# EDGAR Filing Document

**Accession Number:** 0001724826
**File Stem:** 0001752724-25-185782
**Filing Date:** 2025-8
**Character Count:** 280013
**Document Hash:** dec6a29506950ee26e67c36e2edbd3b8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-185782.hdr.sgml**: 20250811

**ACCESSION NUMBER**: 0001752724-25-185782

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250811

**DATE AS OF CHANGE**: 20250811

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Six Circles Trust
- **CENTRAL INDEX KEY:** 0001724826

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23325
- **FILM NUMBER:** 251200606

**BUSINESS ADDRESS:**
- **STREET 1:** C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
- **STREET 2:** 383 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179
- **BUSINESS PHONE:** 212-270-6000

**MAIL ADDRESS:**
- **STREET 1:** C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
- **STREET 2:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 23Wall Trust
- **DATE OF NAME CHANGE:** 20171208

## Series and Classes Contracts Data

### Six Circles Multi-Strategy Fund (Series ID: S000086732)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000252360 | Six Circles Multi-Strategy Fund |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SIX CIRCLES TRUST

- **b. Investment Company Act file number:** 811-23325

- **c. CIK number of Registrant:** 0001724826

- **d. LEI of Registrant:** 549300NG19QZK8S0N704

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

  - **Street Address 1:** 383 Madison Ave

  - **City:** NY

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10179

  - **Telephone number:** 212-464-2070

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

- **a. Name of Series:** Six Circles Multi-Strategy Fund

- **b. EDGAR series identifier (if any):** S000086732

- **c. LEI of Series:** 529900QNBN6C170S4A54

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

- **a. Date of fiscal year-end:** 2025-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1747028904.29

**Total Liabilities:** $775322305.66

**Net Assets:** $971706598.63

**Amount of Assets Invested in Other Investment Companies:** $35257000.00

**Cash Not Reported:** $63141243.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 186.64916500 | **1-Year:** 11795.69508000 | **5-Year:** 119323.20803000 | **10-Year:** 79235.25126000 | **30-Year:** 1072.75646700

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

- **3-Month:** 65.04657300 | **1-Year:** 4645.55204000 | **5-Year:** 24414.13881100 | **10-Year:** 3565.28549600 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000252360 | -1.31%               | 1.02%                | 1.91%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-987955.44              | $-1986894.44                               |
| Month 2  | $-785504.20              | $144507.59                                 |
| Month 3  | $1065934.15              | $6217404.85                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                               | Title                                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ORO USD 10Y C 3.67000 L 08/29/25 BOA               | ORO USD 10Y C 3.67000 L 08/29/25 BOA 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3700000 | NC      | $-44210.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L APPLIED SYSTEM 0% 02/24/31                     | T/L APPLIED SYSTEMS INC REGD 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3176480 | PA      | $3188392.26   | 0.33%             | 2031-02-24      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| T/L DELTA 2 (L 00.00% 09/10/31                     | T/L DELTA 2 (LUX) SARL 0.00000000                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | LU        |     16782 | PA      | $16785.89     | 0.00%             | 2031-09-10      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L COMPASS POWER 0% 04/14/29                      | T/L COMPASS POWER GENERATION   L L C REGD 0.00000000                                             | CUSIP: 20451VAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    197519 | PA      | $198259.44    | 0.02%             | 2029-04-14      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| F/C GASOLINE RBOB FUT AUG25                        | FUTURE CONTRACT ON           GASOLINE RBOB FUT AUG25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        32 | NC      | $2784902.40   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L ORION US FINC ZCP 05/20/33                     | T/L ORION US FINCO REGD ZCP TERM LOAN 0.00000000                                                 | CUSIP: 68631KAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    230000 | PA      | $230384.10    | 0.02%             | 2033-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L KASEYA INC 0.00% 03/06/32/                     | T/L KASEYA INC 0.00000000                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    653362 | PA      | $655610.07    | 0.07%             | 2032-03-06      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49                       | CASH COLLATERAL USD            CCBOSXUS1 4.23000000                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    298000 | PA      | $298000.00    | 0.03%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| F/C US ULTRA BOND CBT SEP25                        | FUTURE CONTRACT ON           US ULTRA BOND CBT SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -28 | NC      | $-3335500.00  | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| LEVEL 3 FINANC 4.875% 06/15/29                     | LEVEL 3 FINANCING INC REGD P/P 4.87500000                                                        | CUSIP: 527298CB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $275456.25    | 0.03%             | 2029-06-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| T/L IRB HOLDING CO 0% 12/15/27                     | T/L IRB HOLDING CORPORATION    REGD 0.00000000                                                   | CUSIP: 44988LAL1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1606075 | PA      | $1605512.87   | 0.17%             | 2027-12-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| T/L VOYAGER PARENT 0% 05/09/32                     | T/L VOYAGER PARENT LLC         REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    530000 | PA      | $523963.30    | 0.05%             | 2032-05-09      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L RFS OPCO 0% 04/04/2031                         | T/L RFS OPCO LLC REGD 0.00000000                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    130000 | PA      | $129350.00    | 0.01%             | 2031-04-04      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| F/C DOLLAR INDEX      SEP25                        | FUTURE CONTRACT ON           DOLLAR INDEX      SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |       -14 | NC      | $-1350902.00  | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| CRVNA 2024-N3 C 4.9% 03/10/28                      | CARVANA AUTO RECEIVABLES TRUST 2024-N3 SER 2024-N3 CL C REGD 144A P/P 4.90000000                 | CUSIP: 14687WAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    240000 | PA      | $240631.13    | 0.02%             | 2030-12-10      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| T/L MADISON SAF 0.00% 09/26/31                     | T/L MADISON SAFETY & FLOW LLC  0% 0.00000000                                                     | CUSIP: 55822DAM3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    213089 | PA      | $213355.80    | 0.02%             | 2031-09-26      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                | GBP/USD FWD 20250717 000000010 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-37652.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BR GLOB EQ MARK NEUTRAL F-K                        | BLACKROCK GLOBAL EQUITYMARKET NEUTRAL FUND CL K 0.00000000                                       | CUSIP: 09258N703<br>LEI: N/A                  | Long             | EC               | RF                | US        |   2948494 | NS      | $43254405.31  | 4.45%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L CROWN FINANC 0% 12/02/31                       | T/L CROWN FINANCE US  INC      REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1180072 | PA      | $1178597.40   | 0.12%             | 2031-12-02      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATION 7.25% 06/15/30                     | HUB INTERNATIONAL LTD REGD 144A P/P 7.25000000                                                   | CUSIP: 44332PAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $308162.95    | 0.03%             | 2030-06-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                | CAD/USD FWD 20250717 000000010 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-490.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L CITADEL SE 00.00% 10/31/31                     | T/L CITADEL SECURITIES LP 0.00000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    194100 | PA      | $194804.39    | 0.02%             | 2031-10-31      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| T/L ONTARIO GAMIN 0%  08/01/30                     | T/L ONTARIO GAMING GTA LIMITED PARTNERSHIP REGD TERM LOAN 0.00000000                             | CUSIP: C6907UAB7<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    728217 | PA      | $720250.00    | 0.07%             | 2030-08-01      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| F/C US LONG BOND(CBT) SEP25                        | FUTURE CONTRACT ON           US LONG BOND(CBT) SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -335 | NC      | $-38682031.25 | -3.98%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L ASSETMARK FIN 0% 09/05/31                      | T/L ASSETMARK FINANCIAL        HOLDINGS INC REGD 0.00000000                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    641825 | PA      | $642627.16    | 0.07%             | 2031-09-05      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| T/L GEN II FUND 0% 11/26/31                        | T/L GEN II FUND SERVICES  LLC  REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    324188 | PA      | $324187.50    | 0.03%             | 2031-11-26      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| T/L ADVISOR GROUP ZCP 08/17/28                     | T/L OSAIC HOLDINGS INC 0.00000000                                                                | CUSIP: 00775KAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    842564 | PA      | $843861.94    | 0.09%             | 2028-08-17      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5.5% AUG 25                          | FNMA 30YR TBA 5.5% AUG 25      TO BE ANNOUNCED 5.50000000                                        | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25000000 | PA      | $24976873.50  | 2.57%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2021-3 NI 2.5% 02/25/51                        | FANNIE MAE REMICS SER 2021-3 CL NI 2.50000000                                                    | CUSIP: 3136BDQ84<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    645789 | PA      | $95433.64     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| C/O OTC ECAL FN 6.0 8-55 101                       | CALL OPTION ON 100SHS          OTC ECAL FN 6.0 8-55 101 13+   BOA 0.00000000                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        |  -2500000 | NC      | $-10067.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L ECI MACOLA 00.00% 05/09/30                     | T/L ECI MACOLA/MAX HOLDING     LLC 0.00000000                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    317141 | PA      | $318530.44    | 0.03%             | 2030-05-09      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| F/C WTI CRUDE FUTURE  SEP25                        | FUTURE CONTRACT ON           WTI CRUDE FUTURE  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        23 | NC      | $1468550.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L LIFEPOINT HEA ZCP 05/17/31                     | T/L LIFEPOINT HEALTH INC REGD ZCP TERM LOAN 0.00000000                                           | CUSIP: 75915TAK8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1009975 | PA      | $998137.96    | 0.10%             | 2031-05-17      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| T/L MERMAID 0% 07/03/2031                          | T/L MERMAID BIDCO INC          (DATASITE) REGD 0.00000000                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    456550 | PA      | $456550.00    | 0.05%             | 2031-07-03      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| F/C CAC40 10 EURO FUT JUL25                        | FUTURE CONTRACT ON           CAC40 10 EURO FUT JUL25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | FR        |        17 | NC      | $1535928.98   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C WTI CRUDE FUTURE  AUG25                        | FUTURE CONTRACT ON           WTI CRUDE FUTURE  AUG25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        37 | NC      | $2409070.00   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| CSMC 2017-RPL1 A V/R 07/25/57                      | CSMC 2017-RPL1 TRUST SER 2017-RPL1 CL A2 V/R REGD 144A P/P 2.97841000                            | CUSIP: 22945AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3300000 | PA      | $3074483.28   | 0.32%             | 2057-07-25      | Variable      | 2.98%                 | Yes           |                  2 | On Loan: No      |
| GDLP 2025-2A A 5.32% 06/20/49                      | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-2 SER 2025-2A CL A REGD 144A P/P 5.32000000       | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3700000 | PA      | $3750257.10   | 0.39%             | 2049-06-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| TALEN ENERGY S 8.625% 06/01/30                     | TALEN ENERGY SUPPLY LLC REGD 144A P/P 8.62500000                                                 | CUSIP: 87422VAK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $444508.64    | 0.05%             | 2030-06-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| F/C BP CURRENCY FUT   SEP25                        | FUTURE CONTRACT ON           BP CURRENCY FUT   SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |       235 | NC      | $20158593.75  | 2.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FNR 2024-18 IO 4% 11/25/49                         | FANNIE MAE REMICS SER 2024-18 CL IO 4.00000000                                                   | CUSIP: 3136BRLM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2630204 | PA      | $476166.29    | 0.05%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PKAIR 2024-2  5.052% 05/15/30                      | PK ALIFT LOAN FUNDING 4 LP SER 2024-2 CL A REGD 144A P/P 5.05200000                              | CUSIP: 69381EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    189978 | PA      | $189313.60    | 0.02%             | 2039-10-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| MFRA 2022-RPL1 A V/R 08/25/61                      | MFA 2022-RPL1 TRUST SER 2022-RPL1 CL A1 V/R REGD 144A P/P 3.30000000                             | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1852934 | PA      | $1742999.98   | 0.18%             | 2061-08-25      | Variable      | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FNR 2024-100 FB V/R 01/25/55                       | FANNIE MAE REMICS SER 2024-100 CL FB V/R 5.65517000                                              | CUSIP: 3136BUGF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26191914 | PA      | $26279947.40  | 2.70%             | 2055-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| T/L BOOST NEWCO B ZCP 01/31/31                     | T/L BOOST NEWCO BORROWER LLC REGD ZCP TERM LOAN 0.00000000                                       | CUSIP: 92943EAG1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    851940 | PA      | $853711.84    | 0.09%             | 2031-01-31      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| T/L ASURION LLC 0% 1/22/29                         | T/L ASURION LLC REGD 0.00000000                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1689245 | PA      | $1563869.24   | 0.16%             | 2029-01-22      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| T/L ASURION LLC 0% 09/19/2030                      | T/L ASURION LLC REGD 0.00000000                                                                  | CUSIP: 04649VBE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    523122 | PA      | $507690.11    | 0.05%             | 2030-09-19      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| T/L LUMEN TECHNO 0% 06/01/28                       | T/L LUMEN TECHNOLOGIES INC     REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    468598 | PA      | $480115.99    | 0.05%             | 2028-06-01      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| FNR 2023-2 DI 2% 05/25/51                          | FANNIE MAE REMICS SER 2023-2 CL DI 2.00000000                                                    | CUSIP: 3136BPUZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  87382009 | PA      | $11488130.20  | 1.18%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 5426 BI V/R 04/15/49                           | FREDDIE MAC REMICS SER 5426 CL BI V/R 1.59682800                                                 | CUSIP: 3137HCXX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  36529012 | PA      | $1443071.31   | 0.15%             | 2049-04-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| T/L THE EDELMAN 0% 04/07/28/                       | T/L THE EDELMAN FINANCIAL      ENGINES CENTER LLC REGD 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1178150 | PA      | $1178644.82   | 0.12%             | 2028-04-07      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 08/14/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797PN1<br>LEI: N/A                  | Long             | STIV             | UST               | US        | 134000000 | PA      | $133293790.50 | 13.72%            | 2025-08-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| F/C CAN 10YR BOND FUT SEP25                        | FUTURE CONTRACT ON           CAN 10YR BOND FUT SEP25 /CAD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | CA        |        20 | NC      | $1791812.01   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L TWITTER INC 0.00% 10/27/29                     | T/L TWITTER INC 0.00000000                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1324181 | PA      | $1292321.39   | 0.13%             | 2029-10-27      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| F/C CANOLA FUTR (WCE) NOV25                        | FUTURE CONTRACT ON           CANOLA FUTR (WCE) NOV25 /CAD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | CA        |        68 | NC      | $708787.96    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| C/O OTC ECAL FN 5.0 8-55 97                        | CALL OPTION ON 100SHS          OTC ECAL FN 5.0 8-55 97 20+    SAL 0.00000000                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        |   2600000 | NC      | $20301.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C US 10YR NOTE (CBT)SEP25                        | FUTURE CONTRACT ON           US 10YR NOTE (CBT)SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       113 | NC      | $12670125.00  | 1.30%             |  |  |  | No            |                  1 | On Loan: No      |
| CRVNA 2024-N3  4.53% 12/10/26                      | CARVANA AUTO RECEIVABLES TRUST 2024-N3 SER 2024-N3 CL A3 REGD 144A P/P 4.53000000                | CUSIP: 14687WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    240000 | PA      | $239961.79    | 0.02%             | 2029-01-10      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#FS8777 6% 11/01/53                          | FANNIE MAE POOL UMBS P#FS8777 6.00000000                                                         | CUSIP: 3140XQXF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1288289 | PA      | $1321063.35   | 0.14%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T/L IRIDIUM COMMU 0% 09/20/30                      | T/L IRIDIUM COMMUNICATIONS INC REGD 0.00000000                                                   | CUSIP: 46269KAT1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    430508 | PA      | $430740.13    | 0.04%             | 2030-09-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| T/L CAESARS ENT 0% 02/06/2030                      | T/L CAESARS ENTERTAINMENT INC  REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    557748 | PA      | $556632.44    | 0.06%             | 2030-02-06      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 3.33000 L  10/08/25 BOA               | ORO USD 7Y C 3.33000 L  10/08/25 BOA 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3300000 | NC      | $-25880.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#SD8398 7% 01/01/54                          | FREDDIE MAC POOL UMBS P#SD8398 7.00000000                                                        | CUSIP: 3132DWKK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    382859 | PA      | $403502.92    | 0.04%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T/L HUSKY INJECT 0% 02/15/29                       | T/L HUSKY INJECTION MOLDING    SYSTEMS LTDREGD 0.00000000                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    865718 | PA      | $867415.18    | 0.09%             | 2029-02-15      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP V/R /PERP/                             | VISTRA CORP REGD V/R /PERP/ 144A P/P 8.00000000                                                  | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133152.24    | 0.01%             | 2174-04-15      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| T/L TRANSDIGM INC 0% 08/24/28                      | T/L TRANSDIGM INC.REGD 0.00000000                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    854219 | PA      | $856961.36    | 0.09%             | 2028-08-24      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| UMBS P#BX0410 5% 11/01/52                          | FANNIE MAE POOL UMBS P#BX0410 5.00000000                                                         | CUSIP: 3140N4N45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1831125 | PA      | $1797206.77   | 0.18%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| F/C EURO-SCHATZ FUT   SEP25                        | FUTURE CONTRACT ON           EURO-SCHATZ FUT   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |      -227 | NC      | $-28678075.75 | -2.95%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS P#BZ2933 5.03% 11/01/32                       | FANNIE MAE POOL UMBS P#BZ2933 5.03000000                                                         | CUSIP: 3140NXHK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4849000 | PA      | $4970450.33   | 0.51%             | 2032-11-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES1 A V/R 01/25/60                      | EFMT 2025-CES1 SER 2025-CES1 CL A1A V/R REGD 144A P/P 5.72600000                                 | CUSIP: 26846VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3731409 | PA      | $3763013.17   | 0.39%             | 2060-01-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| BCC 2021-3A AR V/R 07/24/34                        | BAIN CAPITAL CREDIT CLO 2021-3 LTD SER 2021-3A CL AR V/R REGD 144A P/P 5.33518000                | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1491936.00   | 0.15%             | 2034-07-24      | Variable      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| PRET 2025-RPL1 A V/R 07/25/69                      | PRET 2025-RPL1 TRUST SER 2025-RPL1 CL A1 V/R REGD 144A P/P 4.00000000                            | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    954251 | PA      | $923280.08    | 0.10%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA2 30YR TBA 5.5% JUL 25                         | GNMA2 30YR TBA 5.5% JUL 25     TO BE ANNOUNCED 5.50000000                                        | CUSIP: 21H052678<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1001006.70   | 0.10%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T/L GRAY TELEVISI 0% 12/01/28                      | T/L GRAY TELEVISION INC. REGD 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    337229 | PA      | $325732.90    | 0.03%             | 2028-12-01      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L TOWNSQUARE 0% 01/17/2031                       | T/L TOWNSQUARE MEDIA LLC REGD 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    362719 | PA      | $322819.69    | 0.03%             | 2031-01-17      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| T/L MRP BUYER LLC 0% 05/24/32                      | T/L MRP BUYER LLC REGD ZCP     TERM LOAN 0.00000000                                              | CUSIP: 55351DAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    372581 | PA      | $366760.94    | 0.04%             | 2032-05-24      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6.5% AUG 25                          | FNMA 30YR TBA 6.5% AUG 25      TO BE ANNOUNCED 6.50000000                                        | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  85200000 | PA      | $87818121.88  | 9.04%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| P/O OTC EPUT FN 5.0 7-55 95                        | PUT OPTION ON 100SHS           OTC EPUT FN 5.0 7-55 95 11+    BOA 0.00000000                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        |   6000000 | NC      | $14.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C NY HARB ULSD FUT  AUG25                        | FUTURE CONTRACT ON           NY HARB ULSD FUT  AUG25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        29 | NC      | $2772533.40   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L QUIKRETE HOL 0% 02/10/32                       | T/L QUIKRETE HOLDINGS INC      REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2130694 | PA      | $2126965.67   | 0.22%             | 2032-02-10      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL2 A V/R 01/25/55                      | VCAT 2025 NPL2 LLC SER 2025-NPL2 CL A1 V/R REGD 144A P/P 5.97700000                              | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5716577 | PA      | $5727610.88   | 0.59%             | 2055-01-25      | Variable      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% JUL 25                          | FNMA 30YR TBA 4.5% JUL 25      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F042673<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2000000 | PA      | $-1912434.64  | -0.20%            | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLD 9.125% 01/31/30                     | HIGHTOWER HOLDING LLC REGD 144A P/P 9.12500000                                                   | CUSIP: 43118DAB6<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |    665000 | PA      | $705190.77    | 0.07%             | 2030-01-31      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                | EUR/USD FWD 20250702 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-72014.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L CELSIUS HOLD 0% 03/21/32                       | T/L CELSIUS HOLDINGS INC       REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    620000 | PA      | $622945.00    | 0.06%             | 2032-03-21      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| T/L ICON PARENT 0% 11/13/31                        | T/L ICON PARENT INC   REGD 0.00000000                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1190000 | PA      | $1190975.80   | 0.12%             | 2031-11-13      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| T/L CORNERSTONE 0% 10/28/31                        | T/L CORNERSTONE GENERATION     LLC  REGD 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1385000 | PA      | $1391343.30   | 0.14%             | 2031-10-28      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QG7319 5% 07/01/53                          | FREDDIE MAC POOL UMBS P#QG7319 5.00000000                                                        | CUSIP: 3133C8DY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1714736 | PA      | $1684498.55   | 0.17%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  JUN26                        | FUTURE CONTRACT ON           3 MONTH SOFR FUT  JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        75 | NC      | $18153750.00  | 1.87%             |  |  |  | No            |                  1 | On Loan: No      |
| NAVIENT CORP 9.375% 07/25/30                       | NAVIENT CORP REGD 9.37500000                                                                     | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    400000 | PA      | $441235.60    | 0.05%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 A V/R 01/25/60                      | CSMC 2021-RPL3 TRUST SER 2021-RPL3 CL A1 V/R REGD 144A P/P 2.00000000                            | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1120922 | PA      | $988347.31    | 0.10%             | 2060-01-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FNS 427 C21 2% 03/25/50                            | FANNIE MAE INTEREST STRIP SER 427 CL C21 2.00000000                                              | CUSIP: 31423XMX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1492266 | PA      | $192406.88    | 0.02%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 2.75000 L 07/07/25 BRC                | ORO USD 7Y C 2.75000 L 07/07/25 BRC 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3000000 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L EG FINCO 0% 02/07/2028/                        | T/L EG FINCO LIMITED REGD 0.00000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |    894971 | PA      | $897843.77    | 0.09%             | 2028-02-07      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| T/L ALBION FINA 0.00% 08/16/29                     | T/L ALBION FINANCING 3 SARL 0.00000000                                                           | CUSIP: 00847NAE6<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   1177467 | PA      | $1178208.34   | 0.12%             | 2029-08-16      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| T/L LORE FINC0     0% 01/31/30                     | T/L LORE FINCO LUXEMBOURG 0.00000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | LU        |    643388 | PA      | $644995.97    | 0.07%             | 2030-01-31      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| DYE & DURHAM L 8.625% 04/15/29                     | DYE & DURHAM LIMITED REGD 144A P/P 8.62500000                                                    | CUSIP: 267486AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    230000 | PA      | $240771.13    | 0.02%             | 2029-04-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                | TRS FI USD REC IBXXLLTR 03/20/26 /LONG/                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $6099.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#BZ2383 5.08% 10/01/32                       | FANNIE MAE POOL UMBS P#BZ2383 5.08000000                                                         | CUSIP: 3140NWUH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    355300 | PA      | $365346.82    | 0.04%             | 2032-10-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| GNR 2021-H05 AF V/R 03/20/71                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-H05 CL AF V/R 5.80185000                       | CUSIP: 38380QB84<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    990024 | PA      | $1010867.86   | 0.10%             | 2071-03-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHR 5274 IO 2.5% 01/25/51                          | FREDDIE MAC REMICS SER 5274 CL IO 2.50000000                                                     | CUSIP: 3137H9F46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    594704 | PA      | $100534.13    | 0.01%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| C/O OTC ECAL FN 5.0 8-55 97 12                     | CALL OPTION ON 100SHS          OTC ECAL FN 5.0 8-55 97 12 SAL 0.00000000                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        | -12000000 | NC      | $-114810.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMMC 2021-24A AR V/R 01/20/35                      | AMMC CLO 24 LTD SER 2021-24A CL AR V/R REGD 144A P/P 5.46947000                                  | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $3197167.68   | 0.33%             | 2035-01-20      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| T/L WATERBRIDGE M 0% 05/10/29                      | T/L WATERBRIDGE MIDSTREAM      OPERATING LLC REGD TERM LOAN 0.00000000                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    272938 | PA      | $271856.67    | 0.03%             | 2029-05-10      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| F/C COFF ROBUSTA 10TN SEP25                        | FUTURE CONTRACT ON             COFF ROBUSTA 10TN SEP25 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |       -10 | NC      | $-362000.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L AAL DELAWARE 0% 07/30/31                       | T/L AAL DELAWARE HOLDCO INC    REGD 0.00000000                                                   | CUSIP: 00036YAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    283090 | PA      | $282914.70    | 0.03%             | 2031-07-30      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| T/L EPIC CRUDE SER 0% 10/15/31                     | T/L EPIC CRUDE SERVICES LP 0% 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    867825 | PA      | $869812.32    | 0.09%             | 2031-10-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| T/L FRONTIER COMM  0% 07/01/31                     | T/L FRONTIER COMMUNICATIONS 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    822938 | PA      | $821908.83    | 0.08%             | 2031-07-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| F/C MSCI EMGMKT       SEP25                        | FUTURE CONTRACT ON           MSCI EMGMKT       SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |       370 | NC      | $22819750.00  | 2.35%             |  |  |  | No            |                  1 | On Loan: No      |
| US T BILL ZCP 10/16/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797QF7<br>LEI: N/A                  | Long             | STIV             | UST               | US        |  17000000 | PA      | $16788263.30  | 1.73%             | 2025-10-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L WATLOW ELECTRIC 0% 3/2/28                      | T/L WATLOW ELECTRIC            MANUFACTURING COMPANY REGD 0.00000000                             | CUSIP: 94254PAC4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    284581 | PA      | $285207.30    | 0.03%             | 2028-03-02      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0200 3% 02/20/55                       | GINNIE MAE II POOL P#MB0200 3.00000000                                                           | CUSIP: 3618N5GJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29389 | PA      | $25988.85     | 0.00%             | 2055-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 5013 IN 2.5% 09/25/50                          | FREDDIE MAC REMICS SER 5013 CL IN 2.50000000                                                     | CUSIP: 3137FW3E8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74776 | PA      | $12655.36     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS 0% 02/14/31                        | ASSUREDPARTNERS INC            ZCP REGD TERM LOAN 0.00000000                                     | CUSIP: 04621HAW3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4539985 | PA      | $4550517.92   | 0.47%             | 2031-02-14      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| FNCL 30YR TBA 3.5% AUG 25                          | FNCL 30YR TBA 3.5% AUG 25      TO BE ANNOUNCED 3.50000000                                        | CUSIP: 01F032682<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $6302725.94   | 0.65%             | 2055-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| P/O OTC EPUT FN 6.0 7-55 70                        | PUT OPTION ON 100SHS           OTC EPUT FN 6.0 7-55 70 SAL 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        |  30000000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C SPI 200 FUTURES   SEP25                        | FUTURE CONTRACT ON           SPI 200 FUTURES   SEP25 /AUD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |        66 | NC      | $9270733.33   | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L DELIVERY HERO 0% 12/12/29                      | T/L DELIVERY HERO SE REGD 0.00000000                                                             | CUSIP: D2007ZAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    249369 | PA      | $251084.35    | 0.03%             | 2029-12-12      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| F/C MSCI EAFE         SEP25                        | FUTURE CONTRACT ON           MSCI EAFE         SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |       210 | NC      | $28157850.00  | 2.90%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                | TRS FI USD REC IBXXLLTR 09/20/25 /LONG/                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $28385.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#FS9994 6.5% 11/01/54                        | FANNIE MAE POOL UMBS P#FS9994 6.50000000                                                         | CUSIP: 3140XSC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    209834 | PA      | $217690.55    | 0.02%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX0550 6% 12/01/54                          | FREDDIE MAC POOL UMBS P#QX0550 6.00000000                                                        | CUSIP: 31425UTG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34232 | PA      | $35517.01     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L 09/30/25 FAR                | ORO USD 7Y P 5.00000 L 09/30/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  52000000 | NC      | $2995.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C COCOA FUTURE - IC DEC25                        | FUTURE CONTRACT ON           COCOA FUTURE - IC DEC25 /GBP/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        -3 | NC      | $-233405.40   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS P#DC0250 6.5% 08/01/54                        | FANNIE MAE POOL UMBS P#DC0250 6.50000000                                                         | CUSIP: 3140AMH46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50903 | PA      | $52698.08     | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LYRA 2024-2A A 5.76% 12/20/29                      | LYRA MUSIC ASSETS DELAWARE LP SER 2024-2A CL A2 REGD 144A P/P 5.76000000                         | CUSIP: 552339AA1<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-CBDO         | CORP              | US        |   3095557 | PA      | $3105705.94   | 0.32%             | 2064-12-22      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| T/L CROWN FINA 00.00% 12/02/31                     | T/L CROWN FINANCE US INC 0.00000000                                                              | CUSIP: 22834KAV3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    215000 | PA      | $214731.25    | 0.02%             | 2031-12-02      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| PAID 2024-10  5.992% 11/15/26                      | PAGAYA AI DEBT GRANTOR TRUST 2024-10 SER 2024-10 CL C REGD 144A P/P 5.99200000                   | CUSIP: 69544MAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1599864 | PA      | $1602878.91   | 0.16%             | 2032-06-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| CMLTI 2006-FX1 A V/R 10/25/36                      | CITIGROUP MORTGAGE LOAN TRUST 2006-FX1 SER 2006-FX1 CL A3 V/R REGD 5.03368000                    | CUSIP: 17309YAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2889521 | PA      | $1689789.73   | 0.17%             | 2036-10-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FAHB 2024-HB1 A1 V/R 01/25/26                      | FINANCE OF AMERICA HECM BUYOUT 2024-HB1 SER 2024-HB1 CL A1A V/R REGD 144A P/P 4.00000000         | CUSIP: 31737DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    234009 | PA      | $232380.95    | 0.02%             | 2034-10-01      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| T/L POLARIS 0% 06/02/28 /EUR/                      | T/L POLARIS NEWCO LLC REGD     /EUR/ 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    687060 | PA      | $770208.06    | 0.08%             | 2028-06-02      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH  11% 10/15/30                     | LIFEPOINT HEALTH INC REGD 144A P/P 11.00000000                                                   | CUSIP: 53219LAW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1141449.75   | 0.12%             | 2030-10-15      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| OBX 2025-NQM4 A1 V/R 02/25/55                      | OBX 2025-NQM4 TRUST SER 2025-NQM4 CL A1 V/R REGD 144A P/P 5.40000000                             | CUSIP: 67120QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4392249 | PA      | $4393446.40   | 0.45%             | 2055-02-25      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| T/L MADISON IAQ LL 0% 03/26/32                     | T/L MADISON IAQ LLC REGD 0.00000000                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    395000 | PA      | $395833.45    | 0.04%             | 2032-03-26      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 3.0% JUL12                           | FNMA 30YR TBA 3.0% JUL12       TO BE ANNOUNCED 3.00000000                                        | CUSIP: 01F030678<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -7700000 | PA      | $-6658307.27  | -0.69%            | 2044-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T/L S2P ACQUISITIO 0% 12/06/32                     | T/L S2P ACQUISITION BORROWER   INC 2ND LIEN 0% 0.00000000                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    640000 | PA      | $632000.00    | 0.07%             | 2032-12-06      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| T/L BLACKSTONE 00.00% 12/10/30                     | T/L BLACKSTONE MORTGAGE TRUST 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    430000 | PA      | $430270.90    | 0.04%             | 2030-12-10      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L ATHENAHEAL 0% 02/15/29                         | T/L ATHENAHEALTH INC REGD 0.00000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1453518 | PA      | $1451250.74   | 0.15%             | 2029-02-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| F/C MSCI SING IX ETS  JUL25                        | FUTURE CONTRACT ON           MSCI SING IX ETS  JUL25 /SGD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |       151 | NC      | $4883896.97   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| FNR 2022-78 FC V/R 11/25/52                        | FANNIE MAE REMICS SER 2022-78 CL FC V/R 5.55517000                                               | CUSIP: 3136BPHH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2443753 | PA      | $2422158.33   | 0.25%             | 2052-11-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHR 5070 CI 2% 02/25/51                            | FREDDIE MAC REMICS SER 5070 CL CI 2.00000000                                                     | CUSIP: 3137F9WE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  68251221 | PA      | $9290103.63   | 0.96%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T/L DELTA 2 (LUX) 0% 09/30/31                      | T/L DELTA 2 (LUX) SARL REGD 0.00000000                                                           | CUSIP: L2465BAW6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    518218 | PA      | $518347.82    | 0.05%             | 2031-09-30      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| F/C NEW ZEALAND $ FUT SEP25                        | FUTURE CONTRACT ON           NEW ZEALAND $ FUT SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |       123 | NC      | $7515915.00   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| AG TTMT ESCROW 8.625% 09/30/27                     | AG TTMT ESCROW ISSUER REGD 144A P/P 8.62500000                                                   | CUSIP: 00840KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $207083.80    | 0.02%             | 2027-09-30      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| LEVEL 3 FINANC 10.75% 12/15/30                     | LEVEL 3 FINANCING INC REGD 144A P/P 10.75000000                                                  | CUSIP: 527298BZ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $300775.00    | 0.03%             | 2030-12-15      | Fixed         | 10.75%                | Yes           |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG  V/R /PERP/                     | VENTURE GLOBAL LNG INC REGD V/R /PERP/ 144A P/P 9.00000000                                       | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    475000 | PA      | $462158.28    | 0.05%             | 2174-03-30      | Variable      | 9.00%                 | Yes           |                  2 | On Loan: No      |
| ORO USD 7Y C 3.15000 L 06/30/25 FAR                | ORO USD 7Y C 3.15000 L 06/30/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3000000 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L US RENAL 0% 06/20/2028                         | T/L US RENAL REGD 0.00000000                                                                     | CUSIP: 90290PAS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    463348 | PA      | $437285.10    | 0.05%             | 2028-06-20      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| T/L TRANSDIGM INC 0% 01/19/32                      | T/L TRANSDIGM INC REGD 0.00000000                                                                | CUSIP: 89364MCD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    317849 | PA      | $318275.29    | 0.03%             | 2032-01-19      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| F/C OMXS30 IND FUTURE JUL25                        | FUTURE CONTRACT ON           OMXS30 IND FUTURE JUL25 /SEK/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SE        |         6 | NC      | $158103.35    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GNR 2022-H11 FE V/R 05/20/72                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-H11 CL FE V/R 5.08185000                       | CUSIP: 38382YTR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    890127 | PA      | $885139.50    | 0.09%             | 2072-05-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| T/L INNIO GROUP 0% 11/02/28                        | T/L INNIO GROUP HOLDING GMBH   REGD 0.00000000                                                   | CUSIP: A2838LAG1<br>LEI: N/A                  | Long             | LON              | CORP              | AT        |    168905 | PA      | $169116.01    | 0.02%             | 2028-11-02      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7195 6% 07/01/54                          | FREDDIE MAC POOL UMBS P#SD7195 6.00000000                                                        | CUSIP: 3132DU7G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5745498 | PA      | $5882133.23   | 0.61%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| G2SF  30 YR TBA 4.0% JUL 25                        | G2SF  30 YR TBA 4.0% JUL 25  TO BE ANNOUNCED 4.00000000                                          | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13350000 | PA      | $12409763.64  | 1.28%             | 2055-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4 A1 V/R 06/25/28                        | PRPM 2025-4 LLC SER 2025-4 CL A1 V/R REGD 144A P/P 6.17900000                                    | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3700000 | PA      | $3725720.92   | 0.38%             | 2030-06-25      | Variable      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| T/L CHOBANI LLC 0% 10/25/27                        | T/L CHOBANI LLC 0.00000000                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    750345 | PA      | $752063.74    | 0.08%             | 2027-10-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| F/C US 2YR NOTE (CBT) SEP25                        | FUTURE CONTRACT ON           US 2YR NOTE (CBT) SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -13 | NC      | $-2704304.69  | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L WAYSTAR TECH 0% 10/22/29                       | T/L WAYSTAR TECHNOLOGIES INC   REGD 0.00000000                                                   | CUSIP: 63939WAM5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    550690 | PA      | $551725.19    | 0.06%             | 2029-10-22      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| GWOLF 2020-3RA A V/R 04/22/33                      | GREYWOLF CLO III LTD SER 2020-3RA CL A2R2 V/R REGD 144A P/P 6.12238000                           | CUSIP: 39809CBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500289.75    | 0.05%             | 2033-04-22      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#QJ0118 6% 07/01/54                          | FREDDIE MAC POOL UMBS P#QJ0118 6.00000000                                                        | CUSIP: 3133CQDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31492 | PA      | $32130.07     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRVD 2A ARR V/R 10/15/38 /EUR/                     | PROVIDUS CLO II DAC SER 2A CL ARR V/R REGD 144A P/P /EUR/ 3.43900000                             | CUSIP: G7164GBM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $294343.05    | 0.03%             | 2038-10-15      | Variable      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| T/L PLAYTIKA HOLDING 0% 3/13/28                    | T/L PLAYTIKA HOLDING CORP REGD 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    129093 | PA      | $126729.32    | 0.01%             | 2028-03-13      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNR 2024-67 FA V/R 09/25/54                        | FANNIE MAE REMICS SER 2024-67 CL FA V/R 5.47517000                                               | CUSIP: 3136BSPM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12718762 | PA      | $12663515.86  | 1.30%             | 2054-09-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| F/C COTTON NO.2 FUTR  DEC25                        | FUTURE CONTRACT ON           COTTON NO.2 FUTR  DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |       -49 | NC      | $-1669185.00  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| NGL ENRGY OP/F 8.125% 02/15/29                     | NGL ENRGY OP/FIN CORP REGD 144A P/P 8.12500000                                                   | CUSIP: 62922LAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $156591.85    | 0.02%             | 2029-02-15      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| GNR 2025-105 WF V/R 06/20/55                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2025-105 CL WF V/R 5.30385000                       | CUSIP: 38381NKM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2999987.10   | 0.31%             | 2055-06-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| T/L RADIOLOGY PA 0% 01/31/2029                     | T/L RADIOLOGY PARTNERS INC.    REGD 0.00000000                                                   | CUSIP: 75041EAJ1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    751542 | PA      | $750083.54    | 0.08%             | 2029-01-31      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHMS Q034 APT2 V/R 09/25/32                        | MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-Q034 SER Q034 CL APT2 V/R 2.86224000                | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1100000 | PA      | $1060262.50   | 0.11%             | 2054-07-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| FNR 2020-89 IG 3% 12/25/50                         | FANNIE MAE REMICS SER 2020-89 CL IG 3.00000000                                                   | CUSIP: 3136BC5C0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8936457 | PA      | $1592741.08   | 0.16%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% AUG 25                          | FNMA 30YR TBA 4.5% AUG 25      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22000000 | PA      | $21029906.04  | 2.16%             | 2055-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| C/O OTC ECAL FN 5.0 8-55                           | CALL OPTION ON 100SHS          OTC ECAL FN 5.0 8-55 96 31+    BOA 0.00000000                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        | -12000000 | NC      | $-149278.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C NATURAL GAS FUTR  AUG25                        | FUTURE CONTRACT ON           NATURAL GAS FUTR  AUG25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |      -203 | NC      | $-7015680.00  | -0.72%            |  |  |  | No            |                  1 | On Loan: No      |
| EFMT 2024-CES1 A V/R 01/26/60                      | EFMT 2024-CES1 SER 2024-CES1 CL A1 V/R REGD 144A P/P 5.52200000                                  | CUSIP: 281907AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5881690 | PA      | $5915236.53   | 0.61%             | 2060-01-26      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| T/L QXO INC ZCP 04/23/32                           | T/L QXO INC REGD ZCP TERM LOAN 0.00000000                                                        | CUSIP: 07368RAJ0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    111444 | PA      | $112108.65    | 0.01%             | 2032-04-23      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| G2SF 30YR TBA 6.5% AUG 25                          | G2SF 30YR TBA 6.5% AUG 25      TO BE ANNOUNCED 6.50000000                                        | CUSIP: 21H062685<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5122448.70   | 0.53%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T/L KREF HOLDI 0% 02/25/32                         | T/L KREF HOLDINGS X LLC REGD 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    320000 | PA      | $321600.00    | 0.03%             | 2032-02-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| F/C KC HRW WHEAT FUT  SEP25                        | FUTURE CONTRACT ON           KC HRW WHEAT FUT  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |      -181 | NC      | $-4767087.50  | -0.49%            |  |  |  | No            |                  1 | On Loan: No      |
| G2SF 30YR TBA 3.0% AUG 12                          | G2ST 30YR TBA 3.0% AUG 12      TO BE ANNOUNCED 3.00000000                                        | CUSIP: 21H030682<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18220000 | PA      | $16099583.37  | 1.66%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T/L PROOFPOINT 0% 08/31/2028                       | T/L PROOFPOINT INC. REGD       TERM LOAN 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    665550 | PA      | $665623.24    | 0.07%             | 2028-08-31      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| T/L MH SUB I 0% 12/31/31                           | T/L MH SUB I LLC   REGD 0.00000000                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    717010 | PA      | $621411.01    | 0.06%             | 2031-12-31      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| FHS 358 PO ZCP 10/15/47                            | FREDDIE MAC STRIPS SER 358 CL PO ZCP 0.00000000                                                  | CUSIP: 3132J0RZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1446580 | PA      | $1084844.88   | 0.11%             | 2047-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH  10% 06/01/32                     | LIFEPOINT HEALTH INC REGD 144A P/P 10.00000000                                                   | CUSIP: 53219LAX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $220786.94    | 0.02%             | 2032-06-01      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| CSC HOLDINGS L 11.25% 05/15/28                     | CSC HOLDINGS LLC REGD 144A P/P 11.25000000                                                       | CUSIP: 126307BM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    515000 | PA      | $513039.96    | 0.05%             | 2028-05-15      | Fixed         | 11.25%                | Yes           |                  2 | On Loan: No      |
| ALLIANT HOLD /  6.75% 10/15/27                     | ALLIANT HOLD / CO-ISSUER REGD 144A P/P 6.75000000                                                | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $244855.45    | 0.03%             | 2027-10-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49                       | CASH COLLATERAL USD 0.00000000                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |   -260000 | PA      | $-260000.00   | -0.03%            | 2049-12-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L BOXER PARENT 0% 07/30/31                       | T/L BOXER PARENT COMPANY INC   REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    209475 | PA      | $208021.24    | 0.02%             | 2031-07-30      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| F/C EURO-OAT FUTURE   SEP25                        | FUTURE CONTRACT ON           EURO-OAT FUTURE   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        44 | NC      | $6418602.33   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| EG GLOBAL FINANCE 12% 11/30/28                     | EG GLOBAL FINANCE PLC REGD 144A P/P 12.00000000                                                  | CUSIP: 28228PAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    640000 | PA      | $706445.96    | 0.07%             | 2028-11-30      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| GNMA 30YR TBA 5% JUL 12                            | GNMA 30YR TBA 5% JUL 12        TO BE ANNOUNCED 5.00000000                                        | CUSIP: 21H050672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $196430.02    | 0.02%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ2935 5.03% 11/01/32                       | FANNIE MAE POOL UMBS P#BZ2935 5.03000000                                                         | CUSIP: 3140NXHM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5616000 | PA      | $5756660.98   | 0.59%             | 2032-11-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FNCL 30YR TBA 4% JULY 25                           | FNCL 30YR TBA 4% JULY 25       TO BE ANNOUNCED 4.00000000                                        | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4300000 | PA      | $3997297.33   | 0.41%             | 2055-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| F/C HSCEI FUTURES     JUL25                        | FUTURE CONTRACT ON           HSCEI FUTURES     JUL25 /HKD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |        68 | NC      | $3754750.03   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C COCOA FUTURE - IC SEP25                        | FUTURE CONTRACT ON           COCOA FUTURE - IC SEP25 /GBP/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        -1 | NC      | $-81521.68    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L NOURYON FINA 0% 04/03/28                       | T/L NOURYON FINANCE B.V. REGD 0.00000000                                                         | CUSIP: N8232NAM9<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |    348001 | PA      | $349351.48    | 0.04%             | 2028-04-03      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| PRET 2022-RN2 A S/UP 06/25/52                      | PRET 2022-RN2 LLC SER 2022-RN2 CL A1 S/UP REGD 144A P/P 5.00000000                               | CUSIP: 69377NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    239586 | PA      | $239469.53    | 0.02%             | 2052-06-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| CHS/COMMUNITY 10.875% 01/15/32                     | CHS/COMMUNITY HEALTH SYS REGD 144A P/P 10.87500000                                               | CUSIP: 12543DBN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    690000 | PA      | $731431.05    | 0.08%             | 2032-01-15      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| ORO FWD USD 10Y C 4.26000 L 02/13/35 BOA           | ORO FWD USD 10Y C 4.26000 L 02/13/35 BOA 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1700000 | NC      | $98036.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L WAND NEWCO 3 0% 01/30/31                       | T/L WAND NEWCO 3 INC 0% 0.00000000                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    761246 | PA      | $757348.32    | 0.08%             | 2031-01-30      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| UMBS TBA 30YR 2% JUL 25                            | UMBS TBA 30YR 2% JUL 25        TO BE ANNOUNCED 2.00000000                                        | CUSIP: 01F020679<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4500000 | PA      | $-3560795.82  | -0.37%            | 2055-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MSAC 2005-WMC4 M V/R 04/25/35                      | MORGAN STANLEY ABS CAPITAL I INC TRUST 2005-WMC4 SER 2005-WMC4 CL M6 V/R REGD 5.48368000         | CUSIP: 61744CRF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1634415 | PA      | $1528071.12   | 0.16%             | 2035-04-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                | SEK/USD FWD 20250717 000000010 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1119.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#DC5676 6% 11/01/54                          | FANNIE MAE POOL UMBS P#DC5676 6.00000000                                                         | CUSIP: 3140ATJW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48626 | PA      | $50029.92     | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| F/C 3MO EURO EURIBOR  DEC27                        | FUTURE CONTRACT ON           3MO EURO EURIBOR  DEC27 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       304 | NC      | $87559142.39  | 9.01%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L SHIFT4 PAYMENT 0% 05/10/32                     | T/L SHIFT4 PAYMENTS LLC 0.00000000                                                               | CUSIP: 82453JAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    180000 | PA      | $181405.80    | 0.02%             | 2032-05-10      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATIO 8.125% 01/15/29                     | NCL CORPORATION LTD REGD 144A P/P 8.12500000                                                     | CUSIP: 62886HBN0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    200000 | PA      | $210824.40    | 0.02%             | 2029-01-15      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| T/L ACRISURE LLC 0% 11/06/30                       | T/L ACRISURE LLC REGD 0.00000000                                                                 | CUSIP: 00488PAV7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1216950 | PA      | $1212605.49   | 0.12%             | 2030-11-06      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| F/C FTSE CHINA A50    JUL25                        | FUTURE CONTRACT ON           FTSE CHINA A50    JUL25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |       377 | NC      | $5047276.00   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| GNR 2018-H09 FA V/R 04/20/68                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-H09 CL FA V/R 4.97740000                       | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    442058 | PA      | $448206.90    | 0.05%             | 2068-04-20      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| T/L HIGHTOWER HOL 0% 01/15/32                      | T/L HIGHTOWER HOLDING  LLC     REGD 0.00000000                                                   | CUSIP: 43117LAN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     99500 | PA      | $99168.67     | 0.01%             | 2032-01-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| ORO FWD USD 10Y P 4.26000 L 02/13/35 BOA           | ORO FWD USD 10Y P 4.26000 L 02/13/35 BOA 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1700000 | NC      | $110649.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHR 5010 JI 2.5% 09/25/50                          | FREDDIE MAC REMICS SER 5010 CL JI 2.50000000                                                     | CUSIP: 3137FVQG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    215620 | PA      | $35974.10     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| F/C AUST 3YR BOND FUT SEP25                        | FUTURE CONTRACT ON           AUST 3YR BOND FUT SEP25 /AUD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        85 | NC      | $6027329.42   | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| PRET 2022-RN1 A1 V/R 02/25/25                      | PRET 2022-RN1 LLC SER 2022-RN1 CL A1 V/R REGD 144A P/P 6.72100000                                | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    334706 | PA      | $334884.94    | 0.03%             | 2051-07-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| T/L DELTA TOPCO 0% 11/29/30                        | T/L DELTA TOPCO INC REGD 0.00000000                                                              | CUSIP: 24780DAG2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1595000 | PA      | $1597488.20   | 0.16%             | 2030-11-29      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING 10% 10/15/32                     | LEVEL 3 FINANCING INC REGD 144A P/P 10.00000000                                                  | CUSIP: 527298CK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    735000 | PA      | $742350.00    | 0.08%             | 2032-10-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| F/C SOYBEAN FUTURE    NOV25                        | FUTURE CONTRACT ON           SOYBEAN FUTURE    NOV25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |       -12 | NC      | $-616200.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CLOUD SOFTWARE  8.25% 06/30/32                     | CLOUD SOFTWARE GRP INC REGD 144A P/P 8.25000000                                                  | CUSIP: 18912UAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $404269.08    | 0.04%             | 2032-06-30      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| T/L QUALITYTECH L ZCP 11/04/31                     | T/L QUALITYTECH LP REGD ZCP TERM LOAN 0.00000000                                                 | CUSIP: 74758JAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    350000 | PA      | $350437.50    | 0.04%             | 2031-11-04      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| PAID 2024-10  5.183% 11/15/26                      | PAGAYA AI DEBT GRANTOR TRUST 2024-10 SER 2024-10 CL A REGD 144A P/P 5.18300000                   | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    688452 | PA      | $690890.59    | 0.07%             | 2032-06-15      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| RIVIAN HLD/AUTO L 10% 01/15/31                     | RIVIAN HLD/AUTO LLC REGD 144A P/P 10.00000000                                                    | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1864779.68   | 0.19%             | 2031-01-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| MANA 2007-OAR5 1 V/R 10/25/47                      | MERRILL LYNCH ALTERNATIVE NOTE ASSET TRUST SE SER 2007-OAR5 CL 1A1 V/R REGD 3.68675000           | CUSIP: 590227AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2508367 | PA      | $679158.25    | 0.07%             | 2047-10-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIER 8.5% 03/15/30                     | JONES DESLAURIERS INSURA REGD 144A P/P 8.50000000                                                | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    520000 | PA      | $551162.56    | 0.06%             | 2030-03-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| F/C NASDAQ 100 E-MINI SEP25                        | FUTURE CONTRACT ON           NASDAQ 100 E-MINI SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |        43 | NC      | $19688195.00  | 2.03%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BUXL 30Y BND SEP25                        | FUTURE CONTRACT ON           EURO-BUXL 30Y BND SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-139869.78   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L ABG INTERM 00.00% 12/21/28                     | T/L ABG INTERMEDIATE HOLDINGS  2 LLC 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    637195 | PA      | $636347.50    | 0.07%             | 2028-12-21      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| F/C TOPIX INDX FUTR   SEP25                        | FUTURE CONTRACT ON           TOPIX INDX FUTR   SEP25 /JPY/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | JP        |        27 | NC      | $5353876.60   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| FHR 5526 DI 4.5% 02/15/51                          | FREDDIE MAC REMICS SER 5526 CL DI 4.50000000                                                     | CUSIP: 3137HKWC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  42474492 | PA      | $9617681.81   | 0.99%             | 2051-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                | AUD/USD FWD 20250717 000000010 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4331.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L S2P ACQUISITIO 0% 12/05/31                     | T/L S2P ACQUISITION BORROWER   INC 0% 0.00000000                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    585000 | PA      | $587375.10    | 0.06%             | 2031-12-05      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| NRZT 2021-INV2 A V/R 08/25/43                      | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2 SER 2021-INV2 CL A11 V/R REGD 144A P/P 5.00000000  | CUSIP: 64831GAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    368292 | PA      | $344523.93    | 0.04%             | 2051-09-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| T/L IVC ACQUISITIO 0% 12/12/28                     | T/L IVC ACQUISITION LTD REGD   TERM LOAN 0.00000000                                              | CUSIP: C9600DAD5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    283077 | PA      | $284404.94    | 0.03%             | 2028-12-12      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P4  4.64% 04/10/28                      | CARVANA AUTO RECEIVABLES TRUST 2024-P4 SER 2024-P4 CL A3 REGD 4.64000000                         | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1609289.76   | 0.17%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| ELM15 2022-2A A1R 0% 04/22/35                      | ELM15 2022-2A A1R 144A TSFR3M  +115B / /P 0.00000000                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    900000 | PA      | $900000.00    | 0.09%             | 2035-04-22      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| F/C GOLD 100 OZ FUTR  AUG25                        | FUTURE CONTRACT ON           GOLD 100 OZ FUTR  AUG25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        42 | NC      | $13892340.00  | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |
| FHR 4851 PF V/R 08/15/57                           | FREDDIE MAC REMICS SER 4851 CL PF V/R 4.81833000                                                 | CUSIP: 3137FKAX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    762358 | PA      | $719001.42    | 0.07%             | 2057-08-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| T/L HUB INTERNATI ZCP 06/20/30                     | T/L HUB INTERNATIONAL LTD REGD ZCP TERM LOAN 0.00000000                                          | CUSIP: 44332EAZ9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3255397 | PA      | $3264414.55   | 0.34%             | 2030-06-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| RCKT 2024-CES7 A V/R 09/25/28                      | RCKT MORTGAGE TRUST 2024-CES7 SER 2024-CES7 CL A1A V/R REGD 144A P/P 5.15800000                  | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    101921 | PA      | $101618.58    | 0.01%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| PRET 2024-NPL8 A V/R 11/25/27                      | PRET 2024-NPL8 LLC SER 2024-NPL8 CL A1 V/R REGD 144A P/P 5.96320000                              | CUSIP: 69392DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2938381 | PA      | $2939398.44   | 0.30%             | 2054-11-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| PRPM 2024-NQM3 A V/R 08/25/69                      | PRPM 2024-NQM3 SER 2024-NQM3 CL A1 V/R REGD 144A P/P 5.22800000                                  | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    104989 | PA      | $104749.93    | 0.01%             | 2069-08-25      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  DEC25                        | FUTURE CONTRACT ON           3 MONTH SOFR FUT  DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        31 | NC      | $7465575.00   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C AUST 10Y BOND FUT SEP25                        | FUTURE CONTRACT ON           AUST 10Y BOND FUT SEP25 /AUD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        86 | NC      | $6487552.77   | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| FHR 5152 IC 3% 10/25/51                            | FREDDIE MAC REMICS SER 5152 CL IC 3.00000000                                                     | CUSIP: 3137H3BN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15561561 | PA      | $2685768.34   | 0.28%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T/L ONEDIGITAL BOR 0% 07/02/31                     | T/L ONEDIGITAL BORROWER LLC 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    550827 | PA      | $549279.24    | 0.06%             | 2031-07-02      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNS 438 C28 5% 08/25/53                            | FANNIE MAE INTEREST STRIP SER 438 CL C28 5.00000000                                              | CUSIP: 31424UWK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1996280 | PA      | $488164.76    | 0.05%             | 2053-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T/L CSC HOLDINGS 0% 04/15/27                       | T/L CSC HOLDINGS LLC REGD 0.00000000                                                             | CUSIP: 64072UAK8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    298425 | PA      | $290379.66    | 0.03%             | 2027-04-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL L 9.5% 02/01/29                     | VENTURE GLOBAL LNG INC REGD 144A P/P 9.50000000                                                  | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    195000 | PA      | $212438.67    | 0.02%             | 2029-02-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| T/L OPAL US LLC 0% 03/01/32                        | T/L OPAL US LLC REGD 0.00000000                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2345000 | PA      | $2353066.80   | 0.24%             | 2032-03-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| C/O OTC ECAL FN 6.0 8-55 101                       | CALL OPTION ON 100SHS          OTC ECAL FN 6.0 8-55 101 212   BOA 0.00000000                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        |  -2500000 | NC      | $-6725.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C RED WHEAT FUT MGE SEP25                        | FUTURE CONTRACT ON           RED WHEAT FUT MGE SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |       -10 | NC      | $-310375.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ORO USD 7Y P 3.96750 L 09/04/25 BOA                | ORO USD 7Y P 3.96750 L 09/04/25 BOA 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -13000000 | NC      | $-22322.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C IFSC NIFTY 50 FUT JUL25                        | FUTURE CONTRACT ON           IFSC NIFTY 50 FUT JUL25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IN        |       104 | NC      | $5325008.00   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L MADISON 0% 06/21/28                            | T/L MADISON IAQ LLC REGD 0.00000000                                                              | CUSIP: 55759VAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    521433 | PA      | $521569.00    | 0.05%             | 2028-06-21      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ2742 5.17% 01/01/30                       | FANNIE MAE POOL UMBS P#BZ2742 5.17000000                                                         | CUSIP: 3140NXBL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1030920.16   | 0.11%             | 2030-01-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| UMBS P#QJ7675 6% 11/01/54                          | FREDDIE MAC POOL UMBS P#QJ7675 6.00000000                                                        | CUSIP: 3133CYQ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52608 | PA      | $54122.30     | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2014-2 PO ZCP 01/25/41                         | FANNIE MAE REMICS SER 2014-2 CL PO ZCP 0.00000000                                                | CUSIP: 3136AJBJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1853264 | PA      | $1447350.54   | 0.15%             | 2041-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RALI 2007-QS1 1A V/R 01/25/37                      | RALI SERIES 2007-QS1 TRUST SER 2007-QS1 CL 1A5 V/R REGD 4.98368000                               | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2034937 | PA      | $1505312.49   | 0.15%             | 2037-01-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| RCKT 2025-CES3 A V/R 03/25/29                      | RCKT MORTGAGE TRUST 2025-CES3 SER 2025-CES3 CL A1A V/R REGD 144A P/P 5.55300000                  | CUSIP: 749420AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3166409 | PA      | $3185048.15   | 0.33%             | 2055-03-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| T/L BROWN 0% 06/08/2029                            | T/L BROWN GROUP HOLDINGS LLC   REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    623200 | PA      | $623835.66    | 0.06%             | 2029-07-02      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| T/L EXGEN RENEWAB ZCP 12/15/27                     | T/L EXGEN RENEWABLES IV LLC REGD ZCP TERM LOAN 0.00000000                                        | CUSIP: 30204KAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1197846 | PA      | $1200841.10   | 0.12%             | 2027-12-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| SEMT 2024-HYB1 A V/R 09/25/38                      | SEQUOIA MORTGAGE TRUST 2024-HYB1 SER 2024-HYB1 CL A1A V/R REGD 144A P/P 4.46595800               | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2738289 | PA      | $2765322.67   | 0.28%             | 2063-11-25      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| T/L ASCEND LEARN 0% 12/11/28/                      | T/L ASCEND LEARNING LLC REGD 0.00000000                                                          | CUSIP: 04349HAN4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    876301 | PA      | $875757.91    | 0.09%             | 2028-12-11      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| F/C MILL WHEAT EURO   SEP25                        | FUTURE CONTRACT ON           MILL WHEAT EURO   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |      -179 | NC      | $-2055817.20  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| TRNTS 2022-19A A V/R 10/20/33                      | TRINITAS CLO XIX LTD SER 2022-19A CL A1R V/R REGD 144A P/P 5.37947000                            | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3200000 | PA      | $3200112.96   | 0.33%             | 2033-10-20      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| F/C BRENT CRUDE FUTR  SEP25                        | FUTURE CONTRACT ON           BRENT CRUDE FUTR  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        34 | NC      | $2269160.00   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS P#BZ2934 5.03% 11/01/32                       | FANNIE MAE POOL UMBS P#BZ2934 5.03000000                                                         | CUSIP: 3140NXHL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1766000 | PA      | $1810035.44   | 0.19%             | 2032-11-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP V/R /PERP/                             | VISTRA CORP REGD V/R /PERP/ 144A P/P SER C 8.87500000                                            | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    745000 | PA      | $809732.31    | 0.08%             | 2173-07-15      | Variable      | 8.88%                 | Yes           |                  2 | On Loan: No      |
| ORO FWD USD 10Y P 4.24500 L 02/20/35 BOA           | ORO FWD USD 10Y P 4.24500 L 02/20/35 BOA 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1700000 | NC      | $111269.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L MH SUB I LLC 0% 02/23/29                       | T/L MH SUB I LLC REGD 0.00000000                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    830000 | PA      | $725212.50    | 0.07%             | 2029-02-23      | Floating      | 10.58%                | No            |                  2 | On Loan: No      |
| CRVNA 2024-P4  4.74% 09/10/29                      | CARVANA AUTO RECEIVABLES TRUST 2024-P4 SER 2024-P4 CL A4 REGD 4.74000000                         | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1617628.80   | 0.17%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / F 8.5% 06/15/29                     | ACRISURE LLC / FIN INC REGD 144A P/P 8.50000000                                                  | CUSIP: 00489LAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $312846.00    | 0.03%             | 2029-06-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49                       | CASH COLLATERAL USA 4.23000000                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |  -1350000 | PA      | $-1350000.00  | -0.14%            | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| F/C FTSE 100 IDX FUT  SEP25                        | FUTURE CONTRACT ON           FTSE 100 IDX FUT  SEP25 /GBP/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |        69 | NC      | $8324785.67   | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L CLOUD SOFTWARE 0% 03/30/29                     | T/L CLOUD SOFTWARE GROUP INC.  REGD TERM LOAN 0.00000000                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1867363 | PA      | $1868632.74   | 0.19%             | 2029-03-30      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS L 11.75% 01/31/29                     | CSC HOLDINGS LLC REGD 144A P/P 11.75000000                                                       | CUSIP: 126307BN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1018148.91   | 0.10%             | 2029-01-31      | Fixed         | 11.75%                | Yes           |                  2 | On Loan: No      |
| T/L 1261229 B.C. 0% 09/25/30                       | T/L 1261229 B.C. LTD 0.00000000                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    250000 | PA      | $240585.00    | 0.02%             | 2030-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| F/C LEAN HOGS FUTURE  AUG25                        | FUTURE CONTRACT ON           LEAN HOGS FUTURE  AUG25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        51 | NC      | $2193000.00   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| ARBR 7A BR V/R 12/15/38 /EUR/                      | ARBOUR CLO VII DAC SER 7A CL BR V/R REGD 144A P/P /EUR/ 4.02500000                               | CUSIP: G0446BAX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1178182.74   | 0.12%             | 2038-12-15      | Variable      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| T/L CLOUD SOFTWAR ZCP 03/21/31                     | T/L CLOUD SOFTWARE GRP INC REGD ZCP TERM LOAN 0.00000000                                         | CUSIP: 88632NBE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    815225 | PA      | $816431.97    | 0.08%             | 2031-03-21      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 3.45250 L 09/30/25 FAR                | ORO USD 7Y C 3.45250 L 09/30/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3800000 | NC      | $-38642.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HLSY 2024-8A A1 V/R 01/30/38                       | SAGARD-HALSEYPOINT CLO 8 LTD SER 2024-8A CL A1 V/R REGD 144A P/P 5.70438000                      | CUSIP: 78662AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005693.60   | 0.10%             | 2038-01-30      | Variable      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| T/L INSULET CORPO 0% 08/04/31                      | T/L INSULET CORPORATION REGD 0.00000000                                                          | CUSIP: 45784QAF6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    313116 | PA      | $314941.15    | 0.03%             | 2031-08-04      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| T/L 1440 FOODS 0% 10/31/31/                        | T/L 1440 FOODS TOPCO LLC       REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    234291 | PA      | $224847.12    | 0.02%             | 2031-10-31      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| ANCHF 2016-4A 2.723% 04/27/39                      | ANCHORAGE CREDIT FUNDING 4 LTD SER 2016-4A CL AR REGD 144A P/P 2.72300000                        | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $950668.20    | 0.10%             | 2039-04-27      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| PAID 2024-11  5.871% 11/15/26                      | PAGAYA AI DEBT GRANTOR TRUST 2024-11 SER 2024-11 CL C REGD 144A P/P 5.87100000                   | CUSIP: 69544AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    499943 | PA      | $501775.31    | 0.05%             | 2032-07-15      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| T/L HAMILTON 0% 05/31/31                           | T/L HAMILTON PROJECTS ACQUIROR LLC REGD ZCP TERM LOAN 0.00000000                                 | CUSIP: 40444KAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    524412 | PA      | $525943.07    | 0.05%             | 2031-05-31      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                | EUR/USD FWD 20250717 000000010 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-95349.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L CINEMARK USA 0% 05/24/30                       | T/L CINEMARK USA INC REGD 0.00000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    278825 | PA      | $279608.50    | 0.03%             | 2030-05-24      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| CANYC 2020-1A AR V/R 07/15/34                      | CANYON CLO 2020-1 LTD SER 2020-1A CL AR2 V/R REGD 144A P/P 5.33610000                            | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $3199692.80   | 0.33%             | 2034-07-15      | Variable      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| T/L USI INC 0% 11/21/29                            | T/L USI INC REGD 0.00000000                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    315470 | PA      | $314829.93    | 0.03%             | 2029-11-21      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHR 5273 FA V/R 11/25/52                           | FREDDIE MAC REMICS SER 5273 CL FA V/R 5.55517000                                                 | CUSIP: 3137H9FR5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1511029 | PA      | $1507863.26   | 0.16%             | 2052-11-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| T/L HEARTLAND DENT 0% 04/28/28                     | T/L HEARTLAND DENTAL LLC       REGD 0.00000000                                                   | CUSIP: 42236WAW7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    947802 | PA      | $947924.71    | 0.10%             | 2028-04-28      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| T/L ELLUCIAN HOLD 0% 11/22/32                      | T/L ELLUCIAN HOLDINGS INC      REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1130634 | PA      | $1153246.71   | 0.12%             | 2032-11-22      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX5294 6% 02/01/55                          | FREDDIE MAC POOL UMBS P#QX5294 6.00000000                                                        | CUSIP: 31426A3C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60432 | PA      | $62346.02     | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T/L ALLIANT HOLD 0% 09/19/31                       | T/L ALLIANT HOLDINGS           INTERMEDIATE LLC ZCP/TERM LOAN 0.00000000                         | CUSIP: 01881UAM7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3241325 | PA      | $3241681.55   | 0.33%             | 2031-09-19      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| T/L DELTA TOPCO 0.00% 11/30/29                     | T/L DELTA TOPCO INC 0% 0.00000000                                                                | CUSIP: 24780DAJ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    873256 | PA      | $866549.28    | 0.09%             | 2029-11-30      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| F/C E-MINI RUSS 2000  SEP25                        | FUTURE CONTRACT ON           E-MINI RUSS 2000  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |        33 | NC      | $3616305.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L CONNECT FINCO 0% 09/27/29                      | T/L CONNECT FINCO SARL 0% 0.00000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    563015 | PA      | $533456.79    | 0.05%             | 2029-09-27      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| F/C LOW SU GASOIL G   JUL25                        | FUTURE CONTRACT ON           LOW SU GASOIL G   JUL25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        33 | NC      | $2234100.00   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L PROJECT BO 0% 05/10/2027                       | T/L PROJECT BOOST PURCHASER    LLC REGD 0.00000000                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    320000 | PA      | $321865.60    | 0.03%             | 2027-05-10      | Floating      | 9.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX4075 6% 01/01/55                          | FREDDIE MAC POOL UMBS P#QX4075 6.00000000                                                        | CUSIP: 31425YQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22630 | PA      | $23479.81     | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2 A V/R 04/25/55                      | PRPM 2025-RPL2 LLC SER 2025-RPL2 CL A1 V/R REGD 144A P/P 3.75000000                              | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3337209 | PA      | $3223209.57   | 0.33%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| F/C C$ CURRENCY FUT   SEP25                        | FUTURE CONTRACT ON           C$ CURRENCY FUT   SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |       166 | NC      | $12230880.00  | 1.26%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA TBA 30 UR 2.5% JUL 25                         | GNMA TBA 30 UR 2.5% JUL 25     TO BE ANNOUNCED 2.50000000                                        | CUSIP: 21H022671<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -7000000 | PA      | $-5953935.89  | -0.61%            | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD /  6.75% 04/15/28                     | ALLIANT HOLD / CO-ISSUER REGD 144A P/P 6.75000000                                                | CUSIP: 01883LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $106656.80    | 0.01%             | 2028-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| T/L TRANSDIGM INC 0% 03/22/30                      | T/L TRANSDIGM INC REGD 0.00000000                                                                | CUSIP: 89364MCB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    307914 | PA      | $308942.36    | 0.03%             | 2030-03-22      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| T/L RYAN SPECIALT ZCP 09/15/31                     | T/L RYAN SPECIALTY REGD ZCP TERM LOAN 0.00000000                                                 | CUSIP: 78350UAJ4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    238800 | PA      | $238401.20    | 0.02%             | 2031-09-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| F/C LONG GILT FUTURE  SEP25                        | FUTURE CONTRACT ON           LONG GILT FUTURE  SEP25 /GBP/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        25 | NC      | $3192440.63   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L ELLUCIAN HOLD ZCP 10/09/29                     | T/L ELLUCIAN HOLDINGS INC REGD ZCP TERM LOAN 0.00000000                                          | CUSIP: 28917XAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2773311 | PA      | $2778524.81   | 0.29%             | 2029-10-09      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| T/L NEPTUNE 0% 04/11/2029                          | T/L NEPTUNE BIDCO US INC REGD 0.00000000                                                         | CUSIP: 64069JAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1358071 | PA      | $1281190.66   | 0.13%             | 2029-04-11      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| T/L NGL ENERGY 0% 02/03/31                         | T/L NGL ENERGY OPERATING LLC   REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1199900 | PA      | $1188968.42   | 0.12%             | 2031-02-03      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L 07/11/25 FAR                | ORO USD 7Y P 5.00000 L 07/11/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  19000000 | NC      | $1.90         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHR 5059 IB 2.5% 01/25/51                          | FREDDIE MAC REMICS SER 5059 CL IB 2.50000000                                                     | CUSIP: 3137F86B4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    681650 | PA      | $119033.93    | 0.01%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#DC9215 5% 12/01/54                          | FANNIE MAE POOL UMBS P#DC9215 5.00000000                                                         | CUSIP: 3140AXGZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5301269 | PA      | $5226681.60   | 0.54%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T/L LIFEPOINT H 0% 05/19/31                        | T/L LIFEPOINT HEALTH INC       REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1190743 | PA      | $1170547.56   | 0.12%             | 2031-05-19      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| MSRM 2024-RPL1 A V/R 11/25/28                      | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1 SER 2024-RPL1 CL A1 V/R REGD 4.00000000 | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3921035 | PA      | $3791445.85   | 0.39%             | 2064-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ARETEC GROUP INC 10% 08/15/30                      | ARETEC GROUP INC REGD 144A P/P 10.00000000                                                       | CUSIP: 04020JAA4<br>LEI: 549300NV2T8A33L0PQ58 | Long             | DBT              | CORP              | US        |    250000 | PA      | $274748.94    | 0.03%             | 2030-08-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| LEVEL 3 FINANCING 11% 11/15/29                     | LEVEL 3 FINANCING INC REGD 144A P/P 11.00000000                                                  | CUSIP: 527298BV4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $487584.34    | 0.05%             | 2029-11-15      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| FHR 5071 IH 2.5% 02/25/51                          | FREDDIE MAC REMICS SER 5071 CL IH 2.50000000                                                     | CUSIP: 3137F9R37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    587563 | PA      | $77070.44     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T/L LSF9 ATLAN 00.00% 03/31/29                     | T/L LSF9 ATLANTIS HOLDINGS LLC 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    626098 | PA      | $625315.48    | 0.06%             | 2029-03-31      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX4041 6% 01/01/55                          | FREDDIE MAC POOL UMBS P#QX4041 6.00000000                                                        | CUSIP: 31425YP35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     96286 | PA      | $99146.70     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T/L ALERA GROUP 0% 05/15/33                        | T/L ALERA GROUP INC REGD 0.00000000                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3210000 | PA      | $3268839.30   | 0.34%             | 2033-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX1617 6% 12/01/54                          | FREDDIE MAC POOL UMBS P#QX1617 6.00000000                                                        | CUSIP: 31425VYP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19346 | PA      | $19772.95     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 09/25/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797PY7<br>LEI: N/A                  | Long             | STIV             | UST               | US        |  24500000 | PA      | $24254161.37  | 2.50%             | 2025-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L RADIATE HO 0% 09/25/26                         | T/L RADIATE HOLDCO LLC         REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    617326 | PA      | $536080.14    | 0.06%             | 2026-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| F/C 3MO EURO EURIBOR  JUN27                        | FUTURE CONTRACT ON           3MO EURO EURIBOR  JUN27 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       336 | NC      | $96924315.92  | 9.97%             |  |  |  | No            |                  1 | On Loan: No      |
| FHR 5229 KI 4.5% 08/25/49                          | FREDDIE MAC REMICS SER 5229 CL KI 4.50000000                                                     | CUSIP: 3137H7SX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2443507 | PA      | $398261.03    | 0.04%             | 2049-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T/L CHARIOT BUYER 0% 11/03/28                      | T/L CHARIOT BUYER LLC REGD 0.00000000                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    736190 | PA      | $736941.36    | 0.08%             | 2028-11-03      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| ORO FWD USD 10Y C 4.24500 L 02/20/35 BOA           | ORO FWD USD 10Y C 4.24500 L 02/20/35 BOA 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1700000 | NC      | $97226.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 3.30000 L 09/18/25 FAR                | ORO USD 7Y C 3.30000 L 09/18/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2000000 | NC      | $-11999.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHR 5038 MI 4% 11/25/50                            | FREDDIE MAC REMICS SER 5038 CL MI 4.00000000                                                     | CUSIP: 3137FXNN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4414802 | PA      | $929189.22    | 0.10%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T/L ANTICIMEX  00.00% 11/16/28                     | T/L ANTICIMEX GLOBAL AB 0.00000000                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | SE        |     84485 | PA      | $84717.20     | 0.01%             | 2028-11-16      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| F/C NIKKEI 225  (SGX) SEP25                        | FUTURE CONTRACT ON           NIKKEI 225  (SGX) SEP25 /JPY/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |        26 | NC      | $3652060.69   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C MEXICAN PESO FUT  SEP25                        | FUTURE CONTRACT ON           MEXICAN PESO FUT  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |      1137 | NC      | $30073650.00  | 3.09%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C RAPESEED  EURO    NOV25                        | FUTURE CONTRACT ON           RAPESEED  EURO    NOV25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |        13 | NC      | $369434.56    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L CONSERVICE 0% 05/13/2030                       | T/L CONSERVICE MIDCO LLC REGD 0.00000000                                                         | CUSIP: 20848PAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    168851 | PA      | $168921.67    | 0.02%             | 2030-05-13      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| F/C S&P500 EMINI FUT  SEP25                        | FUTURE CONTRACT ON           S&P500 EMINI FUT  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |        35 | NC      | $10944062.50  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CLOUD SOFTWARE GRP 9% 09/30/29                     | CLOUD SOFTWARE GRP INC REGD 144A P/P 9.00000000                                                  | CUSIP: 18912UAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1791000 | PA      | $1854401.24   | 0.19%             | 2029-09-30      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                | IRS RSOFRP03.25 06/18/35 MLSCUS31XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $155856.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNS 440 C50 4.5% 10/25/53                          | FANNIE MAE INTEREST STRIP SER 440 CL C50 4.50000000                                              | CUSIP: 31424U8E9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5388377 | PA      | $1246387.63   | 0.13%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T/L APPLIED SYST 0% 02/23/32                       | T/L APPLIED SYSTEMS INC        REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2558265 | PA      | $2617744.66   | 0.27%             | 2032-02-23      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 7.0% JULY 25                         | FNMA 30YR TBA 7.0% JULY 25     TO BE ANNOUNCED 7.00000000                                        | CUSIP: 01F070674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17000000 | PA      | $17889351.09  | 1.84%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T/L ENGINEERED 0% 05/21/2029                       | T/L ENGINEERED MACHINERY       HOLDINGS INC. REGD 0.00000000                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    588785 | PA      | $590257.20    | 0.06%             | 2029-05-21      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| FHR 5471 FH V/R 11/25/54                           | FREDDIE MAC REMICS SER 5471 CL FH V/R 5.60517000                                                 | CUSIP: 3137HH7G0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12695653 | PA      | $12711903.54  | 1.31%             | 2054-11-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| T/L DAVE & BUST 0.00% 06/29/29                     | T/L DAVE & BUSTER'S  INC. 0.00000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    143114 | PA      | $138378.29    | 0.01%             | 2029-06-29      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-6 A1 V/R 11/25/27                        | PRPM 2024-6 LLC SER 2024-6 CL A1 V/R REGD 144A P/P 5.69900000                                    | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1762492 | PA      | $1766423.42   | 0.18%             | 2029-11-25      | Variable      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNR 2025-35 FB V/R 05/25/55                        | FANNIE MAE REMICS SER 2025-35 CL FB V/R 5.30517000                                               | CUSIP: 3136BVF78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9655216 | PA      | $9644011.22   | 0.99%             | 2055-05-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| CQS 2021-1A AR V/R 01/20/35                        | CQS US CLO 2021-1 LTD SER 2021-1A CL AR V/R REGD 144A P/P 5.46947000                             | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $3197156.80   | 0.33%             | 2035-01-20      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| T/L ORBIT PRIVATE 0% 12/11/28                      | T/L ORBIT PRIVATE HOLDINGS LTD 0.00000000                                                        | CUSIP: 04225VAH5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    374058 | PA      | $375554.02    | 0.04%             | 2028-12-11      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERS 7.875% 02/15/31                     | ALLIED UNIVERSAL HOLDCO REGD 144A P/P 7.87500000                                                 | CUSIP: 019576AD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $224711.55    | 0.02%             | 2031-02-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| FHS 397 C52 5% 01/25/53                            | FREDDIE MAC STRIPS SER 397 CL C52 5.00000000                                                     | CUSIP: 3142G4N23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    435264 | PA      | $100233.52    | 0.01%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC /  8.25% 02/01/29                     | ACRISURE LLC / FIN INC REGD 144A P/P 8.25000000                                                  | CUSIP: 00489LAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $212155.73    | 0.02%             | 2029-02-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| UNIVISION COMMUNIC 8% 08/15/28                     | UNIVISION COMMUNICATIONS REGD 144A P/P 8.00000000                                                | CUSIP: 914906AY8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    645000 | PA      | $654512.51    | 0.07%             | 2028-08-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L 09/18/25 FAR                | ORO USD 7Y P 5.00000 L 09/18/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  37500000 | NC      | $1278.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L ALERA GRO 0% 05/21/32                          | T/L ALERA GROUP INC REGD 0.00000000                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2140000 | PA      | $2145885.00   | 0.22%             | 2032-05-21      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L TRITON WATER 0% 03/31/2028                     | T/L TRITON WATER HOLDINGS      REGD 0.00000000                                                   | CUSIP: 89678QAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    642877 | PA      | $644895.56    | 0.07%             | 2028-03-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| F/C FTSE/MIB IDX FUT  SEP25                        | FUTURE CONTRACT ON           FTSE/MIB IDX FUT  SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IT        |        15 | NC      | $3520774.70   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L OSTTRA GROUP 0% 05/20/32                       | T/L OSTTRA GROUP LTD. 0% 0.00000000                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |    355000 | PA      | $356065.00    | 0.04%             | 2032-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 2.5% 8/25/55                         | FNMA 30YR TBA 2.5% 8/25/55     TO BE ANNOUNCED 2.50000000                                        | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1700000 | PA      | $1410229.31   | 0.15%             | 2055-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ICG 2021-3A AR V/R 10/20/34                        | ICG US CLO 2021-3 LTD SER 2021-3A CL AR V/R REGD 144A P/P 5.41947000                             | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3300672.54   | 0.34%             | 2034-10-20      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| F/C PLATINUM FUTURE   OCT25                        | FUTURE CONTRACT ON           PLATINUM FUTURE   OCT25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        49 | NC      | $3290350.00   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L UKG INC  0% 01/30/31                           | T/L UKG INC REGD ZCP TERM LOAN 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3641544 | PA      | $3654362.31   | 0.38%             | 2031-02-10      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| T/L CSC HOLDINGS 0% 01/18/2028                     | T/L CSC HOLDINGS LLC REGD 0.00000000                                                             | CUSIP: 64072UAM4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    636743 | PA      | $627198.22    | 0.06%             | 2028-01-18      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| FHR 5069 MI 2.5% 02/25/51                          | FREDDIE MAC REMICS SER 5069 CL MI 2.50000000                                                     | CUSIP: 3137F9CW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5613015 | PA      | $855206.29    | 0.09%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 4136 QS V/R 07/15/42                           | FREDDIE MAC REMICS SER 4136 CL QS V/R 1.83167000                                                 | CUSIP: 3137AWLT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    838041 | PA      | $78937.88     | 0.01%             | 2042-07-15      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| T/L MED PARENT 00.00% 04/15/31                     | T/L MED PARENTCO LP 0.00000000                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    347649 | PA      | $348643.59    | 0.04%             | 2031-04-15      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| F/C COFFEE 'C' FUTURE SEP25                        | FUTURE CONTRACT ON           COFFEE 'C' FUTURE SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        -8 | NC      | $-900300.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L PELOTON INTER 0% 05/30/29                      | T/L PELOTON INTERACTIVE INC    REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    269322 | PA      | $272890.12    | 0.03%             | 2029-05-30      | Floating      | 9.83%                 | No            |                  2 | On Loan: No      |
| T/L TK ELEVAT 0% 04/30/30/                         | T/L TK ELEVATOR MIDCO GMBH     REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | DE        |    653652 | PA      | $655063.57    | 0.07%             | 2030-04-30      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL5 A V/R 05/25/28                      | PRET 2025-NPL5 LLC SER 2025-NPL5 CL A1 V/R REGD 144A P/P 6.24410000                              | CUSIP: 74143LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5555846 | PA      | $5576593.11   | 0.57%             | 2055-05-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| GSMBS 2025-RPL3  V/R 07/25/65                      | GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3 SER 2025-RPL3 CL A1 V/R REGD 144A P/P 4.10000000   | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3800000 | PA      | $3658260.00   | 0.38%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| T/L SABRE INC 0% 11/15/2029/                       | T/L SABRE INC REGD 0.00000000                                                                    | CUSIP: 78571YBK5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    646526 | PA      | $643616.19    | 0.07%             | 2029-11-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| T/L BOXER PAREN 0% 07/30/32                        | T/L BOXER PARENT COMPANY INC   REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    330000 | PA      | $320307.90    | 0.03%             | 2032-07-30      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| T/L CONNECTW 0% 09/29/2028                         | T/L CONNECTWISE LLC REGD 0.00000000                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    317276 | PA      | $318598.76    | 0.03%             | 2028-09-29      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| T/L INCEPTION 0% 04/09/31                          | T/L INCEPTION FINCO S.A R.L.   REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | LU        |    725836 | PA      | $730829.25    | 0.08%             | 2031-04-09      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 7.0% AUG 25                          | FNMA 30YR TBA 7.0% AUG 25      TO BE ANNOUNCED 7.00000000                                        | CUSIP: 01F070682<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7800000 | PA      | $8178805.21   | 0.84%             | 2055-08-13      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB7523 6.5% 11/01/53                        | FANNIE MAE POOL UMBS P#CB7523 6.50000000                                                         | CUSIP: 3140QTLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    413620 | PA      | $428773.08    | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N3  4.67% 08/10/27                      | CARVANA AUTO RECEIVABLES TRUST 2024-N3 SER 2024-N3 CL B REGD 144A P/P 4.67000000                 | CUSIP: 14687WAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    240000 | PA      | $240210.36    | 0.02%             | 2030-12-10      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#FS8572 6.5% 07/01/54                        | FANNIE MAE POOL UMBS P#FS8572 6.50000000                                                         | CUSIP: 3140XQQ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134579 | PA      | $139732.92    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T/L KASEYA INC 0.00% 03/05/33                      | T/L KASEYA INC 0% 0.00000000                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1616368 | PA      | $1616868.83   | 0.17%             | 2033-03-05      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 2.50000 L 05/29/26 FAR                | ORO USD 7Y C 2.50000 L 05/29/26 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   6200000 | NC      | $27875.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L MRP BUYER LLC 0% 5/24/2032                     | T/L MRP BUYER LLC REGD 0.00000000                                                                | CUSIP: 55351DAC4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     47419 | PA      | $46678.66     | 0.00%             | 2032-05-24      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5% JUL 25                            | FNMA 30YR TBA 5% JUL 25        TO BE ANNOUNCED 5.00000000                                        | CUSIP: 01F050676<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -20800000 | PA      | $-20382743.68 | -2.10%            | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 08/21/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797PP6<br>LEI: N/A                  | Long             | STIV             | UST               | US        |     86000 | PA      | $85473.74     | 0.01%             | 2025-08-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX2567 6% 01/01/55                          | FREDDIE MAC POOL UMBS P#QX2567 6.00000000                                                        | CUSIP: 31425WZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57742 | PA      | $58912.51     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T/L ASCEND LEAR 0% 12/10/2029                      | T/L ASCEND LEARNING LLC REGD 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    395980 | PA      | $395881.27    | 0.04%             | 2029-12-10      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| F/C JPN YEN CURR FUT  SEP25                        | FUTURE CONTRACT ON           JPN YEN CURR FUT  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |      -196 | NC      | $-17136525.00 | -1.76%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C LEAN HOGS FUTURE  OCT25                        | FUTURE CONTRACT ON           LEAN HOGS FUTURE  OCT25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        19 | NC      | $702240.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L JOHN BEAN TECH 0% 01/02/32                     | T/L JOHN BEAN TECHNOLOGIES     CORPORATION 0% 0.00000000                                         | CUSIP: 47783YAP4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    374062 | PA      | $374997.66    | 0.04%             | 2032-01-02      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0146 5% 01/20/55                       | GINNIE MAE II POOL P#MB0146 5.00000000                                                           | CUSIP: 3618N5EU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2948994 | PA      | $2898569.16   | 0.30%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 3.36750 L 09/04/25 BOA                | ORO USD 7Y C 3.36750 L 09/04/25 BOA 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  16900000 | NC      | $106003.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L KAMAN CORPO 0% 01/30/32                        | T/L KAMAN CORPORATION REGD 0.00000000                                                            | CUSIP: 48354VAM4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    434052 | PA      | $433374.60    | 0.04%             | 2032-01-30      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-N2 E 2.9% 04/10/26                      | CARVANA AUTO RECEIVABLES TRUST 2021-N2 SER 2021-N2 CL E REGD 144A P/P 2.90000000                 | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    577359 | PA      | $563094.68    | 0.06%             | 2028-03-10      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| F/C EURO-BTP FUTURE   SEP25                        | FUTURE CONTRACT ON           EURO-BTP FUTURE   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       165 | NC      | $23517771.37  | 2.42%             |  |  |  | No            |                  1 | On Loan: No      |
| VENTR 2021-44A A V/R 10/20/34                      | VENTURE 44 CLO LTD SER 2021-44A CL A1NR V/R REGD 144A P/P 5.40947000                             | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $3192330.56   | 0.33%             | 2034-10-20      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| UKG INC 6.875% 02/01/31                            | UKG INC REGD 144A P/P 6.87500000                                                                 | CUSIP: 90279XAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $119320.85    | 0.01%             | 2031-02-01      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2021-RPL2 A1 2% 01/25/60                      | CSMC 2021-RPL2TRUST SER 2021-RPL2 CL A1 REGD 144A P/P 2.00000000                                 | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1964940 | PA      | $1725356.69   | 0.18%             | 2060-01-25      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| T/L MIWD HOLDCO 0% 03/28/31                        | T/L MIWD HOLDCO II LLC REGD    ZCP TERM LOAN 0.00000000                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    437042 | PA      | $437561.80    | 0.05%             | 2031-03-28      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| FHS 408 C64 5% 09/25/53                            | FREDDIE MAC STRIPS SER 408 CL C64 5.00000000                                                     | CUSIP: 3142G6GP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2384340 | PA      | $590010.16    | 0.06%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T/L PRAIRIE ECI 0% 08/01/29                        | T/L PRAIRIE ECI ACQUIROR LP    REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    259244 | PA      | $260620.69    | 0.03%             | 2029-08-01      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| FHR 5479 FA V/R 12/25/54                           | FREDDIE MAC REMICS SER 5479 CL FA V/R 5.50517000                                                 | CUSIP: 3137HHMQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12375020 | PA      | $12380203.85  | 1.27%             | 2054-12-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| F/C PALLADIUM FUTURE  SEP25                        | FUTURE CONTRACT ON           PALLADIUM FUTURE  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        10 | NC      | $1107100.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSDIGM INC 6.75% 08/15/28                       | TRANSDIGM INC REGD 144A P/P 6.75000000                                                           | CUSIP: 893647BR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $173605.99    | 0.02%             | 2028-08-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| F/C SOYBEAN OIL FUTR  DEC25                        | FUTURE CONTRACT ON           SOYBEAN OIL FUTR  DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |       112 | NC      | $3544800.00   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  DEC26                        | FUTURE CONTRACT ON           3 MONTH SOFR FUT  DEC26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       503 | NC      | $121939775.00 | 12.55%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L LEVEL 3 FINAN 0% 03/22/32                      | T/L LEVEL 3 FINANCING INC      REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1425000 | PA      | $1439549.25   | 0.15%             | 2032-03-22      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| ANCHF 2020-12 3.177% 10/25/38                      | ANCHORAGE CREDIT FUNDING 12 LTD SER 2020-12A CL A1 REGD 144A P/P 3.17700000                      | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $957954.50    | 0.10%             | 2038-10-25      | Fixed         | 3.18%                 | Yes           |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L  08/29/25 BOA               | ORO USD 7Y P 5.00000 L  08/29/25 BOA 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  84300000 | NC      | $902.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L RFS OPCO LLC   0% 04/04/31                     | T/L RFS OPCO LLC 0.00000000                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    309225 | PA      | $306905.81    | 0.03%             | 2031-04-04      | Floating      | 9.06%                 | No            |                  3 | On Loan: No      |
| F/C EURO FX CURR FUT  SEP25                        | FUTURE CONTRACT ON           EURO FX CURR FUT  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |       179 | NC      | $26483050.00  | 2.73%             |  |  |  | No            |                  1 | On Loan: No      |
| ORO USD 7Y P 3.94300 L 07/07/25 BOA                | ORO USD 7Y P 3.94300 L 07/07/25 BOA 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -6200000 | NC      | $-23.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNR 2025-49 FA V/R 06/25/55                        | FANNIE MAE REMICS SER 2025-49 CL FA V/R 5.10517000                                               | CUSIP: 3136BWAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1295302 | PA      | $1263817.65   | 0.13%             | 2055-06-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 5% AUG 25                           | G2SF 30 YR TBA 5% AUG 25       TO BE ANNOUNCED 5.00000000                                        | CUSIP: 21H050680<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1300000 | PA      | $1276236.56   | 0.13%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T/L JANE STREET G ZCP 12/15/31                     | T/L JANE STREET GROUP LLC REGD ZCP TERM LOAN 0.00000000                                          | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |   1315779 | PA      | $1314081.70   | 0.14%             | 2031-12-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM7 A1 V/R 08/25/26                      | OBX 2022-NQM7 TRUST SER 2022-NQM7 CL A1 V/R REGD 144A P/P 5.11000000                             | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    484483 | PA      | $481937.57    | 0.05%             | 2062-08-25      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| T/L BAUSCH & LOMB 0% 05/10/27                      | T/L BAUSCH & LOMB INCORPORATED REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    532517 | PA      | $531366.91    | 0.05%             | 2027-05-10      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| T/L ALTAR BIDCO 0% 02/01/2029                      | T/L ALTAR BIDCO INC REGD 0.00000000                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    319177 | PA      | $317891.10    | 0.03%             | 2029-02-01      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| T/L CPM HOLDINGS I 0% 05/22/28                     | T/L CPM HOLDINGS INC REGD_____  TERM LOAN 0.00000000                                             | CUSIP: 12620BAR1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    327125 | PA      | $319100.94    | 0.03%             | 2028-09-28      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| F/C ICE 3MTH SONIA FU SEP26                        | FUTURE CONTRACT ON           ICE 3MTH SONIA FU SEP26 /GBP/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       268 | NC      | $88859043.86  | 9.14%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L ENGINEERED MACHINERY HOLDINGS INC  0% 05/21/29 | T/L ENGINEERED MACHINERY HOLDINGS INC REGD 0.00000000                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1012026 | PA      | $1013290.54   | 0.10%             | 2029-05-21      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| T/L PRO MACH   00.00% 08/31/28                     | T/L PRO MACH GROUP INC 0.00000000                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    948162 | PA      | $949783.86    | 0.10%             | 2028-08-31      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| T/L PROJECT ALPHA  0% 12/31/49                     | T/L PROJECT ALPHA INTERMEDIATE HOLDINGS INC 0.00000000                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1765000 | PA      | $1751762.50   | 0.18%             | 2049-12-31      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| T/L TALEN ENERGY 0% 12/13/31                       | T/L TALEN ENERGY SUPPLY LLC 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    954688 | PA      | $956625.89    | 0.10%             | 2031-12-13      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT V/R 03/06/26                     | FORD MOTOR CREDIT CO LLC REGD V/R 7.34055000                                                     | CUSIP: 345397C50<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    905000 | PA      | $913488.90    | 0.09%             | 2026-03-06      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| T/L CENTRAL PAREN ZCP 07/06/29                     | T/L CENTRAL PARENT LLC REGD    ZCP TERM LOAN 0.00000000                                          | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    324271 | PA      | $269988.33    | 0.03%             | 2029-07-06      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| TPMT 2017-6 A2 V/R 10/25/57                        | TOWD POINT MORTGAGE TRUST 2017-6 SER 2017-6 CL A2 V/R REGD 144A P/P 3.00000000                   | CUSIP: 89175JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1908980.40   | 0.20%             | 2057-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| T/L CLEAR CHANNEL 0% 08/21/28                      | T/L CLEAR CHANNEL OUTDOOR      HOLDING INC REGD 0.00000000                                       | CUSIP: 18452RAF2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    855000 | PA      | $846142.20    | 0.09%             | 2028-08-21      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| T/L BELRON FINA 0% 10/16/31                        | T/L BELRON FINANCE US LLC      REGD TERM LOAN 0.00000000                                         | CUSIP: 08078UAM5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1399425 | PA      | $1404295.00   | 0.14%             | 2031-10-16      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 08/05/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797QH3<br>LEI: N/A                  | Long             | STIV             | UST               | US        |  30000000 | PA      | $29875771.80  | 3.07%             | 2025-08-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BVINV 2025-3 AF1 V/R 11/25/27                      | OCEANVIEW MORTGAGE TRUST 2025-INV3 SER 2025-3 CL AF1 V/R REGD 144A P/P 5.26091000                | CUSIP: 67648CAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3800000 | PA      | $3800000.76   | 0.39%             | 2055-05-25      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| T/L TERRAFORM 0% 05/21/2029                        | T/L TERRAFORM POWER OPERATING  LLC REGD 0.00000000                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    545501 | PA      | $544819.37    | 0.06%             | 2029-05-21      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD 10% 04/15/32                        | 1261229 BC LTD REGD 144A P/P 10.00000000                                                         | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    665000 | PA      | $670985.15    | 0.07%             | 2032-04-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| UMBS P#BZ2925 5.24% 01/01/30                       | FANNIE MAE POOL UMBS P#BZ2925 5.24000000                                                         | CUSIP: 3140NXHB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1913000 | PA      | $1979754.33   | 0.20%             | 2030-01-01      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-7 A1 V/R 11/25/27                        | PRPM 2024-7 LLC SER 2024-7 CL A1 V/R REGD 144A P/P 5.87000000                                    | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2740189 | PA      | $2739134.05   | 0.28%             | 2029-11-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#SD8386 7% 12/01/53                          | FREDDIE MAC POOL UMBS P#SD8386 7.00000000                                                        | CUSIP: 3132DWJ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    480643 | PA      | $506560.33    | 0.05%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 3.21000 L 06/30/25 FAR                | ORO USD 7Y C 3.21000 L 06/30/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2700000 | NC      | $-0.27        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C US 2YR NOTE (CBT) SEP25                        | FUTURE CONTRACT ON           US 2YR NOTE (CBT) SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       181 | NC      | $37652242.28  | 3.87%             |  |  |  | No            |                  1 | On Loan: No      |
| FHR 5018 IO 3.5% 10/25/50                          | FREDDIE MAC REMICS SER 5018 CL IO 3.50000000                                                     | CUSIP: 3137FXBF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6838538 | PA      | $1188346.47   | 0.12%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| F/C DAX INDEX FUTURE  SEP25                        | FUTURE CONTRACT ON           DAX INDEX FUTURE  SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |         6 | NC      | $4249277.86   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C CHF CURRENCY FUT  SEP25                        | FUTURE CONTRACT ON           CHF CURRENCY FUT  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |        62 | NC      | $9863037.50   | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                | SGD/USD FWD 20250717 000000010 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1448.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US T BILL ZCP 09/11/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797PW1<br>LEI: N/A                  | Long             | STIV             | UST               | US        |    370000 | PA      | $366858.70    | 0.04%             | 2025-09-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L ICON PAR 0% 11/12/2032                         | T/L ICON PARENT INC REGD 0.00000000                                                              | CUSIP: 45115MAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    960000 | PA      | $967200.00    | 0.10%             | 2032-11-12      | Floating      | 9.21%                 | No            |                  2 | On Loan: No      |
| T/L JONES DES 0% 03/15/30                          | T/L JONES DESLAURIERS          INSURANCE MANAGEMENT INC REGD 0.00000000                          | CUSIP: C4900AAM9<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    913172 | PA      | $907464.24    | 0.09%             | 2030-03-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L 04/06/26 BRC                | ORO USD 7Y P 5.00000 L 04/06/26 BRC 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   5100000 | NC      | $8218.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2022-H16 FB V/R 08/20/72                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-H16 CL FB V/R 5.20185000                       | CUSIP: 38382YWP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    936647 | PA      | $934634.71    | 0.10%             | 2072-08-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| SMB 2018-A B 3.96% 08/15/28                        | SMB PRIVATE EDUCATION LOAN TRUST 2018-A SER 2018-A CL B REGD 144A P/P 3.96000000                 | CUSIP: 78449PAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3400000 | PA      | $3321214.52   | 0.34%             | 2042-07-15      | Fixed         | 3.96%                 | Yes           |                  2 | On Loan: No      |
| F/C COCOA FUTURE      SEP25                        | FUTURE CONTRACT ON           COCOA FUTURE      SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         6 | NC      | $540000.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L POLARIS NEW 0% 06/02/2028                      | T/L POLARIS NEWCO LLC REGD 0.00000000                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    780653 | PA      | $759942.03    | 0.08%             | 2028-06-02      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| T/L DELTA AIR 0% 10/20/2027                        | T/L DELTA AIR LINES INC REGD 0.00000000                                                          | CUSIP: 24736CBS2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    210985 | PA      | $212014.45    | 0.02%             | 2027-10-20      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| ORO FWD USD 10Y P 4.47000 L 06/04/35 BOA           | ORO FWD USD 10Y P 4.47000 L 06/04/35 BOA 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1000000 | NC      | $59987.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L CROWN SUBSEA  ZCP 01/30/31                     | T/L CROWN SUBSEA COMMUNICATI REGD ZCP TERM LOAN 0.00000000                                       | CUSIP: 22860EAJ1<br>LEI: 5493003AYLUE132FIO27 | Long             | LON              | CORP              | US        |    446967 | PA      | $449389.10    | 0.05%             | 2031-01-30      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| T/L FUGUE FINANCE 0% 01/09/32                      | T/L FUGUE FINANCE B.V.REGD 0.00000000                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | NL        |    323500 | PA      | $325253.37    | 0.03%             | 2032-01-09      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| X.AI LLC/X.AI C 12.5% 06/30/30                     | X.AI LLC/X.AI CO ISSUER REGD 144A P/P 12.50000000                                                | CUSIP: 983984AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $318083.93    | 0.03%             | 2030-06-30      | Fixed         | 12.50%                | Yes           |                  2 | On Loan: No      |
| UMBS P#BZ2944 5.205% 01/01/32                      | FANNIE MAE POOL UMBS P#BZ2944 5.20500000                                                         | CUSIP: 3140NXHW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1433048 | PA      | $1489478.60   | 0.15%             | 2032-01-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MSRM 2024-NQM3 A V/R 07/25/69                      | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN  SER 2024-NQM3 CL A1 V/R REGD 144A P/P 5.04400000       | CUSIP: 61776UAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    190455 | PA      | $189453.47    | 0.02%             | 2069-07-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| ARES 2013-2A AR3 V/R 10/28/34                      | ARES XXVII CLO LTD SER 2013-2A CL AR3 V/R REGD 144A P/P 5.43262000                               | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3100000 | PA      | $3099644.12   | 0.32%             | 2034-10-28      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| T/L ENGINEERED 0% 05/19/28                         | T/L ENGINEERED MACHINERY       HOLDINGS INC REGD 0.00000000                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1179898 | PA      | $1186435.09   | 0.12%             | 2028-05-19      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-RM5 A V/R 10/25/54                       | CASCADE FUNDING MORTGAGE TRUST 2024-RM5 SER 2024-RM5 CL A V/R REGD 144A P/P 4.00000000           | CUSIP: 147275AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1939448 | PA      | $1896230.32   | 0.20%             | 2054-10-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| T/L ARSENAL AIC 0% 08/18/2030/                     | T/L ARSENAL AIC PARENT LLC     REGD 0.00000000                                                   | CUSIP: 04287KAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1101434 | PA      | $1098955.61   | 0.11%             | 2030-08-18      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| T/L HRNI HOLDINGS ZCP 12/11/28                     | T/L HRNI HOLDINGS LLC REGD ZCP TERM LOAN 0.00000000                                              | CUSIP: 40443NAC4<br>LEI: 549300V1ELIRK8JURN28 | Long             | LON              | CORP              | US        |    754210 | PA      | $733468.75    | 0.08%             | 2028-12-11      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| T/L MEDLINE BORR 0% 10/23/28                       | T/L MEDLINE BORROWER LP REGD 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3196062 | PA      | $3197627.63   | 0.33%             | 2028-10-23      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| GWOLF 2020-3RA A V/R 04/22/33                      | GREYWOLF CLO III LTD SER 2020-3RA CL A1R2 V/R REGD 144A P/P 5.50238000                           | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500958.65    | 0.05%             | 2033-04-22      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| T/L ANTICIMEX 0% 11/16/28                          | T/L ANTICIMEX INTERNATIONAL AB REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | SE        |    445385 | PA      | $446052.68    | 0.05%             | 2028-11-16      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| T/L COMMSCOPE INC  0% 12/17/29                     | T/L COMMSCOPE INC 0.00000000                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    530000 | PA      | $535798.20    | 0.06%             | 2029-12-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L DIRECTV 0% 08/02/2029                          | T/L DIRECTV FINANCING LLC REGD 0.00000000                                                        | CUSIP: 25460HAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    527260 | PA      | $522225.06    | 0.05%             | 2029-08-02      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| ANCHC 2021-20A A V/R 01/20/35                      | ANCHORAGE CAPITAL CLO 20 LTD SER 2021-20A CL A1R V/R REGD 144A P/P 5.36947000                    | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3287760.63   | 0.34%             | 2035-01-20      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| VIBRANTZ TECH INC 9% 02/15/30                      | VIBRANTZ TECH INC REGD 144A P/P 9.00000000                                                       | CUSIP: 69357VAA3<br>LEI: 549300GYZ1T3S8OPH343 | Long             | DBT              | CORP              | US        |     85000 | PA      | $57264.30     | 0.01%             | 2030-02-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| G2SF  30 YR TBA 4.5% JUL 25                        | G2SF  30 YR TBA 4.5% JUL 25    TO BE ANNOUNCED 4.50000000                                        | CUSIP: 21H042679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20250000 | PA      | $19378125.11  | 1.99%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| F/C US 5YR NOTE (CBT) SEP25                        | FUTURE CONTRACT ON           US 5YR NOTE (CBT) SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-109000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CRVNA 2024-N3  4.84% 01/12/26                      | CARVANA AUTO RECEIVABLES TRUST 2024-N3 SER 2024-N3 CL A2 REGD 144A P/P 4.84000000                | CUSIP: 14687WAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    134502 | PA      | $134549.17    | 0.01%             | 2027-12-10      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| F/C SOYBEAN MEAL FUTR DEC25                        | FUTURE CONTRACT ON           SOYBEAN MEAL FUTR DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |      -242 | NC      | $-7001060.00  | -0.72%            |  |  |  | No            |                  1 | On Loan: No      |
| DRYD 2020-7 V/R 04/18/33 /EUR/                     | DRYDEN EURO CLO SER 2020-74A CL A V/R REGD 144A P/P /EUR/ 3.23600000                             | CUSIP: G2849BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    244473 | PA      | $287244.25    | 0.03%             | 2033-04-18      | Variable      | 3.24%                 | Yes           |                  2 | On Loan: No      |
| US T BILL ZCP 08/12/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797QJ9<br>LEI: N/A                  | Long             | STIV             | UST               | US        |  16000000 | PA      | $15919686.72  | 1.64%             | 2025-08-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-N1  4.55% 11/10/25                      | CARVANA AUTO RECEIVABLES TRUST 2021-N1 SER 2021-N1 CL F REGD 144A P/P 4.55000000                 | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    364221 | PA      | $361690.19    | 0.04%             | 2028-01-10      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| RCKT 2025-CES1 A V/R 01/25/29                      | RCKT MORTGAGE TRUST 2025-CES1 SER 2025-CES1 CL A1A V/R REGD 144A P/P 5.65300000                  | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2982313 | PA      | $2999699.63   | 0.31%             | 2045-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHR 5196 DI 3% 02/25/52                            | FREDDIE MAC REMICS SER 5196 CL DI 3.00000000                                                     | CUSIP: 3137H5WD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17299186 | PA      | $3018737.32   | 0.31%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30YR TBA 6% AUG 25                            | GNMA 30YR TBA 6% AUG 25        TO BE ANNOUNCED 6.00000000                                        | CUSIP: 21H060689<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1012604.04   | 0.10%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L 03/30/26 FAR                | ORO USD 7Y P 5.00000 L 03/30/26 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   2400000 | NC      | $3640.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNR 2024-100 FD V/R 06/25/54                       | FANNIE MAE REMICS SER 2024-100 CL FD V/R 5.75517000                                              | CUSIP: 3136BUGR5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17692833 | PA      | $17796456.00  | 1.83%             | 2054-06-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ2582 4.3% 12/01/29                        | FANNIE MAE POOL UMBS P#BZ2582 4.30000000                                                         | CUSIP: 3140NW2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5011000 | PA      | $5042327.47   | 0.52%             | 2029-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LCM 31A AR V/R 07/20/34                            | LCM 31 LTD SER 31A CL AR V/R REGD 144A P/P 5.54947000                                            | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249873.65    | 0.03%             | 2034-07-20      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| T/L AMC ENTERTA 0% 01/04/2029                      | T/L AMC ENTERTAINMENT          HOLDINGS INC REGD 0.00000000                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1103776 | PA      | $1113434.53   | 0.11%             | 2029-01-04      | Floating      | 11.32%                | No            |                  2 | On Loan: No      |
| T/L UFC HOLDIN 0% 11/21/31_                        | T/L UFC HOLDINGS  LLC  REGD 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2610581 | PA      | $2619143.46   | 0.27%             | 2031-11-21      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| MSM 2007-6XS 2A6 V/R 02/25/47                      | MORGAN STANLEY MORTGAGE LOAN TRUST 2007-6XS SER 2007-6XS CL 2A6S V/R REGD 6.20097000             | CUSIP: 61751JAM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     81170 | PA      | $27839.80     | 0.00%             | 2047-02-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ3314 5.55% 11/01/31                       | FANNIE MAE POOL UMBS P#BZ3314 5.55000000                                                         | CUSIP: 3140NXVG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    249644 | PA      | $263174.70    | 0.03%             | 2031-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  SEP26                        | FUTURE CONTRACT ON           3 MONTH SOFR FUT  SEP26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       122 | NC      | $29565175.00  | 3.04%             |  |  |  | No            |                  1 | On Loan: No      |
| NEPTUNE BIDCO U 9.29% 04/15/29                     | NEPTUNE BIDCO US INC REGD 144A P/P 9.29000000                                                    | CUSIP: 640695AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $435546.31    | 0.04%             | 2029-04-15      | Fixed         | 9.29%                 | Yes           |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  MAR28                        | FUTURE CONTRACT ON           3 MONTH SOFR FUT  MAR28 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       288 | NC      | $69645600.00  | 7.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA 30YR TBA 3.5% JUL 25                          | FNMA 30YR TBA 3.5% JUL 25      TO BE ANNOUNCED 3.50000000                                        | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4250000 | PA      | $3827485.10   | 0.39%             | 2055-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  MAR26                        | FUTURE CONTRACT ON           3 MONTH SOFR FUT  MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -331 | NC      | $-79936500.00 | -8.23%            |  |  |  | No            |                  1 | On Loan: No      |
| PRPM 2024-RPL3 A V/R 11/25/54                      | PRPM 2024-RPL3 LLC SER 2024-RPL3 CL A1 V/R REGD 144A P/P 4.00000000                              | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3083175 | PA      | $2990463.75   | 0.31%             | 2054-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| T/L PROJECT ALPHA 0% 10/26/30                      | T/L PROJECT ALPHA INTERMEDIATE HOLDING INC REGD 0.00000000                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    675089 | PA      | $677998.98    | 0.07%             | 2030-10-26      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| BBAME 1A AR V/R 07/22/34 /EUR/                     | BBAM EUROPEAN CLO I DAC SER 1A CL AR V/R REGD 144A P/P /EUR/ 3.10600000                          | CUSIP: G0863HAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $293167.13    | 0.03%             | 2034-07-22      | Variable      | 3.11%                 | Yes           |                  2 | On Loan: No      |
| US T BILL ZCP 10/09/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797QE0<br>LEI: N/A                  | Long             | STIV             | UST               | US        |  21500000 | PA      | $21250978.19  | 2.19%             | 2025-10-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L 04/03/26 FAR                | ORO USD 7Y P 5.00000 L 04/03/26 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   3900000 | NC      | $6210.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OFSBS 2021-10A A V/R 04/20/34                      | OFSI BSL X LTD SER 2021-10A CL AR V/R REGD 144A P/P 5.53947000                                   | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3002057.10   | 0.31%             | 2034-04-20      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#DC0243 6.5% 08/01/54                        | FANNIE MAE POOL UMBS P#DC0243 6.50000000                                                         | CUSIP: 3140AMHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43689 | PA      | $45248.05     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                | IRS PSOFRR03.25 03/19/35 MLSCUS31XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $160671.54    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C 3MO EURO EURIBOR  SEP26                        | FUTURE CONTRACT ON           3MO EURO EURIBOR  SEP26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        86 | NC      | $24861193.87  | 2.56%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L SABRE GLBL IN ZCP 06/30/28                     | T/L SABRE GLBL INC REGD ZCP TERM LOAN 0.00000000                                                 | CUSIP: 78571YBH2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    450000 | PA      | $442800.00    | 0.05%             | 2028-06-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| F/C S&P MID 400 EMINI SEP25                        | FUTURE CONTRACT ON           S&P MID 400 EMINI SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |        11 | NC      | $3438050.00   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L ALLIED UNIVER ZCP 05/12/28                     | T/L ALLIED UNIVERSAL HOLDCO REGD ZCP TERM LOAN 0.00000000                                        | CUSIP: 01957TAH0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2017005 | PA      | $2025920.46   | 0.21%             | 2028-05-12      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| C/O OTC ECAL FN 6.0 8-55 101                       | CALL OPTION ON 100SHS          OTC ECAL FN 6.0 8-55 101 26+   SAL 0.00000000                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        |  -2500000 | NC      | $-4916.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L MH SUB I LLC 0% 05/03/28                       | T/L MH SUB I LLC MICRO HOLDING CORP REGD 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    771757 | PA      | $723283.10    | 0.07%             | 2028-05-03      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| PKAIR 2025-1  5.365% 12/15/31                      | PK ALIFT LOAN FUNDING 6 LP SER 2025-1 CL A REGD 144A P/P 5.36500000                              | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3008412.90   | 0.31%             | 2042-11-15      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| T/L REALPAGE INC 0% 04/24/28                       | T/L REALPAGE INC  REGD 0.00000000                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    314212 | PA      | $314212.50    | 0.03%             | 2028-04-24      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| FNS 428 C14 2.5% 01/25/48                          | FANNIE MAE INTEREST STRIP SER 428 CL C14 2.50000000                                              | CUSIP: 31423YJN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    781548 | PA      | $90130.65     | 0.01%             | 2048-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T/L PROJECT BOOST 0% 07/16/31                      | T/L PROJECT BOOST PURCHASER    LLC REGD 0.00000000                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    532537 | PA      | $533202.64    | 0.05%             | 2031-07-16      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                | EUR/USD FWD 20250822 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-53814.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ORO FWD USD 10Y P 4.26500 L 05/01/35 BOA           | ORO FWD USD 10Y P 4.26500 L 05/01/35 BOA 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1100000 | NC      | $71377.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L AURIS LUXEMB 0% 02/28/29                       | T/L AURIS LUXEMBOURG III S.A   R.L REGD 0.00000000                                               | CUSIP: L0421UAF8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    351465 | PA      | $351686.12    | 0.04%             | 2029-02-28      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                | IRS R03.75PSOFR 12/18/34 MLSCUS31XXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $10740.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAID 2024-11  5.637% 11/15/26                      | PAGAYA AI DEBT GRANTOR TRUST 2024-11 SER 2024-11 CL B REGD 144A P/P 5.63700000                   | CUSIP: 69544AAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    499943 | PA      | $501445.40    | 0.05%             | 2032-07-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| T/L ALLIANCE LAUND 0% 08/19/31                     | T/L ALLIANCE LAUNDRY SYSTEMS   LLC REGD TERM LOAN 0.00000000                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    325000 | PA      | $325487.50    | 0.03%             | 2031-08-19      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L 03/31/26 FAR                | ORO USD 7Y P 5.00000 L 03/31/26 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   2900000 | NC      | $4459.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C SUGAR #11 (WORLD) OCT25                        | FUTURE CONTRACT ON           SUGAR #11 (WORLD) OCT25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |      -324 | NC      | $-5878656.00  | -0.60%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L LIFE TIME INC 0% 11/05/31                      | T/L LIFE TIME INC 0% 0.00000000                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    725000 | PA      | $726450.00    | 0.07%             | 2031-11-05      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL1 A V/R 01/25/28                      | VCAT 2025-NPL1 LLC SER 2025-NPL1 CL A1 V/R REGD 144A P/P 5.87700000                              | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2710404 | PA      | $2715415.16   | 0.28%             | 2055-01-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| T/L EDGEWATER GENE 0% 08/01/30                     | T/L EDGEWATER GENERATION       L.L.C. REGD 0.00000000                                            | CUSIP: BL4993392<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    864676 | PA      | $867148.55    | 0.09%             | 2030-08-01      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| T/L HOMESERVE USA 0% 10/21/30                      | T/L HOMESERVE USA HOLDING      CORP REGD 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    347637 | PA      | $347675.72    | 0.04%             | 2030-10-21      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| T/L PROAMPAC 0% 9/15/2028                          | T/L PROAMPAC PG BORROWER LLC   9/15/2028 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    362699 | PA      | $363514.81    | 0.04%             | 2028-09-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 08/28/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797PQ4<br>LEI: N/A                  | Long             | STIV             | UST               | US        |   3500000 | PA      | $3475546.97   | 0.36%             | 2025-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| T/L DIRECTV FIN 0% 08/02/27                        | T/L DIRECTV FINANCING LLC      REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     63982 | PA      | $64157.76     | 0.01%             | 2027-08-02      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| GEWMC 2006-1 A2B V/R 08/25/36                      | GE-WMC MORTGAGE SECURITIES TRUST 2006-1 SER 2006-1 CL A2B V/R REGD 4.73368000                    | CUSIP: 36829JAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7783217 | PA      | $3263860.96   | 0.34%             | 2036-08-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| F/C JPN 10Y BOND(OSE) SEP25                        | FUTURE CONTRACT ON           JPN 10Y BOND(OSE) SEP25 /JPY/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | JP        |       -13 | NC      | $-12549980.90 | -1.29%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGN 2020-6A A1 V/R 10/23/34                      | 522 FUNDING CLO 2020-6 LTD SER 2020-6A CL A1R2 V/R REGD 144A P/P 5.47934000                      | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $3197346.56   | 0.33%             | 2034-10-23      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FHR 5008 DI 3% 09/25/50                            | FREDDIE MAC REMICS SER 5008 CL DI 3.00000000                                                     | CUSIP: 3137FVY30<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    612770 | PA      | $81366.96     | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AHART 2024-1A  4.83% 03/15/28                      | AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2024-1 SER 2024-1A CL A2 REGD 144A P/P 4.83000000       | CUSIP: 026944AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2577863 | PA      | $2579666.10   | 0.27%             | 2028-03-15      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| EFMT 2025-CES2 A V/R 02/25/60                      | EFMT 2025-CES2 SER 2025-CES2 CL A1A V/R REGD 144A P/P 5.65500000                                 | CUSIP: 28225GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3194047 | PA      | $3218036.82   | 0.33%             | 2060-02-25      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| T/L FILTRATION 00.00% 10/21/28                     | T/L FILTRATION GROUP           CORPORATION 0% 0.00000000                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3104947 | PA      | $3115597.08   | 0.32%             | 2028-10-21      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 3.55000 L 07/11/25 FAR                | ORO USD 7Y C 3.55000 L 07/11/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3000000 | NC      | $-14752.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| C/O OTC ECAL FN 4.5 9-55 96                        | CALL OPTION ON 100SHS          OTC ECAL FN 4.5 9-55 96 23 BOA 0.00000000                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        |  -2000000 | NC      | $-8406.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L NORTHRIVER 0% 8/16/30                          | T/L NORTHRIVER MIDSTREAM       FINANCE LP REGD 0.00000000                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | CA        |    322681 | PA      | $323755.08    | 0.03%             | 2030-08-16      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNR 2024-6 IO 3.5% 11/25/51                        | FANNIE MAE REMICS SER 2024-6 CL IO 3.50000000                                                    | CUSIP: 3136BQ2Z1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    688041 | PA      | $127124.65    | 0.01%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| F/C HANG SENG IDX FUT JUL25                        | FUTURE CONTRACT ON           HANG SENG IDX FUT JUL25 /HKD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |        33 | NC      | $5062274.28   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L EPICOR SOFTWAR 0% 05/30/31                     | T/L EPICOR SOFTWARE            CORPORATION REGD 0.00000000                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3993737 | PA      | $4001764.12   | 0.41%             | 2031-05-30      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| T/L CPPIB OVM 0% 08/20/31                          | T/L CPPIB OVM MEMBER U.S. LLC  REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    217978 | PA      | $217160.26    | 0.02%             | 2031-08-20      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| T/L ENVESTNET INC 0% 11/25/31                      | T/L ENVESTNET INC REGD 0.00000000                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1226925 | PA      | $1228151.93   | 0.13%             | 2031-11-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| F/C SHORT EURO-BTP FU SEP25                        | FUTURE CONTRACT ON           SHORT EURO-BTP FU SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       139 | NC      | $17674379.69  | 1.82%             |  |  |  | No            |                  1 | On Loan: No      |
| GNR 2017-H16 F V/R 08/20/67                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H16 CL F V/R 5.81542000                        | CUSIP: 38375UD56<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    171124 | PA      | $172016.39    | 0.02%             | 2067-08-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| T/L SURGERY CENTE ZCP 12/19/30                     | T/L SURGERY CENTER HOLDINGS INC REGD ZCP TERM LOAN 0.00000000                                    | CUSIP: 86880NBB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2493085 | PA      | $2500115.87   | 0.26%             | 2030-12-19      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| F/C EURO-BOBL FUTURE  SEP25                        | FUTURE CONTRACT ON           EURO-BOBL FUTURE  SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        37 | NC      | $5128982.69   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L REALPAGE INC 0% 4/24/28                        | T/L REALPAGE INC REGD 0.00000000                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     88817 | PA      | $88133.08     | 0.01%             | 2028-04-24      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| T/L DECHRA PHARMA 0% 12/04/31                      | T/L DECHRA PHARMACEUTICALS     HOLDINGS LIMITED 0.00000000                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |    425000 | PA      | $425769.25    | 0.04%             | 2031-12-04      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| T/L MAVIS TIRE EXP 0% 05/04/28                     | T/L MAVIS TIRE EXPRESS SERVICES TOPCO CORP REGD 0.00000000                                       | CUSIP: 57777YAG1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    859840 | PA      | $858885.16    | 0.09%             | 2028-05-04      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| T/L ZAYO GROUP 0% 03/09/2027                       | T/L ZAYO GROUP HOLDINGS INC    REGD 0.00000000                                                   | CUSIP: 98919XAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    675000 | PA      | $640710.00    | 0.07%             | 2027-03-09      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| F/C ICE 3MTH SONIA FU JUN27                        | FUTURE CONTRACT ON           ICE 3MTH SONIA FU JUN27 /GBP/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       243 | NC      | $80511582.01  | 8.29%             |  |  |  | No            |                  1 | On Loan: No      |
| ARSENAL AIC PAR 11.5% 10/01/31                     | ARSENAL AIC PARENT LLC REGD 144A P/P 11.50000000                                                 | CUSIP: 04288BAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $184989.42    | 0.02%             | 2031-10-01      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| FCAT 2024-3 A 4.88% 11/15/28                       | FLAGSHIP CREDIT AUTO TRUST 2024-3 SER 2024-3 CL A REGD 144A P/P 4.88000000                       | CUSIP: 33843YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1467918 | PA      | $1470216.59   | 0.15%             | 2028-11-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| T/L ASURION LLC 0% 01/31/2028                      | T/L ASURION LLC REGD 0.00000000                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    785000 | PA      | $748693.75    | 0.08%             | 2028-01-31      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| T/L ARCHES BUYER 0% 12/06/27                       | T/L ARCHES BUYER INC REGD 0.00000000                                                             | CUSIP: 03952HAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    751561 | PA      | $741505.32    | 0.08%             | 2027-12-06      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6% AUG 25                            | FNMA 30YR TBA 6% AUG 25        TO BE ANNOUNCED 6.00000000                                        | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  48880000 | PA      | $49643210.36  | 5.11%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNS 439 C25 5% 09/25/53                            | FANNIE MAE INTEREST STRIP SER 439 CL C25 5.00000000                                              | CUSIP: 31424UK39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    894138 | PA      | $206417.24    | 0.02%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| F/C FTSE TAIWAN INDEX JUL25                        | FUTURE CONTRACT ON             FTSE TAIWAN INDEX JUL25 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |        43 | NC      | $3136420.00   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C COPPER FUTURE     SEP25                        | FUTURE CONTRACT ON           COPPER FUTURE     SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        65 | NC      | $8259062.50   | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L LTI HOLDINGS 0% 07/30/29                       | T/L LTI HOLDINGS INC REGD 0.00000000                                                             | CUSIP: 50217UBF3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2781653 | PA      | $2779037.76   | 0.29%             | 2029-07-30      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR TBA 2% JULY 24                       | GNMA II 30 YR TBA 2% JULY 24   TO BE ANNOUNCED 2.00000000                                        | CUSIP: 21H020675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $6520303.68   | 0.67%             | 2055-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T/L ONEDIGITAL 0% 07/02/32                         | T/L ONEDIGITAL BORROWER LLC    REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1330000 | PA      | $1328337.50   | 0.14%             | 2032-07-02      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| T/L TRUIST INSURANCE 0% 5/6/32                     | T/L TRUIST INSURANCE 0% 5/6/32 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3308863 | PA      | $3344036.38   | 0.34%             | 2032-05-06      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| T/L BLERIOT US B 0% 10/31/30                       | T/L BLERIOT US BIDCO INC REGD_  TERM LOAN 0.00000000                                             | CUSIP: 09353TAJ9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    426701 | PA      | $427503.39    | 0.04%             | 2030-10-31      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| T/L GOODNIGHT WATE 0% 06/04/24                     | T/L GOODNIGHT WATER SOLUTIONS      HOLDINGS LLC REGD TERM LOAN 0.00000000                        | CUSIP: 38238YAC3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    451468 | PA      | $451468.46    | 0.05%             | 2029-06-04      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| F/C EURO STOXX 50     SEP25                        | FUTURE CONTRACT ON           EURO STOXX 50     SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |        51 | NC      | $3200219.17   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  JUN27                        | FUTURE CONTRACT ON           3 MONTH SOFR FUT  JUN27 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       184 | NC      | $44576300.00  | 4.59%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L CHARTER NEX 0% 11/29/30                        | T/L CHARTER NEXT GENERATION    INC REGD 0.00000000                                               | CUSIP: 16125TAM4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3140574 | PA      | $3150404.50   | 0.32%             | 2030-11-29      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| T/L TALEN ENERGY 0% 05/17/2030                     | T/L TALEN ENERGY SUPPLY LLC    REGD 0.00000000                                                   | CUSIP: 87422LAV2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1140763 | PA      | $1142005.98   | 0.12%             | 2030-05-17      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% JUL 25                          | FNMA 30YR TBA 4.5% JUL 25      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1912434.64   | 0.20%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T/L GRAY TELEVI 0% 06/04/29                        | T/L GRAY TELEVISION  INC REGD 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    213375 | PA      | $213031.78    | 0.02%             | 2029-06-04      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| FNR 2020-89 DI 2.5% 12/25/50                       | FANNIE MAE REMICS SER 2020-89 CL DI 2.50000000                                                   | CUSIP: 3136BCD80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1721200 | PA      | $271279.59    | 0.03%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QJ5582 6% 09/01/54                          | FREDDIE MAC POOL UMBS P#QJ5582 6.00000000                                                        | CUSIP: 3133CWFX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57047 | PA      | $58781.08     | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T/L TTF HOLDINGS 0% 07/18/31                       | T/L TTF HOLDINGS LLC REGD 0.00000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    289689 | PA      | $286791.97    | 0.03%             | 2031-07-18      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                | HKD/USD FWD 20250717 000000010 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2250.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L KAMAN CORP 00.00% 01/30/32                     | T/L KAMAN CORPORATION 0.00000000                                                                 | CUSIP: 48354VAN2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     40948 | PA      | $40884.40     | 0.00%             | 2032-01-30      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L 10/08/25 BOA                | ORO USD 7Y P 5.00000 L 10/08/25 BOA 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  29700000 | NC      | $2456.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SABRE GLBL IN 11.125% 07/15/30                     | SABRE GLBL INC REGD 144A P/P 11.12500000                                                         | CUSIP: 78573NAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    430000 | PA      | $448816.80    | 0.05%             | 2030-07-15      | Fixed         | 11.12%                | Yes           |                  2 | On Loan: No      |
| ORO USD 10Y P 5.00000 L 07/22/25 BRC               | ORO USD 10Y P 5.00000 L 07/22/25 BRC 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  30000000 | NC      | $3.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L PMHC II 0% 02/02/2029                          | T/L PMHC II INC REGD 0.00000000                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    489988 | PA      | $426833.04    | 0.04%             | 2029-04-23      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| T/L CAESARS ENTER 0% 02/06/31                      | T/L CAESARS ENTERTAINMENT INC  REGD TERM LOAN 0.00000000                                         | CUSIP: 12768EAH9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    874069 | PA      | $872434.06    | 0.09%             | 2031-02-06      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| T/L TRANSDIGM INC 0% 02/28/31                      | T/L TRANSDIGM INC ZCP REGD     TERM LOAN 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1400523 | PA      | $1402904.37   | 0.14%             | 2031-02-28      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                | JPY/USD FWD 20250717 000000010 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3933.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L LUMEN TECHNOL ZCP 04/15/29                     | T/L LUMEN TECHNOLOGIES INC REGD ZCP TERM LOAN 0.00000000                                         | CUSIP: 55024EAF2<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |    378519 | PA      | $373458.46    | 0.04%             | 2029-04-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| T/L BRAZOS DELAWAR 0% 02/11/30                     | T/L BRAZOS DELAWARE II LLC     REGD 0.00000000                                                   | CUSIP: 10620UAL6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    452722 | PA      | $453043.57    | 0.05%             | 2030-02-11      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| F/C CORN FUTURE       DEC25                        | FUTURE CONTRACT ON           CORN FUTURE       DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |      -335 | NC      | $-7127125.00  | -0.73%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS P#CB9810 6% 01/01/55                          | FANNIE MAE POOL UMBS P#CB9810 6.00000000                                                         | CUSIP: 3140QV3U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2107821 | PA      | $2174595.15   | 0.22%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2016-H24 KF V/R 11/20/66                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-H24 CL KF V/R 4.78304000                       | CUSIP: 38376RG34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    233723 | PA      | $234982.92    | 0.02%             | 2066-11-20      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| PAID 2024-11  5.092% 12/15/26                      | PAGAYA AI DEBT GRANTOR TRUST 2024-11 SER 2024-11 CL A REGD 144A P/P 5.09200000                   | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1226035 | PA      | $1227763.81   | 0.13%             | 2032-07-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                | TRS FI USD REC IBXXLLTR 12/20/25 /LONG/                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $6318.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASH COLLATERAL CME BOS                            | CASH COLLATERAL CME BOS        /CCBOSCUS7 4.23000000                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    325000 | PA      | $325000.00    | 0.03%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P4  4.62% 07/10/26                      | CARVANA AUTO RECEIVABLES TRUST 2024-P4 SER 2024-P4 CL A2 REGD 4.62000000                         | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1168998 | PA      | $1168921.80   | 0.12%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| T/L PIKE CORPORATI 0% 1/21/28                      | T/L PIKE CORPORATION REGD 0.00000000                                                             | CUSIP: 72108PAR5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    524231 | PA      | $526925.80    | 0.05%             | 2028-01-21      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| PAID 2024-10 B 5.75% 11/15/26                      | PAGAYA AI DEBT GRANTOR TRUST 2024-10 SER 2024-10 CL B REGD 144A P/P 5.75000000                   | CUSIP: 69544MAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1281269 | PA      | $1287099.35   | 0.13%             | 2032-06-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| ORO FWD USD 10Y C 4.26500 L 05/01/35 BOA           | ORO FWD USD 10Y C 4.26500 L 05/01/35 BOA 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1100000 | NC      | $63668.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNS 429 C10 1.5% 04/25/37                          | FANNIE MAE INTEREST STRIP SER 429 CL C10 1.50000000                                              | CUSIP: 31423YVS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3236634 | PA      | $177679.05    | 0.02%             | 2037-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ORO USD 10Y P 5.50000 L 01/30/26 BOA               | ORO USD 10Y P 5.50000 L 01/30/26 BOA 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   3000000 | NC      | $1919.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCC 2021-5A A1R V/R 10/23/34                       | BAIN CAPITAL CREDIT CLO 2021-5 LTD SER 2021-5A CL A1R V/R REGD 144A P/P 5.42238000               | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2988770.40   | 0.31%             | 2034-10-23      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA 30YR TBA 7.0% SEPT 25                         | FNMA 30YR TBA 7.0% SEPT 25     TO BE ANNOUNCED 7.00000000                                        | CUSIP: 01F070690<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18000000 | PA      | $18852368.94  | 1.94%             | 2055-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RAMC 2005-1 AF5 V/R 05/25/35                       | RENAISSANCE HOME EQUITY LOAN TRUST 2005-1 SER 2005-1 CL AF5 V/R REGD 5.95100000                  | CUSIP: 759950FF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    232185 | PA      | $232253.23    | 0.02%             | 2035-05-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| T/L DYE & DURHAM 0% 12/31/49                       | T/L DYE & DURHAM CORPORATION   0% 0.00000000                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1062501 | PA      | $1069673.27   | 0.11%             | 2049-12-31      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| FHR 5010 IK 2.5% 09/25/50                          | FREDDIE MAC REMICS SER 5010 CL IK 2.50000000                                                     | CUSIP: 3137FVQ54<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     59621 | PA      | $8912.13      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T/L GENUINE FINA 0% 09/27/30                       | T/L GENUINE FINANCIAL HOLDINGS LLC REGD 0.00000000                                               | CUSIP: 37190DAN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    664967 | PA      | $630055.80    | 0.06%             | 2030-09-27      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y P 5.00000 L        03/20/26 BOA         | ORO USD 7Y P 5.00000 L        03/20/26 BOA 0.00000000                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   3200000 | NC      | $4506.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| C/O OTC ECAL FN 5.0 8-55 97                        | CALL OPTION ON 100SHS          OTC ECAL FN 5.0 8-55 97 23+    BOA 0.00000000                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | US        |  13100000 | NC      | $94715.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T/L AADVANTAGE LO 0% 04/20/28                      | T/L AADVANTAGE LOYALTY IP LTD. REGD 0.00000000                                                   | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |   1786447 | PA      | $1772762.44   | 0.18%             | 2028-04-20      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| ACRISURE HOLDINGS INC /REST/                       | ACRISURE HOLDINGS INC SERIES A-2 PREFERRED STOCK /RESTRICTED/ 0.00000000                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |     12458 | NS      | $299988.64    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| F/C EURO-BUND FUTURE  SEP25                        | FUTURE CONTRACT ON           EURO-BUND FUTURE  SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        33 | NC      | $5059236.27   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L  W R GRAC 0% 09/22/28                          | T/L  W R GRACE HOLDINGS LLC    REGD 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    456452 | PA      | $456644.15    | 0.05%             | 2028-09-22      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| FHS 362 C4 3% 12/15/47                             | FREDDIE MAC STRIPS SER 362 CL C4 3.00000000                                                      | CUSIP: 31325W4P4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8355202 | PA      | $1395928.32   | 0.14%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 5040 CI 4% 11/25/50                            | FREDDIE MAC REMICS SER 5040 CL CI 4.00000000                                                     | CUSIP: 3137F6N60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6833378 | PA      | $1473610.43   | 0.15%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMALT 2024-3 A 4.29% 04/20/26                      | GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3 SER 2024-3 CL A2A REGD 4.29000000                   | CUSIP: 38012QAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95759 | PA      | $95640.56     | 0.01%             | 2027-01-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC 10.75% 11/15/29                     | SABRE GLBL INC REGD 144A P/P 10.75000000                                                         | CUSIP: 78573NAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    317000 | PA      | $325732.10    | 0.03%             | 2029-11-15      | Fixed         | 10.75%                | Yes           |                  2 | On Loan: No      |
| CIM 2025-R1 A1 V/R 02/25/99                        | CIM TRUST 2025-R1 SER 2025-R1 CL A1 V/R REGD 144A P/P 5.00000000                                 | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3129749 | PA      | $3093722.94   | 0.32%             | 2099-02-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| MVEW 2019-1A A1R V/R 10/15/34                      | MOUNTAIN VIEW CLO XIV LTD SER 2019-1A CL A1R V/R REGD 144A P/P 5.41510000                        | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $3193133.44   | 0.33%             | 2034-10-15      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| JONES DESLAURIE 10.5% 12/15/30                     | JONES DESLAURIERS INSURA REGD 144A P/P 10.50000000                                               | CUSIP: 48020RAA3<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    390000 | PA      | $415665.08    | 0.04%             | 2030-12-15      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| F/C S&P/TSX 60 IX FUT SEP25                        | FUTURE CONTRACT ON           S&P/TSX 60 IX FUT SEP25 /CAD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | CA        |        38 | NC      | $8929686.07   | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA 30YR TBA 7.0% JULY 25                         | FNMA 30YR TBA 7.0% JULY 25     TO BE ANNOUNCED 7.00000000                                        | CUSIP: 01F070674<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -17000000 | PA      | $-17889351.09 | -1.84%            | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T/L TWITTER INC 0% 02/14/30/                       | T/L TWITTER INC REGD 0.00000000                                                                  | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1210000 | PA      | $1175720.70   | 0.12%             | 2030-02-14      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| T/L TRUIST INSURAN 0% 05/06/31                     | T/L TRUIST INSURANCE HOLDINGS  LLC REGD 0.00000000                                               | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    907789 | PA      | $907598.40    | 0.09%             | 2031-05-06      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| T/L LIGHT AND WOND 0% 04/15/29                     | T/L LIGHT AND WONDER           INTERNATIONAL INC REGD 0.00000000                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    277900 | PA      | $277761.05    | 0.03%             | 2029-04-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49                       | CASH COLLATERAL USD 4.23000000                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |  -1471000 | PA      | $-1471000.00  | -0.15%            | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| T/L SYNEOS HEALTH 0% 09/19/30                      | T/L SYNEOS HEALTH INC (AKA INC RESEARCH HOLDINGS INC) REGD 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    362249 | PA      | $358513.95    | 0.04%             | 2030-09-27      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 10/23/25                             | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797QG5<br>LEI: N/A                  | Long             | STIV             | UST               | US        |  18500000 | PA      | $18254877.59  | 1.88%             | 2025-10-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                | EUR/USD FWD 20250822 000016440 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2895.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L SEDGWICK CLA 0% 07/31/31                       | T/L SEDGWICK CLAIMS MANAGEMENT SERVICES INC REGD 0.00000000                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2829150 | PA      | $2838005.24   | 0.29%             | 2031-07-31      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ2942 5.205% 04/01/29                      | FANNIE MAE POOL UMBS P#BZ2942 5.20500000                                                         | CUSIP: 3140NXHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2291000 | PA      | $2365049.34   | 0.24%             | 2029-04-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| F/C AUDUSD CRNCY FUT  SEP25                        | FUTURE CONTRACT ON           AUDUSD CRNCY FUT  SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |       119 | NC      | $7841505.00   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L ALPHA GENERAT ZCP 09/30/31                     | T/L ALPHA GENERATION LLC REGD ZCP TERM LOAN 0.00000000                                           | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |   1584312 | PA      | $1581016.72   | 0.16%             | 2031-09-30      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| T/L CMG MEDIA 0% 06/18/29                          | T/L CMG MEDIA CORPORATION REGD 0.00000000                                                        | CUSIP: 88145LAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1426553 | PA      | $1378606.67   | 0.14%             | 2029-06-18      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| ORO USD 7Y C 2.98000 L 07/03/25 FAR                | ORO USD 7Y C 2.98000 L 07/03/25 FAR 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3000000 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T/L RENAISSANCE 0.00% 04/05/30                     | T/L RENAISSANCE HOLDING CORP 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    456524 | PA      | $413510.25    | 0.04%             | 2030-04-05      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL3 A V/R 02/25/28                      | VCAT 2025-NPL3 LLC SER 2025-NPL3 CL A1 V/R REGD 144A P/P 5.88900000                              | CUSIP: 92243QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2541310 | PA      | $2542744.59   | 0.26%             | 2055-02-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| PRET 2025-NPL6 A V/R 06/25/55                      | PRET 2025-NPL6 LLC SER 2025-NPL6 CL A1 V/R REGD 144A P/P 0.00000000                              | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1600108.96   | 0.16%             | 2055-06-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PRET 2025-RPL3 A V/R 04/25/65                      | PRET 2025-RPL3 TRUST SER 2025-RPL3 CL A1 V/R REGD 144A P/P 4.15000000                            | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3700000 | PA      | $3556254.63   | 0.37%             | 2065-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| T/L FOCUS FINANC 0% 09/15/31                       | T/L FOCUS FINANCIAL PARTNERS   LLC REGD 0.00000000                                               | CUSIP: 34416DBD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2661750 | PA      | $2655441.34   | 0.27%             | 2031-09-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| VERUS 2022-INV1  V/R 08/25/67                      | VERUS SECURITIZATION TRUST 2022-INV1 SER 2022-INV1 CL A1 V/R REGD 144A P/P 5.04100000            | CUSIP: 92539JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2357764 | PA      | $2345966.39   | 0.24%             | 2067-08-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| ORO FWD USD 10Y C 4.47000 L 06/04/35 BOA           | ORO FWD USD 10Y C 4.47000 L 06/04/35 BOA 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1000000 | NC      | $64525.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C SILVER FUTURE     SEP25                        | FUTURE CONTRACT ON           SILVER FUTURE     SEP25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        68 | NC      | $12298480.00  | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| T/L ASURION LLC 0% 08/19/28                        | T/L ASURION LLC REGD 0.00000000                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1024520 | PA      | $1012625.04   | 0.10%             | 2028-08-19      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| F/C MILL WHEAT EURO   DEC25                        | FUTURE CONTRACT ON           MILL WHEAT EURO   DEC25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |       -43 | NC      | $-522980.34   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| T/L MCAFEE CORP 0% 03/01/29                        | T/L MCAFEE CORP  REGD 0.00000000                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2129662 | PA      | $2065325.40   | 0.21%             | 2029-03-01      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** Six Circles Trust

**Signature:** Tricia Larkin

**Name of Signer:** Tricia Larkin

**Title:** Treasurer/Principal Financial Officer