUSIP: BCC3KNBS8<br>LEI: 9695008GRD84DUQ99R64 | Long             | ABS-O            | CORP              | FR        |    700000 | PA      | $782685.53    | 0.13%             | 2038-09-27      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6256709<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -945725 | NS      | $-1260361.69  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP25HAD26<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -553487 | NS      | $-553487.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9504541<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1074835 | NS      | $-1217626.00  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2022-ST1, Class CERT                                                        | CUSIP: 91683NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    539000 | PA      | $196447.96    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2024-2, Series 2024-2A, Class D                                                                | CUSIP: 75525HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737000 | PA      | $751961.10    | 0.13%             | 2028-05-15      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program LLC, Series 2019-A, Class R1                                                    | CUSIP: 78471H108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32016 | PA      | $155686.25    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-1, Series 2025-1A, Class E                                       | CUSIP: 76100AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $494278.00    | 0.09%             | 2033-06-27      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class F                                                                 | CUSIP: 05493HAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1361000 | PA      | $1187336.40   | 0.20%             | 2036-06-15      | Floating      | 8.44%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-8, Class F                                                           | CUSIP: 69548PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1999911 | PA      | $1943713.30   | 0.33%             | 2032-01-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2021-4, Class CERT                                                        | CUSIP: 91682NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6175 | PA      | $500447.50    | 0.09%             | 2031-09-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.20 04/04/28                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $10438.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bridge Street Clo Ltd                                   | Bridge Street CLO V, Ltd., Series 2025-1A, Class A1                                                            | CUSIP: 107921AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3760000 | PA      | $3735560.00   | 0.64%             | 2038-04-20      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2023-2, Class E                                                          | CUSIP: BCC3BVJB9<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |   1022234 | PA      | $1217792.22   | 0.21%             | 2043-09-22      | Floating      | 10.89%                | No            |                  2 | On Loan: No      |
| N/A                                                     | RRRR Repo Funding Trust, Series 2025-1 Pass-Through Certificates                                               | CUSIP: 78108CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5521379 | PA      | $5521379.23   | 0.95%             | 2026-07-25      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2023-1, Class M1B                                                                    | CUSIP: 89589AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015000 | PA      | $1064329.00   | 0.18%             | 2033-11-25      | Floating      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Funding Trust, Series 2025-1, Class D                                                                  | CUSIP: 68377PAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $751500.00    | 0.13%             | 2032-08-16      | Fixed         | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Brants Bridge                                           | Brants Bridge PLC, Series 2023-1, Class E                                                                      | CUSIP: BCC3B9NL1<br>LEI: 213800NJ1MKTCTWHO378 | Long             | ABS-MBS          | CORP              | GB        |    915000 | PA      | $1227340.88   | 0.21%             | 2026-09-14      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Finance Sa                           | Santander Consumer Finance SA/NOMA, Series 2023-1, Class B                                                     | CUSIP: BCC3CVMG3<br>LEI: 5493000LM0MZ4JPMGM90 | Long             | ABS-O            | CORP              | DK        |   8376946 | PA      | $1281905.45   | 0.22%             | 2033-10-31      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class F                                               | CUSIP: 94989VBD0<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |    489500 | PA      | $412403.75    | 0.07%             | 2057-09-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP88XAA00<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -405000 | NS      | $-405000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class G                                                  | CUSIP: 36258BAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774924 | PA      | $723081.83    | 0.12%             | 2036-12-15      | Floating      | 8.59%                 | Yes           |                  2 | On Loan: No      |
| Jw Commercial Mortgage Trust 2024-mrco                  | JW Trust, Series 2024-BERY, Class E                                                                            | CUSIP: 46676AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1486950.00   | 0.26%             | 2029-11-15      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding PLC, Series 2024-3, Class F                                                          | CUSIP: BCC3FZ9Z4<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |    396000 | PA      | $514183.59    | 0.09%             | 2049-06-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Ozlm Ltd                                                | OZLM XXII, Ltd., Series 2018-22A, Class E                                                                      | CUSIP: 67111XAC6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    393000 | PA      | $118253.70    | 0.02%             | 2031-01-17      | Floating      | 11.93%                | Yes           |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2019-GC44 Mortgage Trust, Class 180A                                                              | CUSIP: 12655TAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429000 | PA      | $397254.00    | 0.07%             | 2057-08-15      | Variable      | 3.51%                 | Yes           |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2006-2, Class DB                                                                   | CUSIP: BCC0RB7K5<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |     40364 | PA      | $41295.71     | 0.01%             | 2050-12-01      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -730000 | NS      | $-730000.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Funding Trust, Series 2024-3, Class D                                                                  | CUSIP: 68377NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $804480.00    | 0.14%             | 2029-08-15      | Fixed         | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-2, Class E                                                           | CUSIP: 69548YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5276880.00   | 0.91%             | 2032-10-15      | Fixed         | 10.89%                | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2005-8, Class M2                                                | CUSIP: 86358EXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    993130 | PA      | $832938.04    | 0.14%             | 2035-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797QK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19744058.00  | 3.40%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2024-1, Class E                                                | CUSIP: 90945DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2554000 | PA      | $2635983.40   | 0.45%             | 2027-06-10      | Fixed         | 10.45%                | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2022-1, Class E                                                                            | CUSIP: BCC34C524<br>LEI: 6354005CHPSGN94O7F86 | Long             | ABS-MBS          | CORP              | GB        |    553000 | PA      | $736242.60    | 0.13%             | 2059-10-23      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP3164145<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -434250 | NS      | $-578722.21   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust, Series 2006-9, Class 1A5                                                                | CUSIP: 52521HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670430 | PA      | $347886.08    | 0.06%             | 2037-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2005-D, Class M2                             | CUSIP: 456606JQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459066 | PA      | $350634.87    | 0.06%             | 2036-03-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust 2021-DNA2, Series 2020-DNA2, Class B2                                            | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |   2575000 | PA      | $2752160.00   | 0.47%             | 2050-02-25      | Floating      | 9.27%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2022-4, Class E                                                             | CUSIP: 33843XAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1879000 | PA      | $1787116.90   | 0.31%             | 2030-01-15      | Fixed         | 12.66%                | Yes           |                  2 | On Loan: No      |
| Upstart Structured Pass-through Trust                   | Upstart Structured Pass-Through Trust, Series 2022-1A, Class CERT                                              | CUSIP: 91680YAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       608 | PA      | $444273.88    | 0.08%             | 2030-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP401NAQ2<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -470000 | NS      | $-470000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Rmac Securities Plc                                     | RMAC Securities No 1 PLC, Series 2006-NS4X, Class B1C                                                          | CUSIP: BCC0UJFT6<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    425725 | PA      | $438828.31    | 0.08%             | 2044-06-12      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2022-ST2, Class CERT                                                        | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $113393.93    | 0.02%             | 2030-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-2, Class G                                                                            | CUSIP: BCC3CJHC5<br>LEI: 213800CJ485JV1GHRE37 | Long             | ABS-MBS          | CORP              | GB        |    407000 | PA      | $568658.78    | 0.10%             | 2055-11-25      | Floating      | 14.36%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RPUS12639<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -366000 | NS      | $-366000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                     | Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M4                                                 | CUSIP: 03072SX75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711158 | PA      | $843860.16    | 0.15%             | 2036-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-through Trust                              | Upstart Pass-Through Trust, Series 2020-ST2, Class CERT                                                        | CUSIP: 91680BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $35563.70     | 0.01%             | 2028-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust 2024-2, Series 2024-2A, Class E                                                       | CUSIP: 67578YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $776850.00    | 0.13%             | 2032-07-20      | Fixed         | 9.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57BAN91<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -586000 | NS      | $-586000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class D                                                 | CUSIP: 17321RAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568614 | PA      | $555422.62    | 0.10%             | 2046-11-10      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Pixel                                                   | FCT Pixel 2021, Series 2021-1, Class G                                                                         | CUSIP: BCC334978<br>LEI: 549300YL2EZ0WMNNP528 | Long             | ABS-O            | CORP              | FR        |     81052 | PA      | $91379.19     | 0.02%             | 2038-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Landmark Mortgage Securities Plc                        | Landmark Mortgage Securities No 3 PLC, Series 2007-3, Class D                                                  | CUSIP: BCC283ZV5<br>LEI: 213800S8KWEEVI3XTK68 | Long             | ABS-MBS          | CORP              | GB        |    433305 | PA      | $574864.13    | 0.10%             | 2044-04-17      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-B, Class R1                                                       | CUSIP: 83405F103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10000 | PA      | $249500.49    | 0.04%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-2, Series 2025-2A, Class E                                            | CUSIP: 30168JAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3045000.00   | 0.52%             | 2032-10-15      | Fixed         | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Noria                                                   | FCT Noria 2021, Series 2021-1, Class F                                                                         | CUSIP: BCC31BYT8<br>LEI: 5493003C5ECZD3NDSV63 | Long             | ABS-O            | CORP              | FR        |    213900 | PA      | $238657.65    | 0.04%             | 2049-10-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2025-1, Class C                                                           | CUSIP: 91684PAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1028000 | PA      | $1020598.40   | 0.18%             | 2035-04-20      | Fixed         | 9.27%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                        | Soundview Home Loan Trust, Series 2005-OPT4, Class M2                                                          | CUSIP: 83611MJM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775259 | PA      | $1563647.88   | 0.27%             | 2035-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2                                                   | CUSIP: 75114HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    853500 | PA      | $891822.42    | 0.15%             | 2046-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2024-7, Class D                                                         | CUSIP: 69548MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    932783 | PA      | $961419.50    | 0.17%             | 2031-12-15      | Fixed         | 10.89%                | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M2                                                            | CUSIP: 034936AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $758925.00    | 0.13%             | 2055-02-25      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-3, Class E                                                                   | CUSIP: 69547XAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5520900.00   | 0.95%             | 2026-12-15      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust 2021-2, Series 2021-2A, Class R                                                         | CUSIP: 57108T107<br>LEI: 549300GIOP3T7X23OV63 | Long             | ABS-O            | CORP              | US        |      1686 | PA      | $34381.80     | 0.01%             | 2031-09-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Domivest B.v.                                           | Domi BV, Series 2024-1, Class E                                                                                | CUSIP: BCC3FWSJ6<br>LEI: 724500Z3J4FCZQWYOM57 | Long             | ABS-MBS          | CORP              | NL        |    463000 | PA      | $545122.40    | 0.09%             | 2056-06-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| Shackleton Clo Ltd                                      | Shackleton 2013-IV-R CLO, Ltd., Series 2018-4RA, Class D                                                       | CUSIP: 81882GAA5<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-CBDO         | CORP              | KY        |   3175000 | PA      | $3041650.00   | 0.52%             | 2031-04-13      | Floating      | 10.35%                | Yes           |                  2 | On Loan: No      |
| Romark Clo Ltd                                          | Romark WM-R, Ltd., Series 2018-1A, Class E                                                                     | CUSIP: 77587CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1266000 | PA      | $1078252.20   | 0.19%             | 2031-04-20      | Floating      | 9.79%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE1, Class A                                                                          | CUSIP: 30191LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2002768 | PA      | $2043423.76   | 0.35%             | 2055-01-25      | Variable      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2024-2, Series 2024-2A, Class B                                                                 | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510950.00    | 0.09%             | 2026-04-20      | Fixed         | 9.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Cherry SPV III (2023) LLC, Class B Facility                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    305135 | PA      | $305135.08    | 0.05%             | 2028-01-27      | Fixed         | 14.82%                | No            |                  3 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2022-ST1, Class CERT                                                        | CUSIP: 91683NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600333 | PA      | $583269.29    | 0.10%             | 2030-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk RMBS No 8 Sts DAC, Series 2024-STS, Class F                                                             | CUSIP: BCC3D8WH0<br>LEI: 635400TGDQ2OBCBXQK26 | Long             | ABS-MBS          | CORP              | IE        |    459000 | PA      | $552424.41    | 0.10%             | 2062-05-20      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Bpr Trust                                               | BPR Trust, Series 2021-WILL, Class E                                                                           | CUSIP: 05591VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499300.00    | 0.09%             | 2038-06-15      | Floating      | 11.19%                | Yes           |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust, Series 2022-JERI, Class A                                        | CUSIP: 63875LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2084266 | PA      | $1890012.41   | 0.33%             | 2039-01-15      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Brignole Cq                                             | Brignole CQ, Series 2024-2024, Class X                                                                         | CUSIP: BCC3HF8K0<br>LEI: 815600DF81C93A72F362 | Long             | ABS-O            | CORP              | IT        |   1076300 | PA      | $1219651.42   | 0.21%             | 2040-09-24      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | SWF Funding LLC, Loan Facility                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     10000 | PA      | $9999.52      | 0.00%             | 2028-02-12      | Fixed         | 15.00%                | No            |                  3 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk RMBS No 8 Sts DAC, Series 2024-STS, Class X                                                             | CUSIP: BCC3D8WK3<br>LEI: 635400TGDQ2OBCBXQK26 | Long             | ABS-MBS          | CORP              | IE        |    379697 | PA      | $433451.13    | 0.07%             | 2062-05-20      | Floating      | 10.52%                | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM 2014-CCRE18 Mortgage Trust, Series 2014-CR18, Class E                                                     | CUSIP: 12632QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    933577 | PA      | $884470.86    | 0.15%             | 2047-07-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Popular Abs Mortgage Pass-through Trust                 | Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1                                               | CUSIP: 73316PHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395376 | PA      | $342830.22    | 0.06%             | 2036-01-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT                                                      | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510470 | PA      | $10157.19     | 0.00%             | 2027-05-17      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Rmbs Miravet                                            | FT RMBS Miravet, Series 2023-1, Class E                                                                        | CUSIP: BCC38Q5D5<br>LEI: 959800CJJTJ863UQ4H59 | Long             | ABS-MBS          | CORP              | ES        |    600000 | PA      | $650753.91    | 0.11%             | 2066-11-26      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | Markit CDX NA High Yield Index, Series 41                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-269.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2021-B, Class R1                                                       | CUSIP: 83405N106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14625 | PA      | $432161.02    | 0.07%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Rr Ltd                                                  | RR 17, Ltd., Series 2021-17A, Class D                                                                          | CUSIP: 74980YAA2<br>LEI: 549300H1BYT42IUZDL59 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $995300.00    | 0.17%             | 2034-07-15      | Floating      | 11.02%                | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2024-RTL5, Class M1                                                               | CUSIP: 50205WAC1<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $502550.00    | 0.09%             | 2039-09-25      | Variable      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Smi Equity Release                                      | SMI Equity Release 2018-1 DAC, Series 2023-1, Class BRR                                                        | CUSIP: BCC394CQ6<br>LEI: 549300XI0B10EWKYLD45 | Long             | ABS-MBS          | CORP              | IE        |    500000 | PA      | $528644.09    | 0.09%             | 2067-12-20      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Harben Finance 2017-1 Plc                               | Harben Finance, Series 2022-1RA, Class G                                                                       | CUSIP: BCC34V1P5<br>LEI: 213800J7WLPUU61CJY65 | Long             | ABS-MBS          | CORP              | GB        |    391000 | PA      | $521395.86    | 0.09%             | 2026-09-28      | Floating      | 8.77%                 | Yes           |                  2 | On Loan: No      |
| Usasf Receivables Llc                                   | USASF Receivables LLC, Series 2021-1A, Class D                                                                 | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125000 | PA      | $50850.00     | 0.01%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2022-1, Class B                                                           | CUSIP: 91679WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240768 | PA      | $238769.71    | 0.04%             | 2025-11-20      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class F                                           | CUSIP: 46640NAT5<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   1098000 | PA      | $232556.40    | 0.04%             | 2045-11-15      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2025-1, Class X                                                                            | CUSIP: BCC3KHV26<br>LEI: 635400MKPQQD5URNMC45 | Long             | ABS-MBS          | CORP              | GB        |   2476611 | PA      | $3316736.41   | 0.57%             | 2068-02-26      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Youni Italy                                             | Youni Italy Srl, Series 2025-1, Class X                                                                        | CUSIP: BCC3LDFR7<br>LEI: 8156007164AD3ED53B97 | Long             | ABS-O            | CORP              | IT        |    688000 | PA      | $784310.49    | 0.14%             | 2035-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cps Auto Trust                                          | CPS Auto Receivables Trust, Series 2023-A, Class E                                                             | CUSIP: 12664LAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1540000.00   | 0.27%             | 2030-08-15      | Fixed         | 10.59%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7534521<br>LEI: N/A                  | Short            | RA               | CORP              | NL        |   -533757 | NS      | $-604666.21   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC, Series 2020-FACT, Class D                                                                                | CUSIP: 126395AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1043893.00   | 0.18%             | 2037-10-15      | Floating      | 8.65%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2Yr Note Future                                                                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -74 | NC      | $-15402984.41 | -2.65%            |  |  |  | No            |                  1 | On Loan: No      |
| Bfld Trust                                              | BFLD, Series 2021-FPM Mortgage Trust, Class E                                                                  | CUSIP: 05554BAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533000 | PA      | $533106.60    | 0.09%             | 2038-06-15      | Floating      | 10.09%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP589AAB5<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -546000 | NS      | $-546000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Safco Auto Receivables Trust                            | SAFCO Auto Receivables Trust 2024-1, Series 2024-1A, Class E                                                   | CUSIP: 78637EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $524000.00    | 0.09%             | 2030-01-18      | Fixed         | 10.85%                | Yes           |                  2 | On Loan: No      |
| Dowson                                                  | Dowson PLC, Series 2024-1, Class E                                                                             | CUSIP: BCC3HXVG4<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |    577000 | PA      | $758121.83    | 0.13%             | 2031-08-20      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Satus Plc                                               | Satus PLC, Series 2024-1, Class E                                                                              | CUSIP: BCC3FH0K6<br>LEI: 213800P7IESQH1HBW693 | Long             | ABS-O            | CORP              | GB        |    670000 | PA      | $877368.20    | 0.15%             | 2027-04-19      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| Ozlm Ltd                                                | OZLM XI, Ltd., Series 2017-11X, Class ER                                                                       | CUSIP: BCC2E69G3<br>LEI: 5493009CITK5BZZY6417 | Long             | ABS-CBDO         | CORP              | KY        |    406164 | PA      | $276638.53    | 0.05%             | 2030-10-30      | Floating      | 12.99%                | No            |                  2 | On Loan: No      |
| Pbd Germany Auto Lease Master                           | PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class F                                | CUSIP: BCC336BM7<br>LEI: 54930028QE4PSDNK0861 | Long             | ABS-O            | CORP              | LU        |     37125 | PA      | $42136.46     | 0.01%             | 2030-11-26      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2023-1, Series 2023-1A, Class D                                                                 | CUSIP: 00461VAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1988814 | PA      | $2017253.81   | 0.35%             | 2030-01-22      | Fixed         | 12.58%                | Yes           |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust, Series 2024-A, Class 1E                                                     | CUSIP: 00834BAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1498200.00   | 0.26%             | 2026-02-17      | Fixed         | 9.17%                 | Yes           |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2007-1X, Class DB                                                                  | CUSIP: BCC0W9FA7<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    539307 | PA      | $502815.06    | 0.09%             | 2050-12-01      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class F                                                              | CUSIP: BCC3L0D14<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |    703000 | PA      | $781022.62    | 0.13%             | 2078-06-24      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Vibrant Clo Ltd                                         | Vibrant CLO IX-R, Ltd., Series 2025-9RA, Class A1                                                              | CUSIP: 92557BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2543000 | PA      | $2520875.90   | 0.43%             | 2037-04-20      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Apidos Clo Ltd                                          | Apidos CLO XXIII, Series 2025-23A, Class CRR                                                                   | CUSIP: 03765YBL7<br>LEI: 635400C39IXGGYE6DH05 | Long             | ABS-CBDO         | CORP              | KY        |   1955000 | PA      | $1925675.00   | 0.33%             | 2033-04-15      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797NE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9991846.00   | 1.72%             | 2025-05-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2021-1, Class E                                                          | CUSIP: BCC329WP2<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |    177891 | PA      | $196848.71    | 0.03%             | 2041-09-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1B2                                                | CUSIP: 20753UAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1875000 | PA      | $1959375.00   | 0.34%             | 2044-01-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP115CAE7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -237000 | NS      | $-237000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class D                    | CUSIP: BCC3HJWT6<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |   1300000 | PA      | $1483307.47   | 0.26%             | 2042-10-27      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Allegro Clo Ltd                                         | Allegro Clo XIX, Ltd., Series 2025-1A, Class C                                                                 | CUSIP: 01749XAE1<br>LEI: 2138002Z16N4VA88AX41 | Long             | ABS-CBDO         | CORP              | JE        |    730000 | PA      | $725474.00    | 0.13%             | 2038-04-17      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Arini Us Clo Limited                                    | Arini US Clo I, Ltd., Series 2025-1A, Class C                                                                  | CUSIP: 04039AAE4<br>LEI: 2549005XY5NLS2UWEM64 | Long             | ABS-CBDO         | CORP              | KY        |    758000 | PA      | $755498.60    | 0.13%             | 2038-04-15      | Floating      | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust 2025-rtl1                        | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                                                             | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354000 | PA      | $2394253.40   | 0.41%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Roc Securities Trust                                    | Roc Mortgage Trust, Series 2024-RTL1, Class M1                                                                 | CUSIP: 77118UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046500 | PA      | $1047023.25   | 0.18%             | 2039-10-25      | Variable      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                             | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class F                                    | CUSIP: BCC3FHZW2<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    556000 | PA      | $741644.54    | 0.13%             | 2053-07-20      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                         | OHA Credit Funding 4, Ltd., Series 2019-4A, Class SUB                                                          | CUSIP: 67098EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $664200.00    | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust, Series 2007-21CB, Class 2A3                                                            | CUSIP: 02151FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996231 | PA      | $277549.87    | 0.05%             | 2037-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer Plc                        | NewDay Funding, Series 2022-3A, Class E                                                                        | CUSIP: BCC386606<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |   1165000 | PA      | $1610499.63   | 0.28%             | 2030-11-15      | Floating      | 13.96%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP092KAE4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -554906 | NS      | $-554906.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7683291<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -308161 | NS      | $-349099.95   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Molossus Btl                                            | Molossus Btl PLC, Series 2024-1, Class F                                                                       | CUSIP: BCC3F95Q6<br>LEI: 635400TPGD2VZXFZMM69 | Long             | ABS-MBS          | CORP              | GB        |    399000 | PA      | $538657.44    | 0.09%             | 2061-04-18      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2023-A, Class B                                                         | CUSIP: 20824CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95178 | PA      | $95644.14     | 0.02%             | 2028-01-17      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-1, Series 2025-1A, Class E                                            | CUSIP: 30167MAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3116000 | PA      | $3139993.20   | 0.54%             | 2032-09-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE2, Class A                                                                          | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24253984 | PA      | $24688130.34  | 4.25%             | 2055-03-25      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Molossus Btl                                            | Molossus Btl PLC, Series 2024-1, Class X                                                                       | CUSIP: BCC3F95S2<br>LEI: 635400TPGD2VZXFZMM69 | Long             | ABS-MBS          | CORP              | GB        |    304954 | PA      | $407060.60    | 0.07%             | 2026-10-18      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Newday Funding                                          | Newday Funding Master Issuer PLC - Series 2025-1, Series 2025-1X, Class E                                      | CUSIP: BCC3LFVV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    579000 | PA      | $762447.23    | 0.13%             | 2028-04-15      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2024-1, Series 2024-1A, Class B                                                                 | CUSIP: 00161CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    851000 | PA      | $872530.30    | 0.15%             | 2031-01-21      | Fixed         | 11.40%                | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.35 04/05/27                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $378.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP87WAG50<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -929000 | NS      | $-929000.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class E                                               | CUSIP: 94989VBB4<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |   1311000 | PA      | $1172296.20   | 0.20%             | 2057-09-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP104QQ78<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -359000 | NS      | $-359000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10Yr Note Future                                                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -11 | NC      | $-1234406.25  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| Noria                                                   | Noria DE 2024, Series 2024-DE1, Class F                                                                        | CUSIP: BCC3GDS40<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |    500000 | PA      | $571352.51    | 0.10%             | 2043-02-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Finance Ireland Rmbs                                    | Finance Ireland RMBS NO 7 DAC, Series 2024-7, Class E                                                          | CUSIP: BCC3G65K4<br>LEI: 635400IU9RIO17FMKE17 | Long             | ABS-MBS          | CORP              | IE        |    466000 | PA      | $534084.26    | 0.09%             | 2063-12-24      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class Z                                                                  | CUSIP: BCC3FJX00<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |    527703 | PA      | $609584.80    | 0.11%             | 2037-04-21      | Floating      | 10.16%                | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2022-RPL 1 DAC, Series 2022-RPL1X, Class F                                                             | CUSIP: BCC36T4W0<br>LEI: 635400VNYTGVRKAK3U86 | Long             | ABS-MBS          | CORP              | IE        |   1768000 | PA      | $2316127.47   | 0.40%             | 2062-09-25      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust, Series 2024-S3, Class CERT                                             | CUSIP: 80288CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4167 | PA      | $921022.20    | 0.16%             | 2028-10-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Hsi Asset Securitization Corporation Trust              | HSI Asset Securitization Corp. Trust, Series 2007-HE1, Class 1A1                                               | CUSIP: 40430FAA0<br>LEI: 2138004J9K5ER1VNP306 | Long             | ABS-MBS          | CORP              | US        |    969705 | PA      | $760248.54    | 0.13%             | 2037-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9503816<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -698052 | NS      | $-790787.67   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Acquisition Corp                     | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3                                               | CUSIP: 46626LHD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912325 | PA      | $656873.78    | 0.11%             | 2036-02-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2022-RPL 1 DAC, Series 2022-RPL1X, Class E                                                             | CUSIP: BCC36T4V2<br>LEI: 635400VNYTGVRKAK3U86 | Long             | ABS-MBS          | CORP              | IE        |   2874000 | PA      | $3508459.44   | 0.60%             | 2062-09-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit Clo, Limited                        | Bain Capital Credit CLO 2018-2, Series 2018-2A, Class F                                                        | CUSIP: 05682WAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1538000 | PA      | $1020001.60   | 0.18%             | 2031-07-19      | Floating      | 12.13%                | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-2bl PLC, Series 2006-2X, Class D1C                                                               | CUSIP: BCC0T5HP4<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |   1528000 | PA      | $1900734.58   | 0.33%             | 2044-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Mulcair Securities Dac                                  | Mulcair Securities, Series 2025-4, Class D                                                                     | CUSIP: BCC3LRLS7<br>LEI: 635400WTZS4ESHSIT120 | Long             | ABS-MBS          | CORP              | IE        |    722000 | PA      | $752238.40    | 0.13%             | 2028-07-24      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                    | PRET LLC, Series 2025-NPL3, Class A1                                                                           | CUSIP: 74143HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2627820.00   | 0.45%             | 2055-04-25      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class D                                                             | CUSIP: BCC3DXKX3<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    557000 | PA      | $626958.64    | 0.11%             | 2065-01-26      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2021-2400 Mortgage Trust, Class B                                                                 | CUSIP: 20048FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3304000 | PA      | $3272281.60   | 0.56%             | 2038-12-15      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Vecht Residential B.v.                                  | Vecht Residential B.V., Series 2023-1, Class X2                                                                | CUSIP: BCC39SSS2<br>LEI: 7245009Q7KC3X5MJBI22 | Long             | ABS-MBS          | CORP              | NL        |    635000 | PA      | $821508.28    | 0.14%             | 2028-05-22      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2023 FT, Series 2023-SP, Class F                                                               | CUSIP: BCC3C1T23<br>LEI: 959800XCSR4Q127ENL67 | Long             | ABS-O            | CORP              | ES        |    357934 | PA      | $423610.69    | 0.07%             | 2041-09-30      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding 2024-2 PLC, Series 2024-2X, Class E                                                  | CUSIP: BCC3F2H62<br>LEI: 635400BEV82LZKPTAB28 | Long             | ABS-MBS          | CORP              | GB        |    400000 | PA      | $526573.91    | 0.09%             | 2050-06-28      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Plenti Pl-green Abs Trust                               | Plenti PL-Green ABS Trust, Series 2024-2, Class F                                                              | CUSIP: BCC3J0QF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |   1130000 | PA      | $722083.58    | 0.12%             | 2036-04-11      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Merrion Square Residential                              | Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class E                                                 | CUSIP: BCC3GCYP8<br>LEI: 635400PSAJTAIHKBHG80 | Long             | ABS-MBS          | CORP              | IE        |    811000 | PA      | $906888.97    | 0.16%             | 2081-03-24      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                      | Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class D                                      | CUSIP: 74390NAG7<br>LEI: 549300WV6NCA12RVBP15 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $524100.00    | 0.09%             | 2026-11-15      | Fixed         | 11.24%                | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust, Series 2007-5, Class 6A1                                                                | CUSIP: 52521RBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3338719 | PA      | $1276058.42   | 0.22%             | 2036-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2022-2, Class E                                                                            | CUSIP: BCC36GSB8<br>LEI: 635400U1HFRKYQESNH28 | Long             | ABS-MBS          | CORP              | GB        |    795579 | PA      | $1069912.02   | 0.18%             | 2059-05-23      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| E-mac Program B.v.                                      | E-MAC Program BV, Series 2007-NL3X, Class D                                                                    | CUSIP: BCC0YY222<br>LEI: 724500SKQP7E7072AD15 | Long             | ABS-MBS          | CORP              | NL        |    516832 | PA      | $456274.51    | 0.08%             | 2047-07-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class D                                          | CUSIP: 05493LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667000 | PA      | $575954.50    | 0.10%             | 2038-09-15      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Gls Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2025-1, Series 2025-1A, Class E                                              | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2164800.00   | 0.37%             | 2032-03-15      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2023-2, Class E                                                                            | CUSIP: BCC3C25Z4<br>LEI: 6354009LRHDVGD1A8T64 | Long             | ABS-MBS          | CORP              | GB        |    555000 | PA      | $773372.78    | 0.13%             | 2059-09-27      | Floating      | 10.46%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4989918<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -914656 | NS      | $-1218956.23  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Funding                                           | Atlas Funding PLC, Series 2023-1, Class F                                                                      | CUSIP: BCC398M03<br>LEI: 635400GE1FMJVQH5B467 | Long             | ABS-MBS          | CORP              | GB        |    402000 | PA      | $572923.40    | 0.10%             | 2061-01-25      | Floating      | 14.19%                | No            |                  2 | On Loan: No      |
| Equify Abs, Llc                                         | Equify ABS 2024-1 LLC, Series 2024-1A, Class D                                                                 | CUSIP: 29445TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504900.00    | 0.09%             | 2033-04-18      | Fixed         | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Consumo Santander                                       | FTA Santander Consumo 6, Series 2024-6, Class F                                                                | CUSIP: BCC3FP598<br>LEI: 9845003Q6DEF3R087B56 | Long             | ABS-O            | CORP              | ES        |    400000 | PA      | $452822.49    | 0.08%             | 2037-12-21      | Floating      | 10.53%                | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class F                                                             | CUSIP: BCC3J9VR1<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |   2806000 | PA      | $3071650.22   | 0.53%             | 2063-01-24      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2007-2X, Class E                                                                   | CUSIP: BCC0Y5TF7<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    419190 | PA      | $493960.19    | 0.09%             | 2050-12-15      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk RMBS NO 7 DAC, Series 2023-7, Class X1                                                                  | CUSIP: BCC3B7D44<br>LEI: 635400O5XYJ4YADRKQ80 | Long             | ABS-MBS          | CORP              | IE        |     60240 | PA      | $68359.34     | 0.01%             | 2062-10-20      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class B1                                                                       | CUSIP: 75049AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $155205.00    | 0.03%             | 2034-09-25      | Floating      | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Scf Rahoituspalvelut Dac                                | SCF Rahoituspalvelut XIII DAC, Series 2024-13, Class E                                                         | CUSIP: BCC3FLNF3<br>LEI: 875500BJTX1DZ2QIPK23 | Long             | ABS-O            | CORP              | IE        |    500000 | PA      | $576393.69    | 0.10%             | 2034-06-25      | Floating      | 9.85%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-3, Series 2024-3A, Class F                                             | CUSIP: 89617AAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1320000 | PA      | $1333200.00   | 0.23%             | 2027-11-15      | Fixed         | 13.51%                | Yes           |                  2 | On Loan: No      |
| Purchasing Power Funding                                | Purchasing Power Funding LLC, Series 2024-A, Class E                                                           | CUSIP: 745935AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $508300.00    | 0.09%             | 2028-08-15      | Fixed         | 10.18%                | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC, Series 2020-FACT, Class B                                                                                | CUSIP: 126395AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $972400.00    | 0.17%             | 2037-10-15      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP493HAQ8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -776257 | NS      | $-776257.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Re Ltd                                             | Home RE, Ltd., Series 2022-1, Class M1C                                                                        | CUSIP: 43730GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388000 | PA      | $400571.20    | 0.07%             | 2034-10-25      | Floating      | 9.85%                 | Yes           |                  2 | On Loan: No      |
| Marble Point Clo Xviii Ltd                              | Marble Point CLO XVIII, Ltd., Series 2025-2A, Class D2R2                                                       | CUSIP: 566076BN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1452000 | PA      | $1400744.40   | 0.24%             | 2038-03-15      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Prp Advisors, Llc                                       | PRPM LLC, Series 2025-2, Class A1                                                                              | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1346000 | PA      | $1359998.40   | 0.23%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Matthew R. Stubbs, LLC, Tranche B Facility Interest                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.86%             | 2026-03-23      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Argent Securities Inc.                                  | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W5, Class M1                       | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355325 | PA      | $1357764.14   | 0.23%             | 2036-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2024-1, Class E                                                                       | CUSIP: BCC3F5ZM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    760000 | PA      | $491101.49    | 0.08%             | 2026-09-10      | Floating      | 11.11%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4960AE5<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1684343 | NS      | $-1684343.00  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates       | First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2                                                 | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548843 | PA      | $526889.23    | 0.09%             | 2036-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Elstree Funding                                         | Elstree Funding No 5 PLC, Series 2024-5, Class F                                                               | CUSIP: BCC3HVPH3<br>LEI: 635400TQHOGQECGSLM58 | Long             | ABS-MBS          | CORP              | GB        |    403998 | PA      | $549657.68    | 0.09%             | 2028-03-21      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| Satus Plc                                               | Satus PLC, Series 2024-1, Class D                                                                              | CUSIP: BCC3FH0J9<br>LEI: 213800P7IESQH1HBW693 | Long             | ABS-O            | CORP              | GB        |    739000 | PA      | $972549.84    | 0.17%             | 2027-04-19      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Cardiff Automobile Receivables Securitisation           | Cardiff Auto Receivables Securitisation PLC, Series 2024-1, Class E                                            | CUSIP: BCC3GPMG2<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |   1976000 | PA      | $2646832.99   | 0.46%             | 2031-08-20      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class M1B                                                                      | CUSIP: 75049AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1754200.00   | 0.30%             | 2034-09-25      | Floating      | 7.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0556131<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -516952 | NS      | $-585628.67   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BNY Mellon U.S. Treasury Fund                           | BNY Mellon U.S. Treasury Fund, Institutional Class                                                             | CUSIP: G1206E136<br>LEI: N/A                  | Long             | STIV             | RF                | IE        |    234982 | NS      | $234982.44    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Upgrade Receivables Trust                               | Upgrade Receivables Trust 2024-1, Series 2024-1A, Class D                                                      | CUSIP: 91533NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3020000 | PA      | $3088252.00   | 0.53%             | 2028-03-15      | Fixed         | 8.90%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-HQA4, Class B2                                                      | CUSIP: 35565RBE2<br>LEI: 5493000IT4TAVS1FNX06 | Long             | ABS-MBS          | USGSE             | US        |    858000 | PA      | $1124237.40   | 0.19%             | 2050-09-25      | Floating      | 13.87%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1075069<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -334132 | NS      | $-445295.59   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Bfld Trust                                              | BFLD, Series 2021-FPM Mortgage Trust, Class D                                                                  | CUSIP: 05554BAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500100.00    | 0.09%             | 2038-06-15      | Floating      | 9.09%                 | Yes           |                  2 | On Loan: No      |
| Metro Finance Trust                                     | Trustee for Metro Finance , Series 2023-1, Class E                                                             | CUSIP: BCC3983L8<br>LEI: 984500D1F362E8C1FF34 | Long             | ABS-O            | CORP              | AU        |    547458 | PA      | $357687.45    | 0.06%             | 2029-02-18      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| Metro Finance Trust                                     | Trustee for Metro Finance , Series 2023-1, Class F                                                             | CUSIP: BCC3983M6<br>LEI: 984500D1F362E8C1FF34 | Long             | ABS-O            | CORP              | AU        |    355108 | PA      | $233105.31    | 0.04%             | 2029-02-18      | Floating      | 12.80%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2022-1, Class C                                                           | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $287700.00    | 0.05%             | 2032-03-20      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-HQA3, Class B2                                                      | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | USGSE             | US        |   1806000 | PA      | $2404869.60   | 0.41%             | 2050-07-25      | Floating      | 14.47%                | Yes           |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-1, Class G                                                                            | CUSIP: BCC39KFB0<br>LEI: 6354004KMSEMXJM3QR12 | Long             | ABS-MBS          | CORP              | GB        |   1014000 | PA      | $1424054.05   | 0.25%             | 2055-05-25      | Floating      | 14.96%                | No            |                  2 | On Loan: No      |
| Eurohome Uk Mortgages Plc                               | Eurohome UK Mortgages 2007 -1 PLC, Series 2007-1, Class B2                                                     | CUSIP: BCC0WBEC9<br>LEI: 2138009XX8M6MTY8SG15 | Long             | ABS-MBS          | CORP              | GB        |    430000 | PA      | $538101.71    | 0.09%             | 2044-06-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Fta Santander Consumo                                   | FTA Santander Consumo 4, Series 2021-4, Class E                                                                | CUSIP: BCC2QM3E6<br>LEI: 98450072AC11A1C80548 | Long             | ABS-O            | CORP              | ES        |    657146 | PA      | $744223.78    | 0.13%             | 2032-09-18      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Bpr Trust                                               | BPR Trust, Series 2021-WILL, Class C                                                                           | CUSIP: 05591VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499250.00    | 0.09%             | 2038-06-15      | Floating      | 8.44%                 | Yes           |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans Fondo Titulizacion, Series 2022-1, Class D                                              | CUSIP: BCC368QN2<br>LEI: 959800LZRYPFFESLNU74 | Long             | ABS-O            | CORP              | ES        |    316890 | PA      | $361465.84    | 0.06%             | 2032-02-28      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Finance Ireland Rmbs                                    | Finance Ireland RMBS NO 7 DAC, Series 2024-7, Class X                                                          | CUSIP: BCC3G65N8<br>LEI: 635400IU9RIO17FMKE17 | Long             | ABS-MBS          | CORP              | IE        |    114776 | PA      | $130102.01    | 0.02%             | 2063-12-24      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Cfg Investments Limited                                 | CFG Investments, Ltd., Series 2025-1, Class B                                                                  | CUSIP: 12528GAN2<br>LEI: 549300C3OD89QRWQ1Y92 | Long             | ABS-O            | CORP              | KY        |   1500000 | PA      | $1501950.00   | 0.26%             | 2036-03-25      | Fixed         | 9.16%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | VCP Tyler Pref, LLC                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2216548 | PA      | $2216547.81   | 0.38%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1695778<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -423088 | NS      | $-563846.69   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO (MRA)                                                                                             | CUSIP: RP161CAB4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -306000 | NS      | $-306000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fct Ponant                                              | FCT Ponant 1, Series 2025-1, Class E                                                                           | CUSIP: BCC3KNBR0<br>LEI: 9695008GRD84DUQ99R64 | Long             | ABS-O            | CORP              | FR        |    700000 | PA      | $785778.21    | 0.14%             | 2038-09-27      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Merrion Square Residential                              | Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class D                                                 | CUSIP: BCC3GCYN3<br>LEI: 635400PSAJTAIHKBHG80 | Long             | ABS-MBS          | CORP              | IE        |    475000 | PA      | $531538.52    | 0.09%             | 2081-03-24      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-3, Series 2022-3A, Class E                                            | CUSIP: 30166YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1396000 | PA      | $1348536.00   | 0.23%             | 2030-01-15      | Fixed         | 9.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP17CAD39<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1258000 | NS      | $-1258000.00  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Taberna Prefered Funding Ltd                            | Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B                                                    | CUSIP: 87330UAE1<br>LEI: 8Z9UQTNXEECO8ECQHB85 | Long             | ABS-CBDO         | CORP              | KY        |    529000 | PA      | $89930.00     | 0.02%             | 2035-11-05      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                 | Lendingpoint Asset Securitization Trust, Series 2022-B, Class C                                                | CUSIP: 52606WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    517000 | PA      | $144708.30    | 0.02%             | 2029-10-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Goodleap Home Improvement Solutions Trust               | GoodLeap Home Improvement Solutions Trust 2024-1, Series 2024-1A, Class C                                      | CUSIP: 381935AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    982998 | PA      | $1012979.72   | 0.17%             | 2033-04-20      | Fixed         | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2023-2, Class F                                                                            | CUSIP: BCC3C2600<br>LEI: 6354009LRHDVGD1A8T64 | Long             | ABS-MBS          | CORP              | GB        |    403000 | PA      | $574670.82    | 0.10%             | 2059-09-27      | Floating      | 13.21%                | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | BP Currency Future                                                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -456 | NC      | $-38024700.00 | -6.55%            |  |  |  | No            |                  1 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class E                                                             | CUSIP: BCC3DXKY1<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    557000 | PA      | $630239.82    | 0.11%             | 2065-01-26      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2023-2, Series 2023-2A, Class B                                                                 | CUSIP: 00161AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1608000 | PA      | $1638873.60   | 0.28%             | 2030-06-20      | Fixed         | 9.85%                 | Yes           |                  2 | On Loan: No      |
| Asset-backed European Securitisation Transaction        | Asset-Backed European Securitisation Transaction Twenty-Three Sarl, Series 2024-23, Class M                    | CUSIP: BCC3HDZG4<br>LEI: 213800WQKYRCMTF4FR47 | Long             | ABS-O            | CORP              | LU        |    700000 | PA      | $790377.58    | 0.14%             | 2034-03-21      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-thru Trust                          | Upgrade Master Pass-Thru Trust, Series 2025-P1, Class CERT                                                     | CUSIP: 91533LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2026384.62   | 0.35%             | 2030-01-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Prestige Auto Receivables Trust                         | Prestige Auto Receivables Trust 2025-1, Series 2025-1A, Class E                                                | CUSIP: 74113UAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    888000 | PA      | $900609.60    | 0.16%             | 2032-08-16      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Domivest B.v.                                           | Domi BV, Series 2024-1, Class X                                                                                | CUSIP: BCC3FWSK3<br>LEI: 724500Z3J4FCZQWYOM57 | Long             | ABS-MBS          | CORP              | NL        |    411008 | PA      | $467752.17    | 0.08%             | 2029-09-17      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2023-1, Class E                                                                       | CUSIP: BCC3B3S47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |   1170000 | PA      | $756937.15    | 0.13%             | 2025-06-10      | Floating      | 16.11%                | No            |                  2 | On Loan: No      |
| Jeronimo Funding                                        | Jeronimo Funding DAC, Series 2025-1, Class B                                                                   | CUSIP: BCC3K2RH1<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |   1489000 | PA      | $1672305.91   | 0.29%             | 2064-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                  | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class E                                                 | CUSIP: 39571XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $501550.00    | 0.09%             | 2059-10-27      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                          | Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1                                                     | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734913 | PA      | $605200.95    | 0.10%             | 2037-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust, Series 2024-B, Class E                                                      | CUSIP: 00835AAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $831215.00    | 0.14%             | 2029-09-15      | Fixed         | 7.35%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class D                                                              | CUSIP: BCC3L0CZ0<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |   1942000 | PA      | $2152033.35   | 0.37%             | 2078-06-24      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2021-1, Class R                                                             | CUSIP: 33843WAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2740 | PA      | $140460.88    | 0.02%             | 2028-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Elmwood Clo X Ltd                                       | Elmwood CLO X, Ltd., Series 2024-3A, Class FR                                                                  | CUSIP: 29002WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    928000 | PA      | $860163.20    | 0.15%             | 2034-04-20      | Floating      | 11.77%                | Yes           |                  2 | On Loan: No      |
| Mpt Oper Partnersp/finl                                 | MPT Operating Partnership LP / MPT Finance Corp.                                                               | CUSIP: 55342UAQ7<br>LEI: WUQXXXF7PXTUPGROE843 | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $881743.72    | 0.15%             | 2032-02-15      | Fixed         | 8.50%                 | Yes           |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2024-P4, Class R                                                        | CUSIP: 14076LAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000 | PA      | $989020.67    | 0.17%             | 2032-12-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Eurohome Uk Mortgages Plc                               | Eurohome UK Mortgages PLC, Series 2007-2, Class B1                                                             | CUSIP: BCC0ZHX24<br>LEI: 213800B2HNVAOW7VZL10 | Long             | ABS-MBS          | CORP              | GB        |    550000 | PA      | $710332.37    | 0.12%             | 2044-09-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust, Series 2007-21CB, Class 2A4                                                            | CUSIP: 02151FAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920873 | PA      | $94205.34     | 0.02%             | 2037-09-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57JAQ58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -610090 | NS      | $-610090.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Eaton Vance Cdo Ltd                                     | Eaton Vance CLO 2014-1R, Ltd., Series 2018-1RA, Class E                                                        | CUSIP: 27830UAA0<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $707476.00    | 0.12%             | 2030-07-15      | Floating      | 10.22%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -388986 | NS      | $-388986.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-4, Series 2022-4A, Class E                                            | CUSIP: 30166BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4603000 | PA      | $4661458.10   | 0.80%             | 2030-03-15      | Fixed         | 8.23%                 | Yes           |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Trust                       | Nationstar Home Equity Loan Trust, Series 2007-B, Class M2                                                     | CUSIP: 63860LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1217855 | PA      | $1233808.42   | 0.21%             | 2037-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-1, Class C                                                           | CUSIP: 91679AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251000 | PA      | $1283275.80   | 0.22%             | 2033-02-20      | Fixed         | 11.10%                | Yes           |                  2 | On Loan: No      |
| Tagus Stc/ulisses Finance                               | TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class F                | CUSIP: BCC32DHS4<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    172078 | PA      | $188310.02    | 0.03%             | 2038-09-20      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2022-2, Class C                                                                   | CUSIP: 69546VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499851 | PA      | $2497351.37   | 0.43%             | 2030-01-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust VII, Series 2022-3A, Class C                                          | CUSIP: 76088TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2046336 | PA      | $2050223.64   | 0.35%             | 2030-11-25      | Fixed         | 10.04%                | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | New York Mortgage Trust, Inc., Series E                                                                        | CUSIP: 649604873<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |     17808 | NS      | $438254.88    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Tagus Sociedade De Titularizacao De Creditos            | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 1, Series 2023-1, Class E                    | CUSIP: BCC3BYVN3<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    140733 | PA      | $162299.25    | 0.03%             | 2029-07-27      | Floating      | 10.65%                | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | MARKIT CDX HY S43 5Y 2/29 ICE                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-57.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class E                                                                  | CUSIP: BCC3FJWZ4<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |    528151 | PA      | $609564.17    | 0.11%             | 2037-04-21      | Floating      | 10.46%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1815855<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -341500 | NS      | $-455114.88   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Baml Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class E                                   | CUSIP: 61765TAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2660000 | PA      | $2379370.00   | 0.41%             | 2048-10-15      | Variable      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R                                      | CUSIP: 63942LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1865 | PA      | $601082.63    | 0.10%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2025-P1, Class R                                                        | CUSIP: 14689MAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1400 | PA      | $744212.67    | 0.13%             | 2033-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Dominion Mortgage Trust                                 | Dominion Mortgage Trust, Series 2025-RTL1, Class A2                                                            | CUSIP: 25746DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $760200.00    | 0.13%             | 2030-03-25      | Fixed         | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Sabadell Consumo Fdt                                    | SABADELL CONSUMO 2 FDT, Series 2022-2, Class E                                                                 | CUSIP: BCC33R605<br>LEI: 959800PUDN333GSZAY65 | Long             | ABS-O            | CORP              | ES        |    786841 | PA      | $938704.38    | 0.16%             | 2034-12-24      | Floating      | 9.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71XAH70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -325000 | NS      | $-325000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-3, Class D                                                                   | CUSIP: 69547XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1094250 | PA      | $1110444.91   | 0.19%             | 2026-03-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Lobel Automobile Receivables Trust                      | Lobel Automobile Receivables Trust, Series 2023-1, Class D                                                     | CUSIP: 53946XAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $486200.00    | 0.08%             | 2030-03-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2024-N3, Class E                                                        | CUSIP: 14687WAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1231125.00   | 0.21%             | 2032-04-12      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class E                              | CUSIP: 46648PAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124980 | PA      | $119730.72    | 0.02%             | 2032-10-15      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust 2006-11, Series 2006-12, Class M1                                        | CUSIP: 12667AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    682323 | PA      | $634355.95    | 0.11%             | 2036-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-A, Class M1                             | CUSIP: 456606KJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785546 | PA      | $594736.62    | 0.10%             | 2036-03-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST5, Class CERT                                                        | CUSIP: 91680WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $894721.30    | 0.15%             | 2026-12-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Morgan Stanley                                          | Markit CMBX BBB- Index, Series 15                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1290625.00  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities Plc                       | Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2                                                | CUSIP: BCC0PP486<br>LEI: 549300M5JCJD5NA85U45 | Long             | ABS-MBS          | CORP              | IE        |    500000 | PA      | $399442.64    | 0.07%             | 2045-06-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Chenango Park Clo, Ltd.                                 | Chenango Park CLO, Ltd., Series 2025-1A, Class CR                                                              | CUSIP: 16409TAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751575.00    | 0.13%             | 2030-04-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9839855<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -2032393 | NS      | $-2302394.84  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                            | Eagle RE, Ltd., Series 2023-1, Class M2                                                                        | CUSIP: 26982EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1383500 | PA      | $1469000.30   | 0.25%             | 2033-09-26      | Floating      | 9.55%                 | Yes           |                  2 | On Loan: No      |
| Eurex                                                   | Euro-BOBL Future                                                                                               | CUSIP: N/A<br>LEI: 529900UT4DG0LG5R9O07       | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $-542091.01   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9458723<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1474046 | NS      | $-1669871.87  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2022-1, Class E                                                | CUSIP: 90944DAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2004109 | PA      | $1965028.40   | 0.34%             | 2028-11-10      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1946724<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -364672 | NS      | $-413118.39   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Blackrock Liquidity Funds T-fund                        | BlackRock Liquidity Funds T-Fund, Class Institutional                                                          | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |  40462991 | NS      | $40462990.69  | 6.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Re Ltd                                             | Home RE, Ltd., Series 2023-1, Class M1B                                                                        | CUSIP: 43731BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1028400.00   | 0.18%             | 2033-10-25      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP2500384<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -333044 | NS      | $-443845.62   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loan Trust                   | Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class M2                                                 | CUSIP: 61744CYR1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-MBS          | CORP              | US        |    846083 | PA      | $789987.79    | 0.14%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.0822 06/20/28                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-803486.21   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Small Business Origination Loan Trust                   | Small Business Origination Loan Trust DAC, Series 2025-1, Class B                                              | CUSIP: BCC3LQT77<br>LEI: 635400ZO4NUYBCC9ZI87 | Long             | ABS-O            | CORP              | IE        |    721000 | PA      | $952416.44    | 0.16%             | 2036-12-15      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2023-4, Series 2023-4A, Class C                                       | CUSIP: 76088XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549236 | PA      | $538965.64    | 0.09%             | 2032-03-25      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class E                                                             | CUSIP: BCC3J9VQ3<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |   1310000 | PA      | $1458358.73   | 0.25%             | 2063-01-24      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Noria                                                   | FCT Noria 2021, Series 2021-1, Class G                                                                         | CUSIP: BCC31BYV3<br>LEI: 5493003C5ECZD3NDSV63 | Long             | ABS-O            | CORP              | FR        |    374325 | PA      | $410866.02    | 0.07%             | 2049-10-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Pony                                                    | Pony SA, Series 2024-1, Class E                                                                                | CUSIP: BCC3G6M58<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |    500000 | PA      | $566877.75    | 0.10%             | 2028-08-14      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -265000 | NS      | $-265000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class E                                          | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1252800.00   | 0.22%             | 2038-09-15      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                      | Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class E                                      | CUSIP: 74390NAJ1<br>LEI: 549300WV6NCA12RVBP15 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1031500.00   | 0.18%             | 2026-11-15      | Fixed         | 15.49%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5561300<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -629055 | NS      | $-712624.47   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Hops Hill                                               | Hops Hill No2 PLC, Series 2022-2, Class E                                                                      | CUSIP: BCC372Q04<br>LEI: 213800HS79HZG1YRY579 | Long             | ABS-MBS          | CORP              | GB        |   1072000 | PA      | $1446219.95   | 0.25%             | 2054-11-27      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                               | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCW, Series 2005-WCW2, Class M5 | CUSIP: 70069FLL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568480 | PA      | $607079.83    | 0.10%             | 2035-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                             | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class E                                    | CUSIP: BCC3FHZV4<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    833000 | PA      | $1109356.71   | 0.19%             | 2027-01-20      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Twin Bridges                                            | Twin Bridges PLC, Series 2022-1, Class X2                                                                      | CUSIP: BCC34K278<br>LEI: 213800OFO3J9U3ZZGO47 | Long             | ABS-MBS          | CORP              | GB        |    209948 | PA      | $279852.12    | 0.05%             | 2055-12-01      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2024-A, Class B                                                         | CUSIP: 20824DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    768325 | PA      | $752651.52    | 0.13%             | 2029-01-16      | Fixed         | 9.80%                 | Yes           |                  2 | On Loan: No      |
| Bletchley Park Funding                                  | Bletchley Park Funding PLC, Series 2024-1, Class X1                                                            | CUSIP: BCC3GPZH6<br>LEI: 635400MQ1CHOSPPF5277 | Long             | ABS-MBS          | CORP              | GB        |    116858 | PA      | $156810.36    | 0.03%             | 2070-07-27      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Rmbs Miravet                                            | FT RMBS Miravet, Series 2023-1, Class F                                                                        | CUSIP: BCC38Q5F0<br>LEI: 959800CJJTJ863UQ4H59 | Long             | ABS-MBS          | CORP              | ES        |    600000 | PA      | $643752.90    | 0.11%             | 2066-11-26      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-1, Class C                                                                   | CUSIP: 69548AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333464 | PA      | $338265.70    | 0.06%             | 2031-07-15      | Fixed         | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2005-9, Class M2                                                | CUSIP: 86358EYG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1348240 | PA      | $1205596.36   | 0.21%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                     | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs, Series 2005-R5, Class M7                  | CUSIP: 03072SE84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529486 | PA      | $634694.42    | 0.11%             | 2035-07-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2023-N1, Class E                                                        | CUSIP: 14688FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1591050.00   | 0.27%             | 2028-03-10      | Fixed         | 10.46%                | Yes           |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class F                                                                        | CUSIP: BCC3G6JT0<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    415752 | PA      | $478661.67    | 0.08%             | 2042-02-24      | Floating      | 9.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP955AD13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -660132 | NS      | $-660132.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class E                                                                        | CUSIP: BCC3C9324<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    652067 | PA      | $749699.92    | 0.13%             | 2049-08-13      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC6, Class M1                               | CUSIP: 86362VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585351 | PA      | $545196.28    | 0.09%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2019-521F Mortgage Trust, Class A                                                                 | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $2033040.00   | 0.35%             | 2034-06-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Goodleap Home Improvement Solutions Trust               | GoodLeap Home Improvement Solutions Trust 2025-1, Series 2025-1A, Class C                                      | CUSIP: 38237EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1393380 | PA      | $1392125.58   | 0.24%             | 2049-02-20      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                  | GreenSky Home Improvement Issuer Trust 2025-1, Series 2025-1A, Class E                                         | CUSIP: 39571NAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $851530.00    | 0.15%             | 2060-03-25      | Fixed         | 8.65%                 | Yes           |                  2 | On Loan: No      |
| Ares Lusitani                                           | Ares Lusitani-STC SA / Pelican Finance 2, Series 2021-2, Class E                                               | CUSIP: BCC33MBL4<br>LEI: 213800WQJJDCAN4BCO57 | Long             | ABS-O            | CORP              | PT        |    110510 | PA      | $121647.92    | 0.02%             | 2035-01-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Bbsg Mortgage Trust                                     | BBSG, Series 2016-MRP Mortgage Trust, Class A                                                                  | CUSIP: 055287AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1801600.00   | 0.31%             | 2036-06-05      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST9, Class CERT                                                        | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $324289.06    | 0.06%             | 2029-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Mortimer Btl Plc                                        | Mortimer 2024-Mix PLC, Series 2024-MIX, Class E                                                                | CUSIP: BCC3J5ZN4<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |    815000 | PA      | $1146969.45   | 0.20%             | 2028-06-22      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2021-A, Class R1                                                       | CUSIP: 83405Y102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35142 | PA      | $348901.20    | 0.06%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Ace Securities Corp.                                    | ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2, Class M1                                         | CUSIP: 00441YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683193 | PA      | $527288.66    | 0.09%             | 2036-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP161AAB8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1240000 | NS      | $-1240000.00  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP8169068<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -475552 | NS      | $-538728.72   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite Clo Ltd                                       | Magnetite Xlii, Ltd., Series 2024-42A, Class A1                                                                | CUSIP: 55955XAA4<br>LEI: 5299008QF7XUGQ5EZC63 | Long             | ABS-CBDO         | CORP              | KY        |    964000 | PA      | $963710.80    | 0.17%             | 2038-01-25      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Wcore Commercial Mortgage Trust                         | WCORE Commercial Mortgage Trust, Series 2024-CORE, Class E                                                     | CUSIP: 951913AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110000 | PA      | $1101786.00   | 0.19%             | 2026-11-15      | Floating      | 8.26%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities, Series 2021-R02, Class 2B2                                                      | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2926000 | PA      | $3061473.80   | 0.53%             | 2041-11-25      | Floating      | 10.55%                | Yes           |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | MARKIT CDX IG S44 5Y 6/30 ICE                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $1122259.33   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2021-1, Class F                                                                            | CUSIP: BCC31KRZ2<br>LEI: 635400AFQUEZX6I3O426 | Long             | ABS-MBS          | CORP              | GB        |    377000 | PA      | $503329.87    | 0.09%             | 2058-12-23      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2023-N4, Class E                                                        | CUSIP: 14688LAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2107000 | PA      | $2169156.50   | 0.37%             | 2030-10-10      | Fixed         | 9.56%                 | Yes           |                  2 | On Loan: No      |
| Fortuna Consumer Loan Abs                               | Fortuna Consumer Loan Abs DAC, Series 2024-2, Class G                                                          | CUSIP: BCC3H8842<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |    500000 | PA      | $562912.78    | 0.10%             | 2028-01-18      | Floating      | 12.70%                | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2024-2, Class M4                                                | CUSIP: 92259PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    484929 | PA      | $499864.71    | 0.09%             | 2054-04-25      | Variable      | 10.71%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -166000 | NS      | $-166000.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                               | Avant Loans Funding Trust, Series 2025-REV1, Class D                                                           | CUSIP: 05352BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1512600.00   | 0.26%             | 2034-05-15      | Fixed         | 8.39%                 | Yes           |                  2 | On Loan: No      |
| Parkmore Point Plc                                      | Parkmore Point RMBS 2022-1 PLC, Series 2022-1X, Class D                                                        | CUSIP: BCC36SW92<br>LEI: 2138002RAUTGL2YPFV15 | Long             | ABS-MBS          | CORP              | GB        |    440000 | PA      | $587792.53    | 0.10%             | 2045-07-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst        | Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Series 2006-HE3, Class M1                    | CUSIP: 04541GXD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    634762 | PA      | $555416.85    | 0.10%             | 2036-03-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fta Santander Consumer Spain                            | FTA Santander Consumer Spain Auto, Series 2023-1, Class E                                                      | CUSIP: BCC3C5XD5<br>LEI: 984500C579T4DF83FR05 | Long             | ABS-O            | CORP              | ES        |    553765 | PA      | $666164.65    | 0.11%             | 2030-12-22      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A                                | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579351 | PA      | $554032.97    | 0.10%             | 2029-09-15      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| E-carat                                                 | E-Carat DE, Series 2024-1, Class F                                                                             | CUSIP: BCC3G72M1<br>LEI: 213800XVRRHAZW7DS467 | Long             | ABS-O            | CORP              | LU        |    400000 | PA      | $456674.18    | 0.08%             | 2035-11-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-1, Series 2025-1A, Class D                                       | CUSIP: 76100AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1357000 | PA      | $1355643.00   | 0.23%             | 2033-06-27      | Fixed         | 10.18%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-2, Class D                                                                   | CUSIP: 694961AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    776314 | PA      | $785552.51    | 0.14%             | 2031-08-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -590000 | NS      | $-590000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Latitude Australia Credit Card Loan Note Trust          | Latitude Australia Credit Card Master Trust, Series 2024-2, Class E                                            | CUSIP: BCC3HDXR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    879000 | PA      | $559720.91    | 0.10%             | 2037-03-22      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP683VAC8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -361000 | NS      | $-361000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class E                                                 | CUSIP: 17322YAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564000 | PA      | $112687.20    | 0.02%             | 2047-10-10      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7788382<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -414141 | NS      | $-551923.08   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797PT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9936666.00   | 1.71%             | 2025-06-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tvc Mortgage Trust                                      | TVC Mortgage Trust, Series 2025-RRTL1, Class A2                                                                | CUSIP: 900927AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005000 | PA      | $1015854.00   | 0.18%             | 2040-04-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-1, Series 2024-1A, Class E                                             | CUSIP: 89616LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    386000 | PA      | $402598.00    | 0.07%             | 2026-11-15      | Fixed         | 11.91%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP25SAG12<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -740000 | NS      | $-740000.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-5, Class D                                                           | CUSIP: 69546WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826272 | PA      | $874113.64    | 0.15%             | 2026-05-15      | Fixed         | 12.97%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5459265<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |   -121505 | NS      | $-137646.85   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.                    | Fieldstone Mortgage Investment Trust, Series 2005-3, Class M2                                                  | CUSIP: 31659TEK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626000 | PA      | $528612.60    | 0.09%             | 2036-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP41YAF97<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -346000 | NS      | $-346000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP46VAC19<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1836000 | NS      | $-1836000.00  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program LLC, Series 2017-D, Class R1                                                    | CUSIP: 78471C109<br>LEI: 549300RC6OGKQI1MHM67 | Long             | ABS-O            | CORP              | US        |     16181 | PA      | $124043.36    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-1, Class E                                                                   | CUSIP: 69548AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499375 | PA      | $2531367.05   | 0.44%             | 2031-07-15      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP168AAG7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -452000 | NS      | $-452000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M1                                                            | CUSIP: 034936AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    905000 | PA      | $915588.50    | 0.16%             | 2055-02-25      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Bl Consumer Issuance Platform Ii                        | Compartment BL Consumer Credit 2024, Series 2024-1, Class E                                                    | CUSIP: BCC3DNFR4<br>LEI: 549300BCEKCIKD7MN312 | Long             | ABS-O            | CORP              | LU        |    438000 | PA      | $505714.77    | 0.09%             | 2041-09-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M3                                                            | CUSIP: 034936AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077000 | PA      | $1090247.10   | 0.19%             | 2055-02-25      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Sandpiper Funding 2023, LLC, Participation Interest                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1974251 | PA      | $1974251.48   | 0.34%             | 2026-12-06      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Autonoria                                               | FCT Autonoria DE 2023, Series 2023-DE, Class F                                                                 | CUSIP: BCC38ZTR8<br>LEI: 549300XVWRQGZCNHXF23 | Long             | ABS-O            | CORP              | FR        |    246121 | PA      | $290779.09    | 0.05%             | 2043-01-26      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class D                                                                        | CUSIP: BCC3G6JR4<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    434798 | PA      | $493152.21    | 0.08%             | 2042-02-24      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| VONTIVE MORTGAGE TRUST 2025-RTL1                        | VNTV 2025-RTL1 A2                                                                                              | CUSIP: 928884AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $762975.00    | 0.13%             | 2030-03-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| Allegro Clo Ltd                                         | Allegro Clo XIX, Ltd., Series 2025-1A, Class D2                                                                | CUSIP: 01749XAJ0<br>LEI: 2138002Z16N4VA88AX41 | Long             | ABS-CBDO         | CORP              | JE        |    750000 | PA      | $741600.00    | 0.13%             | 2038-04-17      | Floating      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans FT, Series 2024-1, Class D                                                              | CUSIP: BCC3HCN79<br>LEI: 9598007LTXPL84RD7W58 | Long             | ABS-O            | CORP              | ES        |   1485334 | PA      | $1680471.75   | 0.29%             | 2038-09-28      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5694046<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -387127 | NS      | $-438556.52   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Rochester Financing                                     | Rochester Financing No 3 PLC, Series 2021-3, Class E                                                           | CUSIP: BCC30T1X7<br>LEI: 213800SDJSX34JWBW675 | Long             | ABS-MBS          | CORP              | GB        |    404000 | PA      | $533724.08    | 0.09%             | 2044-12-18      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4151436<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2149330 | NS      | $-2864398.42  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0778838<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -266352 | NS      | $-354965.62   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-C, Class M1                             | CUSIP: 43709BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544062 | PA      | $585193.13    | 0.10%             | 2036-08-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Tvc Mortgage Trust                                      | TVC Mortgage Trust, Series 2025-RRTL1, Class M1                                                                | CUSIP: 900927AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $758925.00    | 0.13%             | 2040-04-25      | Variable      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.57686% IRS 06/20/2030                                                                 | CUSIP: SWP357686<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-532377.30   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya Ai Debt Grantor Trust, Series 2024-9, Class E                                                           | CUSIP: 69548QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1199816 | PA      | $1211214.74   | 0.21%             | 2026-07-15      | Fixed         | 10.11%                | Yes           |                  2 | On Loan: No      |
| Bl Consumer Issuance Platform Ii                        | Compartment BL Consumer Credit 2024, Series 2024-1, Class X1                                                   | CUSIP: BCC3DNFV5<br>LEI: 549300BCEKCIKD7MN312 | Long             | ABS-O            | CORP              | LU        |    156079 | PA      | $178121.99    | 0.03%             | 2041-09-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| Cps Auto Trust                                          | Consumer Portfolio Services Auto Trust, Series 2025-A, Class E                                                 | CUSIP: 12633SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $991000.00    | 0.17%             | 2032-08-16      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Euro FX Currency                                                                                               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -445 | NC      | $-63301250.00 | -10.91%           |  |  |  | No            |                  1 | On Loan: No      |
| Blackrock Liquidity Funds Treasury Trust Fund Portfolio | BlackRock Liquidity Funds Treasury Trust Fund Portfolio                                                        | CUSIP: 09248U551<br>LEI: 549300U5PI8CHFJM7202 | Long             | STIV             | RF                | US        |   3543366 | NS      | $3543366.00   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2024-2, Class E                                                                       | CUSIP: BCC3H2Y53<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    740000 | PA      | $476376.54    | 0.08%             | 2036-08-10      | Floating      | 10.11%                | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.2131 06/20/27                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-5333.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | RSD FUNDING 2025, LLC, Participation Interest                                                                  | CUSIP: RSD000003<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2774819 | PA      | $2774818.99   | 0.48%             | 2027-09-13      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2021-1, Class C                                                         | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111114 | PA      | $107846.88    | 0.02%             | 2027-11-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2023-3, Class E                                                             | CUSIP: 33846BAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $901600.00    | 0.16%             | 2030-06-17      | Fixed         | 9.74%                 | Yes           |                  2 | On Loan: No      |
| Jeronimo Funding                                        | Jeronimo Funding DAC, Series 2025-1, Class D                                                                   | CUSIP: BCC3K2RK4<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |    757000 | PA      | $821463.30    | 0.14%             | 2064-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2018-H3, Class D                                                        | CUSIP: 61767YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $850100.00    | 0.15%             | 2051-07-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates       | First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3                                                 | CUSIP: 32027NXY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1966435 | PA      | $1387713.12   | 0.24%             | 2036-11-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -434000 | NS      | $-434000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Credito Real Usa Auto Receivables Trust                 | Credito Real USA Auto Receivables Trust 2021-1, Series 2021-1A, Class C                                        | CUSIP: 22551EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    614946 | PA      | $614946.20    | 0.11%             | 2028-01-18      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                        | Soundview Home Loan Trust, Series 2006-OPT2, Class M1                                                          | CUSIP: 83611MMM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629818 | PA      | $528542.89    | 0.09%             | 2036-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 1, Series 2022-1, Class D                       | CUSIP: BCC37NBG9<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |    236819 | PA      | $290063.97    | 0.05%             | 2033-06-28      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                             | Island Finance Trust 2025-1, Series 2025-1A, Class B                                                           | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $765075.00    | 0.13%             | 2035-03-19      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                     | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class M1                                                 | CUSIP: 437919AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1394671.60   | 0.24%             | 2027-02-25      | Variable      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit Clo, Limited                        | Bain Capital Credit CLO 2018-2, Series 2018-2X, Class F                                                        | CUSIP: BCC2GXZ65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    192000 | PA      | $127334.40    | 0.02%             | 2031-07-19      | Floating      | 12.13%                | No            |                  2 | On Loan: No      |
| Bbam Us Clo Ltd.                                        | BBAM US CLO I, Ltd., Series 2025-1A, Class AR                                                                  | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |   3898000 | PA      | $3874612.00   | 0.67%             | 2038-03-30      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2024-RTL4, Class M1                                                               | CUSIP: 50205PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $504950.00    | 0.09%             | 2027-01-25      | Variable      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REPO                                                                                                           | CUSIP: RP753ACF9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -507000 | NS      | $-507000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2024-1, Class F                                                                       | CUSIP: BCC3F5ZN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    760000 | PA      | $489787.08    | 0.08%             | 2026-09-10      | Floating      | 12.11%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9504038<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -798047 | NS      | $-904066.93   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust 2023-2, Series 2023-2A, Class E                                                       | CUSIP: 67571QAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    904000 | PA      | $941335.20    | 0.16%             | 2031-06-20      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5694053<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -349922 | NS      | $-396408.87   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Jeronimo Funding                                        | Jeronimo Funding DAC, Series 2025-1, Class C                                                                   | CUSIP: BCC3K2RJ7<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |    739000 | PA      | $805111.76    | 0.14%             | 2064-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2022-2, Class E                                                             | CUSIP: 33844XAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    926000 | PA      | $260020.80    | 0.04%             | 2029-06-15      | Fixed         | 8.20%                 | Yes           |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2021-2, Class B1                                                                     | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    469000 | PA      | $499203.60    | 0.09%             | 2033-10-25      | Floating      | 11.94%                | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-2, Class C                                                           | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1119000 | PA      | $1198225.20   | 0.21%             | 2033-06-20      | Fixed         | 11.87%                | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust, Series 2017-1, Class B4                                                             | CUSIP: 89173FAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743000 | PA      | $582437.70    | 0.10%             | 2032-06-25      | Variable      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST4, Class CERT                                                        | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8621000 | PA      | $779373.23    | 0.13%             | 2027-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -230000 | NS      | $-230000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2025-RTL1, Class M1                                                               | CUSIP: 50205UAC5<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $765168.00    | 0.13%             | 2040-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Carnow Auto Receivables Trust                           | CarNow Auto Receivables Trust 2023-1, Series 2023-1A, Class E                                                  | CUSIP: 14367RAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423000 | PA      | $263402.10    | 0.05%             | 2029-04-16      | Fixed         | 12.04%                | Yes           |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B2A                                                                 | CUSIP: BCC0Z8XL2<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    433748 | PA      | $521866.77    | 0.09%             | 2040-10-10      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2022-ST2, Class CERT                                                        | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $340181.79    | 0.06%             | 2030-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C                                          | CUSIP: 05493LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2461000 | PA      | $2232619.20   | 0.38%             | 2038-09-15      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class D                                                             | CUSIP: BCC3J9VP5<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |    936000 | PA      | $1049213.24   | 0.18%             | 2063-01-24      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Markit CMBX BB Index, Series 14                                                                                | CUSIP: CXNP9U6H0<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-700133.17   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2023-1, Class E                                                | CUSIP: 90945CAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    529000 | PA      | $538151.70    | 0.09%             | 2029-09-10      | Fixed         | 10.98%                | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2024-1, Class X                                                                            | CUSIP: BCC3DT808<br>LEI: 635400SJNGQKQ4OKRU39 | Long             | ABS-MBS          | CORP              | GB        |    106302 | PA      | $140704.46    | 0.02%             | 2061-02-26      | Floating      | 10.11%                | No            |                  2 | On Loan: No      |
| Gcat                                                    | GCAT , Series 2019-RPL1, Class B3                                                                              | CUSIP: 36167CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988000 | PA      | $766391.60    | 0.13%             | 2068-10-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| East One                                                | East One PLC, Series 2024-1, Class E                                                                           | CUSIP: BCC3F2F80<br>LEI: 213800PCKNACOVV1MZ66 | Long             | ABS-MBS          | CORP              | GB        |    783000 | PA      | $1066977.85   | 0.18%             | 2055-12-27      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Baml Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G                                   | CUSIP: 61765TAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449060 | PA      | $833788.91    | 0.14%             | 2048-10-15      | Variable      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | SWF Funding LLC, Loan Facility                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1364481 | PA      | $1364481.08   | 0.24%             | 2027-09-23      | Variable      | 12.32%                | No            |                  3 | On Loan: No      |
| N/A                                                     | Cherry SPV III (2023) LLC, Class B Facility                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1104467 | PA      | $1104466.69   | 0.19%             | 2027-06-30      | Floating      | 14.32%                | No            |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya Ai Debt Grantor Trust, Series 2024-9, Class F                                                           | CUSIP: 69548QAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1399786 | PA      | $1361711.71   | 0.23%             | 2027-09-15      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Cherry SPV III (2023) LLC, Class B Facility                                                                    | CUSIP: CHERRYMZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    316722 | PA      | $316722.11    | 0.05%             | 2027-06-30      | Variable      | 10.50%                | No            |                  3 | On Loan: No      |
| N/A                                                     | Bullock Legal Group, Loan Facility                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1685599 | PA      | $1685599.14   | 0.29%             | 2028-03-28      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk Rmbs NO 9 Dac, Series 2024-9, Class X2                                                                  | CUSIP: BCC3FNW93<br>LEI: 635400EER3OFDNYI7P30 | Long             | ABS-MBS          | CORP              | IE        |    613000 | PA      | $617006.90    | 0.11%             | 2063-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                     | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A2A                                               | CUSIP: 07401YAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818741 | PA      | $761101.69    | 0.13%             | 2037-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91LAA70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -994000 | NS      | $-994000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class C                                        | CUSIP: 63873VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946000 | PA      | $842980.60    | 0.15%             | 2036-08-15      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-8, Class E                                                           | CUSIP: 69548PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1199946 | PA      | $1221665.51   | 0.21%             | 2032-01-15      | Fixed         | 10.41%                | Yes           |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class D                                                                  | CUSIP: BCC3FJWY7<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |    377251 | PA      | $434420.03    | 0.07%             | 2037-04-21      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-6, Series 2022-6A, Class E                                            | CUSIP: 30168AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2611000 | PA      | $2878105.30   | 0.50%             | 2030-06-17      | Fixed         | 11.61%                | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST1, Class CERT                                                        | CUSIP: 91681MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8571429 | PA      | $784971.30    | 0.14%             | 2027-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2023-2, Class E                                                                       | CUSIP: BCC3CM7Z8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    780000 | PA      | $517615.11    | 0.09%             | 2025-11-10      | Floating      | 16.11%                | No            |                  2 | On Loan: No      |
| Aims Home Loans                                         | AIMS , Series 2007-1, Class B                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | AU        |    739534 | PA      | $386687.90    | 0.07%             | 2038-07-10      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP548QAB2<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -866000 | NS      | $-866000.00   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Mulcair Securities Dac                                  | Mulcair Securities, Series 2025-4, Class C                                                                     | CUSIP: BCC3LRLR9<br>LEI: 635400WTZS4ESHSIT120 | Long             | ABS-MBS          | CORP              | IE        |    813000 | PA      | $880850.54    | 0.15%             | 2028-07-24      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Sound Point Clo Ltd                                     | Sound Point Clo 2025-2, Ltd., Series 2025-2A, Class D1                                                         | CUSIP: 83617PAJ4<br>LEI: 254900EAOCKFK910QE14 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $750000.00    | 0.13%             | 2038-04-15      | Floating      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1816150<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -343195 | NS      | $-388788.19   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B2                                                | CUSIP: 20754EAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687000 | PA      | $750135.30    | 0.13%             | 2043-07-25      | Floating      | 10.25%                | Yes           |                  2 | On Loan: No      |
| Oaktree Clo Ltd                                         | Oaktree CLO 2021-2, Ltd., Series 2021-2A, Class F                                                              | CUSIP: 67389CAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    512000 | PA      | $480819.20    | 0.08%             | 2035-01-15      | Floating      | 12.55%                | Yes           |                  2 | On Loan: No      |
| Smr 2022-ind Mortgage Trust                             | SMR, Series 2022-IND Mortgage Trust, Class E                                                                   | CUSIP: 78458MAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2747031 | PA      | $2734669.79   | 0.47%             | 2039-02-15      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| Flatiron Clo Ltd                                        | Flatiron CLO 19, Ltd., Series 2025-1A, Class DR2                                                               | CUSIP: 33883JBC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $747600.00    | 0.13%             | 2034-11-16      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-3nc PLC, Series 2006-3X, Class D1A                                                               | CUSIP: BCC0U2044<br>LEI: 21380051KSXNQVZ6KG27 | Long             | ABS-MBS          | CORP              | GB        |    624000 | PA      | $632602.95    | 0.11%             | 2044-09-10      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Red & Black Auto Germany Ug                             | Red & Black Auto Germany 9 UG, Series 2022-9, Class D                                                          | CUSIP: BCC37MGR2<br>LEI: 39120094MD75F1PA4Q70 | Long             | ABS-O            | CORP              | DE        |    291765 | PA      | $336144.47    | 0.06%             | 2031-09-15      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-backed Ctfs                     | Washington Mutural Asset-Backed Certificates WMABS, Series 2006-HE2, Class A3                                  | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949732 | PA      | $756556.90    | 0.13%             | 2036-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP31BAB71<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -793000 | NS      | $-793000.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Whitebox Clo Iv Ltd                                     | Whitebox CLO IV, Ltd., Series 2025-4A, Class D2R                                                               | CUSIP: 96467KAW9<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $750000.00    | 0.13%             | 2036-04-20      | Floating      | 10.29%                | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-B, Class R1                                                       | CUSIP: 83405F103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5664 | PA      | $141317.08    | 0.02%             | 2046-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Silk Finance                                            | TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class D                    | CUSIP: BCC2P1JC0<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    171153 | PA      | $186503.42    | 0.03%             | 2035-02-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Genesis Mortgage Funding                                | Genesis Mortgage Funding PLC, Series 2022-1, Class F                                                           | CUSIP: BCC35C4V0<br>LEI: 635400QQILPADVT14W50 | Long             | ABS-MBS          | CORP              | GB        |    904000 | PA      | $1207044.09   | 0.21%             | 2025-06-15      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-10, Class E                                                          | CUSIP: 69546UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1999831 | PA      | $1995230.96   | 0.34%             | 2026-10-15      | Fixed         | 10.41%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2023-DNA2, Class B1                                                      | CUSIP: 35564KW70<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | USGSE             | US        |    955000 | PA      | $1079150.00   | 0.19%             | 2043-04-25      | Floating      | 11.95%                | Yes           |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B1A                                                                 | CUSIP: BCC0Z8XJ7<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    531032 | PA      | $633393.94    | 0.11%             | 2040-10-10      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Exmoor Funding Plc                                      | Exmoor Funding PLC, Series 2024-1, Class X                                                                     | CUSIP: BCC3FWSV9<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |    321171 | PA      | $429905.53    | 0.07%             | 2094-03-25      | Floating      | 12.47%                | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class A                                                  | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538000 | PA      | $511853.20    | 0.09%             | 2026-05-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                     | Homeward Opportunities Fund Trust, Series 2024-RRTL2, Class M1                                                 | CUSIP: 43789GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507250.00    | 0.09%             | 2039-09-25      | Variable      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class G                                                                        | CUSIP: BCC3C9340<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    417680 | PA      | $481732.36    | 0.08%             | 2026-10-12      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST4, Class CERT                                                        | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150718 | PA      | $9202.51      | 0.00%             | 2026-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class C                                                              | CUSIP: BCC3L0CY3<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |   1343000 | PA      | $1495096.01   | 0.26%             | 2078-06-24      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2023-1, Class F                                                                            | CUSIP: BCC39YWY1<br>LEI: 635400VADRWDQSM8BE46 | Long             | ABS-MBS          | CORP              | GB        |    403000 | PA      | $550126.47    | 0.09%             | 2061-02-23      | Floating      | 12.71%                | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class F                                                                        | CUSIP: BCC3C9332<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    405514 | PA      | $469217.35    | 0.08%             | 2026-10-12      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class B                                          | CUSIP: 05493LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3207000 | PA      | $3020031.90   | 0.52%             | 2038-09-15      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2024-A, Class C                                                         | CUSIP: 20824DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080000 | PA      | $777600.00    | 0.13%             | 2025-08-15      | Fixed         | 10.34%                | Yes           |                  3 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-DNA1, Class B2                                                      | CUSIP: 35565HBE4<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |    494000 | PA      | $540930.00    | 0.09%             | 2050-01-25      | Floating      | 9.72%                 | Yes           |                  2 | On Loan: No      |
| Scf Rahoituspalvelut Dac                                | SCF Rahoituspalvelut X DAC, Series 2021-10, Class D                                                            | CUSIP: BCC32NQ29<br>LEI: 875500WTQ56BZWOYTK26 | Long             | ABS-O            | CORP              | IE        |    131738 | PA      | $142135.22    | 0.02%             | 2031-10-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5Yr Note Future                                                                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -102 | NC      | $-11137921.93 | -1.92%            |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16                                                  | CUSIP: 75115CAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357776 | PA      | $255308.96    | 0.04%             | 2036-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust, Series 2017-PFHP, Class D                                                                          | CUSIP: 12595KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734000 | PA      | $683647.60    | 0.12%             | 2030-12-15      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class B                                                  | CUSIP: 36264YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $899100.00    | 0.15%             | 2026-05-15      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-2, Class C                                                           | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448000 | PA      | $479718.40    | 0.08%             | 2033-06-20      | Fixed         | 11.87%                | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding PLC, Series 2024-3, Class E                                                          | CUSIP: BCC3FZ9Y7<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |    395000 | PA      | $525150.59    | 0.09%             | 2049-06-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Fylde Funding Plc                                       | Fylde Funding PLC, Series 2024-1, Class E                                                                      | CUSIP: BCC3H9HR9<br>LEI: 635400MPOQMXSXWK5E32 | Long             | ABS-MBS          | CORP              | GB        |    741000 | PA      | $981403.33    | 0.17%             | 2052-07-25      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -937406 | NS      | $-937406.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP47UAD00<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1926000 | NS      | $-1926000.00  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Pepper Iberia Unsecured                                 | Pepper Iberia Unsecured 2022 DAC, Series 2022-1, Class E                                                       | CUSIP: BCC365Z65<br>LEI: 635400TCFYOKUGCHXT49 | Long             | ABS-O            | CORP              | IE        |    462000 | PA      | $526254.91    | 0.09%             | 2032-11-10      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2024-1, Series 2024-1A, Class D                                                                | CUSIP: 75526PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $215880.00    | 0.04%             | 2027-09-15      | Fixed         | 10.64%                | Yes           |                  2 | On Loan: No      |
| Plenti Pl-green Abs Trust                               | Plenti PL-Green ABS Trust, Series 2024-1, Class F                                                              | CUSIP: BCC3D9KP3<br>LEI: 9845000D4O8B5S3BD736 | Long             | ABS-O            | CORP              | AU        |    608088 | PA      | $390406.04    | 0.07%             | 2035-06-11      | Floating      | 11.88%                | No            |                  2 | On Loan: No      |
| Flatiron Clo Ltd                                        | Flatiron CLO 19, Ltd., Series 2025-1A, Class CR2                                                               | CUSIP: 33883JBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $742650.00    | 0.13%             | 2034-11-16      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71NAH98<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -543478 | NS      | $-543478.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Rochester Financing                                     | Rochester Financing No 3 PLC, Series 2021-3, Class F                                                           | CUSIP: BCC30T1Y5<br>LEI: 213800SDJSX34JWBW675 | Long             | ABS-MBS          | CORP              | GB        |    412000 | PA      | $528095.31    | 0.09%             | 2044-12-18      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST7, Class CERT                                                        | CUSIP: 91683KAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $1385977.04   | 0.24%             | 2029-09-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-8, Class E                                                                   | CUSIP: 694960AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2498395 | PA      | $2529875.00   | 0.44%             | 2031-06-16      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding 2024-1 PLC, Series 2024-1A, Class F                                                  | CUSIP: BCC3D0ZK7<br>LEI: 635400189QMSKAUNA660 | Long             | ABS-MBS          | CORP              | GB        |    465000 | PA      | $606998.64    | 0.10%             | 2060-06-20      | Floating      | 9.47%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust            | Arivo Acceptance Auto Loan Receivables Trust 2024-1, Series 2024-1A, Class D                                   | CUSIP: 039943AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1792000 | PA      | $2057036.80   | 0.35%             | 2030-08-15      | Fixed         | 12.55%                | Yes           |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos, Series 2024-2, Class D                                           | CUSIP: BCC3H2L81<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |    500000 | PA      | $566764.47    | 0.10%             | 2034-02-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP121PAY9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -561000 | NS      | $-561000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | AUD $ Currency Fut                                                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |       -85 | NC      | $-5445950.00  | -0.94%            |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-5, Series 2022-5A, Class E                                            | CUSIP: 30167FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1989000 | PA      | $2072339.10   | 0.36%             | 2030-04-15      | Fixed         | 10.45%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -640000 | NS      | $-640000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Dowson                                                  | Dowson PLC, Series 2024-1, Class F                                                                             | CUSIP: BCC3HXVH2<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |   1252000 | PA      | $1635495.50   | 0.28%             | 2031-08-20      | Floating      | 11.41%                | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                             | Island Finance Trust 2025-1, Series 2025-1A, Class C                                                           | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    802000 | PA      | $801679.20    | 0.14%             | 2035-03-19      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class B2                                                      | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |   1789000 | PA      | $2017097.50   | 0.35%             | 2050-12-25      | Floating      | 10.00%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-6, Class D                                                                   | CUSIP: 69547UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2749295 | PA      | $2787785.02   | 0.48%             | 2031-06-16      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | SWEDISH KRONA FUT Jun25                                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |       -16 | NC      | $-3324800.00  | -0.57%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP47GAA76<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1050000 | NS      | $-1050000.00  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Popular Abs Mortgage Pass-through Trust                 | Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1                                              | CUSIP: 73316PGL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408843 | PA      | $300050.06    | 0.05%             | 2035-11-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9459457<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -431686 | NS      | $-489035.15   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Domivest B.v.                                           | Domi BV, Series 2021-1, Class E                                                                                | CUSIP: BCC30J4T5<br>LEI: 724500GC0MQI1HTJVG97 | Long             | ABS-MBS          | CORP              | NL        |    704000 | PA      | $799041.16    | 0.14%             | 2053-06-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1                                                | CUSIP: 20753ACF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    626000 | PA      | $699367.20    | 0.12%             | 2043-04-25      | Floating      | 10.70%                | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class A                                                                 | CUSIP: 05493HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560000 | PA      | $1503060.00   | 0.26%             | 2036-06-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust, Series 2017-PFHP, Class A                                                                          | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1112602 | PA      | $1110821.47   | 0.19%             | 2030-12-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class E                                                                 | CUSIP: 05493HAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588000 | PA      | $517028.40    | 0.09%             | 2036-06-15      | Floating      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| Merrion Square Residential                              | Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class C                                                 | CUSIP: BCC3GCYM5<br>LEI: 635400PSAJTAIHKBHG80 | Long             | ABS-MBS          | CORP              | IE        |    474000 | PA      | $533104.35    | 0.09%             | 2081-03-24      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP68AAG76<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -591000 | NS      | $-591000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc Of America Funding Corporation                     | Banc of America Funding , Series 2007-5, Class CA8                                                             | CUSIP: 059523BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2183219 | PA      | $186883.53    | 0.03%             | 2037-07-25      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class G                                               | CUSIP: 94989VBF5<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |    814500 | PA      | $613970.10    | 0.11%             | 2057-09-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | BriteCap SPV 3 LLC, Loan Facility                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3258564 | PA      | $3258563.73   | 0.56%             | 2027-06-30      | Variable      | 11.07%                | No            |                  3 | On Loan: No      |
| Quarzo Srl                                              | Quarzo Srl, Series 2024-1, Class D                                                                             | CUSIP: BCC3G2GS4<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |    455366 | PA      | $514003.59    | 0.09%             | 2041-06-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos, Series 2024-2, Class E                                           | CUSIP: BCC3H2L99<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |   1800000 | PA      | $2044634.26   | 0.35%             | 2034-02-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Bhms Mortgage Trust                                     | BHMS, Series 2018-ATLS, Class D                                                                                | CUSIP: 05549GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1202000 | PA      | $1201399.00   | 0.21%             | 2035-07-15      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M1                                                | CUSIP: 922955AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749041 | PA      | $762074.26    | 0.13%             | 2032-12-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP673ZH84<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -339000 | NS      | $-339000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Steele Creek Clo Ltd                                    | Steele Creek CLO 2022-1, Ltd., Series 2025-1A, Class DR                                                        | CUSIP: 85816FAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2162000 | PA      | $2154865.40   | 0.37%             | 2038-04-15      | Floating      | 9.11%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -728682 | NS      | $-728682.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Autoflorence                                            | AutoFlorence 2 Srl, Series 2021-2, Class F                                                                     | CUSIP: BCC31J357<br>LEI: 815600C91B7AF7C88210 | Long             | ABS-O            | CORP              | IT        |     26110 | PA      | $28866.22     | 0.00%             | 2044-12-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Achv Abs Trust                                          | ACHV ABS TRUST, Series 2023-4CP, Class E                                                                       | CUSIP: 00092CAE2<br>LEI: 549300V82ZKZDTAU0A46 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1033800.00   | 0.18%             | 2030-11-25      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.058 04/04/30                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1386.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0271946<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |    -76108 | NS      | $-86218.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class M1C                                                                      | CUSIP: 75049AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $505900.00    | 0.09%             | 2034-09-25      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | MARKIT CDX HY S44 5Y 6/30 ICE                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $3290382.70   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| Plenti Pl-green Abs Trust                               | Plenti PL-Green ABS Trust, Series 2024-1, Class E                                                              | CUSIP: BCC3D9KN8<br>LEI: 9845000D4O8B5S3BD736 | Long             | ABS-O            | CORP              | AU        |    800115 | PA      | $513435.89    | 0.09%             | 2035-06-11      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-3, Series 2024-3A, Class E                                             | CUSIP: 89617AAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1421000.00   | 0.24%             | 2027-11-15      | Fixed         | 8.64%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp. Mortgage Loan Trust 2006-W1, Series 2006-W1A, Class M1                       | CUSIP: 86361CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2117166 | PA      | $2149981.66   | 0.37%             | 2046-08-25      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Ownit Mortgage Loan Asset-backed Certificates           | Ownit Mortgage Loan Trust, Series 2005-4, Class M1                                                             | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873498 | PA      | $798726.92    | 0.14%             | 2036-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-through Certificates                 | WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1C                                            | CUSIP: 92925CDC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183358 | PA      | $294675.19    | 0.05%             | 2046-02-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program, Series 2020-A, Class R1                                                        | CUSIP: 83406T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14661 | PA      | $211233.24    | 0.04%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Residential Asset Securitization Trust                  | Residential Asset Securitization Trust, Series 2005-A15, Class 2A10                                            | CUSIP: 45660L4A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382775 | PA      | $398239.13    | 0.07%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                                               | CUSIP: 50206RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1131000 | PA      | $1140726.60   | 0.20%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2                                                | CUSIP: 20754NAR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644000 | PA      | $730618.00    | 0.13%             | 2042-05-25      | Floating      | 14.95%                | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2025-RTL2, Class M1                                                               | CUSIP: 50206RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $756375.00    | 0.13%             | 2040-04-25      | Variable      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | GRDN 2024-1 B                                                                                                  | CUSIP: BCC3JLXT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | SE        |  32041542 | PA      | $3315705.42   | 0.57%             | 2049-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | Reach Consumer 2022-1, LLC, Class B Facility                                                                   | CUSIP: REACHCAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1370040 | PA      | $1370040.14   | 0.24%             | 2027-11-29      | Variable      | 13.32%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91VAE56<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -397000 | NS      | $-397000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797PL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9961326.00   | 1.72%             | 2025-06-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1B2                                                | CUSIP: 20754GAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2655000 | PA      | $2749252.50   | 0.47%             | 2044-02-25      | Floating      | 8.05%                 | Yes           |                  2 | On Loan: No      |
| Small Business Origination Loan Trust                   | Small Business Origination Loan Trust DAC, Series 2025-1, Class C                                              | CUSIP: BCC3LQT85<br>LEI: 635400ZO4NUYBCC9ZI87 | Long             | ABS-O            | CORP              | IE        |   2347000 | PA      | $3084667.89   | 0.53%             | 2036-12-15      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust, Series 2005-2, Class M6                                                 | CUSIP: 126673ZH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541117 | PA      | $520230.08    | 0.09%             | 2035-08-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fta Santander Consumer Spain                            | FTA Santander Consumer Spain Auto, Series 2022-1, Class E                                                      | CUSIP: BCC37VYS0<br>LEI: 9845003BH55E866D9D45 | Long             | ABS-O            | CORP              | ES        |    309443 | PA      | $362856.47    | 0.06%             | 2038-09-20      | Floating      | 14.43%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP43XAG43<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1466000 | NS      | $-1466000.00  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | Markit CDX NA High Yield Index, Series 42                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $557373.90    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-2, Series 2024-2A, Class E                                             | CUSIP: 89616PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $722820.00    | 0.12%             | 2027-04-15      | Fixed         | 10.44%                | Yes           |                  2 | On Loan: No      |
| Jp Morgan Mortgage Acquisition Corp                     | JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2                                                | CUSIP: 46625SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117276 | PA      | $1135711.40   | 0.20%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2025-1, Series 2025-1A, Class D                                             | CUSIP: 89617CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1660000 | PA      | $1668964.00   | 0.29%             | 2028-05-15      | Fixed         | 6.84%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48MAA36<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -719000 | NS      | $-719000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -375000 | NS      | $-375000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP679WAB4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -178000 | NS      | $-178000.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Syon Securities 2020-2 Designated Activity Company      | SYON, Series 2020-2, Class E                                                                                   | CUSIP: BCC2PP9E4<br>LEI: 5493000H7F78QNDVY831 | Long             | ABS-MBS          | CORP              | US        |    795614 | PA      | $1073775.93   | 0.19%             | 2027-12-17      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP35AAE82<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -621563 | NS      | $-621563.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Dbwf Mortgage Trust                                     | DBWF, Series 2024-LCRS Mortgage Trust, Class E                                                                 | CUSIP: 23307KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2000800.00   | 0.34%             | 2037-04-15      | Floating      | 8.51%                 | Yes           |                  2 | On Loan: No      |
| Sc Germany Consumer                                     | SC Germany SA Compartment Consumer, Series 2025-1, Class E                                                     | CUSIP: BCC3LPB45<br>LEI: N/A                  | Long             | ABS-O            | CORP              | DE        |    700000 | PA      | $799814.21    | 0.14%             | 2031-06-14      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Twin Bridges                                            | Twin Bridges PLC, Series 2022-2, Class E                                                                       | CUSIP: BCC36Y565<br>LEI: 2138009CPSZVO86ALM43 | Long             | ABS-MBS          | CORP              | GB        |    241000 | PA      | $325611.44    | 0.06%             | 2055-06-12      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class F                                                             | CUSIP: BCC3DXKZ8<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    749000 | PA      | $836540.17    | 0.14%             | 2065-01-26      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.108 04/04/29                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-886081.19   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Bletchley Park Funding                                  | Bletchley Park Funding PLC, Series 2024-1, Class E                                                             | CUSIP: BCC3GPZD5<br>LEI: 635400MQ1CHOSPPF5277 | Long             | ABS-MBS          | CORP              | GB        |    430000 | PA      | $569734.53    | 0.10%             | 2070-07-27      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-5, Class D                                                                   | CUSIP: 69546PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2044983 | PA      | $2064614.56   | 0.36%             | 2031-04-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Mortimer Btl Plc                                        | Mortimer 2024-Mix PLC, Series 2024-MIX, Class X                                                                | CUSIP: BCC3J5ZP9<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |    510160 | PA      | $679818.41    | 0.12%             | 2028-06-22      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| Magnetite Clo Ltd                                       | Magnetite XXVI, Ltd., Series 2025-26A, Class AR2                                                               | CUSIP: 55954YAW5<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | KY        |    561000 | PA      | $558475.50    | 0.10%             | 2038-01-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust 2024-6 and Pagaya AI Debt Trust, Series 2024-6, Class D                           | CUSIP: 69548LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    884386 | PA      | $910828.94    | 0.16%             | 2026-06-15      | Fixed         | 11.35%                | Yes           |                  2 | On Loan: No      |
| Tagus Sociedade De Titularizacao De Creditos            | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 1, Series 2023-1, Class F                    | CUSIP: BCC3BYVP8<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    140733 | PA      | $165551.58    | 0.03%             | 2029-07-27      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                     | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2                                                | CUSIP: 07401NAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840636 | PA      | $792719.38    | 0.14%             | 2037-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9459028<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1222982 | NS      | $-1385454.22  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REPO                                                                                                           | CUSIP: RP754DAJ6<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -254000 | NS      | $-254000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2018-D, Class R1                                                       | CUSIP: 83401A108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27236 | PA      | $170630.82    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** 1WS CREDIT INCOME FUND

**Signature:** Stephanie Dolan

**Name of Signer:** Stephanie Dolan

**Title:** Chief Financial Officer and Principal Accounting Officer