# EDGAR Filing Document

**Accession Number:** 0001510599
**File Stem:** 0001099263-26-003115
**Filing Date:** 2026-3
**Character Count:** 842261
**Document Hash:** 6c123ab9ab2d67b2210e8fede6437c36
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003115.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003115

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Dynamic Income Fund
- **CENTRAL INDEX KEY:** 0001510599

**ORGANIZATION NAME:**
- **EIN:** 274580758
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22673
- **FILM NUMBER:** 26705940

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-739-4000

**MAIL ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Dynamic Income Fund

- **b. Investment Company Act file number:** 811-22673

- **c. CIK number of Registrant:** 0001510599

- **d. LEI of Registrant:** F0MWMXS5YG3P711FB044

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 337-4626

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

- **a. Name of Series:** N/A

- **c. LEI of Series:** N/A

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

- **a. Date of fiscal year-end:** 2026-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $11523078042.87

**Total Liabilities:** $4133331203.25

**Net Assets:** $7389746839.62

**Delayed Delivery Securities:** $170560000.00

**Cash Not Reported:** $34531689.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 69304.972300 | **1-Year:** 44197.145600 | **5-Year:** 199610.147100 | **10-Year:** 91460.934400 | **30-Year:** -48583.850600

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

- **3-Month:** 749599.424600 | **1-Year:** 447567.558400 | **5-Year:** 985433.657600 | **10-Year:** 438609.352800 | **30-Year:** 39689.054600

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -6.10%               | -0.31%               | -0.72%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $21486969.12             | $-39517023.07                              |
| Month 2  | $-42294296.96            | $54373835.69                               |
| Month 3  | $7358030.31              | $3158231.68                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 245 PARK AVENUE TRUST 2017-245P                                            | PARK AVENUE TRUST PRKAV 2017 245P E 144A                      | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8861000 | PA      | $8489963.35    | 0.11%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -6581330 | PA      | $-7739004.48   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| VIALTO PARTNERS (GALAXY US OPCO INC)                                       | GALAXY US OPCO INC. TERM LOAN                                 | CUSIP: 36321DAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    53812708 | PA      | $51909890.96   | 0.70%             | 2030-07-31      | Fixed         | 9.09%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR9                                                    | BCAP LLC TRUST BCAP 2013 RR9 4A5 144A                         | CUSIP: 05542WAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4289628 | PA      | $2731893.17    | 0.04%             | 2037-10-26      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005 2                                            | FBR SECURITIZATION TRUST FBRSI 2005 2 M4                      | CUSIP: 30246QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $5939541.40    | 0.08%             | 2035-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875              | CUSIP: ACI1S6R75<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      800000 | PA      | $80000.00      | 0.00%             | 2030-10-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A Z 144A             | CUSIP: ACI2S8TP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     3433000 | PA      | $3743735.25    | 0.05%             | 2050-06-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 2A5               | CUSIP: 761128AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4048146 | PA      | $939934.90     | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -38339323 | PA      | $-38355010.32  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)                                 | DESARROLLADORA HOMEX SAB DE COMMON STOCK                      | CUSIP: B01RQ2907<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |      719113 | NS      | $39.93         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1              | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1292092 | PA      | $917443.78     | 0.01%             | 2036-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3               | CUSIP: 542514RL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16122802 | PA      | $14431058.60   | 0.20%             | 2036-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 B5 144A                 | CUSIP: 89178BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12232454 | PA      | $7045955.61    | 0.10%             | 2059-10-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A        | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      700000 | PA      | $326955.35     | 0.00%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| CLAVEAU RE LTD                                                             | CLAVEAU RE LTD UNSECURED 144A 07/28 VAR                       | CUSIP: 182896AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2720798 | PA      | $0.03          | 0.00%             | 2028-07-08      | Floating      | 17.25%                | No            |                  3 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A R 144A                                   | CUSIP: ACI2JTMW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     6403000 | PA      | $5953147.45    | 0.08%             | 2049-12-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260226                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $147108.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MIZUHO SECURITIES                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -56073675 | PA      | $-56195043.64  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG             | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      800000 | PA      | $236000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                     | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1                 | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      824678 | PA      | $811026.24     | 0.01%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                       | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 1A1            | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24247 | PA      | $17150.02      | 0.00%             | 2036-02-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                            | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995                 | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     4000000 | PA      | $4820153.27    | 0.07%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2001-HE8               | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE8 M1               | CUSIP: 22540AB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      610320 | PA      | $600845.01     | 0.01%             | 2031-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6878639 | PA      | $-6899513.97   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-8R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 8R 3A2 144A            | CUSIP: 12650NAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5926495 | PA      | $4976768.27    | 0.07%             | 2037-11-25      | Floating      | 31.57%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A          | CUSIP: 36260AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20073000 | PA      | $13743567.59   | 0.19%             | 2059-07-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| ATLAS RE LIMITED                                                           | ATLAS RE LIMITED ATLAS RE LTD SIDECAR                         | CUSIP: 956BLH000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         528 | NS      | $53220182.35   | 0.72%             |  |  |  | No            |                  3 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3                          | FREDDIE MAC   SCRT SCRT 2020 3 BXS 144A                       | CUSIP: 35563PUB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1865918 | PA      | $1076892.29    | 0.01%             | 2060-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                 | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M2 144A                  | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15000000 | PA      | $15055137.00   | 0.20%             | 2037-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 B2 144A            | CUSIP: 26844QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7689300 | PA      | $7705061.53    | 0.10%             | 2068-02-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI2 144A         | CUSIP: 760985X97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1737782 | PA      | $1834490.32    | 0.02%             | 2034-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                    | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M4                 | CUSIP: 00764MFU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2225000 | PA      | $364302.37     | 0.00%             | 2035-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -1578525 | PA      | $-1859468.41   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-2NU              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 2NU A 144A          | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6870000 | PA      | $6358087.45    | 0.09%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                              | FANNIEMAE WHOLE LOAN FNW 2003 W18 1IO2                        | CUSIP: 31393UNU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14359872 | PA      | $579596.04     | 0.01%             | 2043-08-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS                | CUSIP: 38381BGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2224531 | PA      | $227206.29     | 0.00%             | 2048-12-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-419.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260406                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3145.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M4                | CUSIP: 64352VKW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      394225 | PA      | $423509.06     | 0.01%             | 2035-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC      | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    47727998 | PA      | $8255598.22    | 0.11%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2016-787S                                              | COMM MORTGAGE TRUST COMM 2016 787S A 144A                     | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4970984.50    | 0.07%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| TALON FUNDING LTD 1A                                                       | TALON FUNDING LTD TALON 1A A 144A                             | CUSIP: 87483UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      675547 | PA      | $104176.17     | 0.00%             | 2035-06-05      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2              | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50165 | PA      | $48726.83      | 0.00%             | 2034-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -1211452 | PA      | $-1426041.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-2642.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                            | BEAR STEARNS ALT A TRUST BALTA 2005 9 25A1                    | CUSIP: 07386HYF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19658 | PA      | $12214.27      | 0.00%             | 2035-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A X 144A                   | CUSIP: ACI2C6PW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    11991000 | PA      | $20880542.39   | 0.28%             | 2062-10-16      | Floating      | 12.96%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4                      | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE4 M3              | CUSIP: 073879TV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1237410 | PA      | $1250085.59    | 0.02%             | 2035-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                 | ACE SECURITIES CORP. ACE 2005 HE3 M5                          | CUSIP: 004421NG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      886788 | PA      | $729136.81     | 0.01%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                           | PROJECT CASHMERE CLASS M 144A                                 | CUSIP: 990ABJSM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    13260000 | PA      | $8849061.44    | 0.12%             | 2057-12-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                            | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                     | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1401211 | PA      | $592497.52     | 0.01%             | 2036-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-11                                                    | LEHMAN XS TRUST LXS 2006 11 2A4                               | CUSIP: 52522WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130877 | PA      | $143567.52     | 0.00%             | 2046-06-24      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2020-COVE                          | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2020 COVE A 144A         | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3660000 | PA      | $3507362.99    | 0.05%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                          | FREDDIE MAC   SCRT SCRT 2021 1 BXS 144A                       | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1571223 | PA      | $1168248.92    | 0.02%             | 2060-09-25      | Fixed         | 13.18%                | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 XS 144A               | CUSIP: 59981TBF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    25084862 | PA      | $132628.68     | 0.00%             | 2059-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -9192983 | PA      | $-9208943.42   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 4A2 144A          | CUSIP: 05955DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8098403 | PA      | $2366857.50    | 0.03%             | 2036-07-26      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER RE LTD                                                       | CHARLES RIVER RE LTD SR UNSECURED 144A 05/31 VAR              | CUSIP: 159873AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $261925.00     | 0.00%             | 2031-05-10      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                      | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    67775673 | PA      | $660202832.46  | 8.93%             |  |  |  | No            |                  1 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP COMPANY GUAR REGS 04/27 4.375             | CUSIP: ACI1TXLK2<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |      400000 | PA      | $38000.00      | 0.00%             | 2027-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -2040804 | PA      | $-2403060.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 1A              | CUSIP: 939336G23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58050 | PA      | $54227.93      | 0.00%             | 2033-06-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                                              | PENNYMAC CORP COMPANY GUAR 03/26 5.5                          | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |     7700000 | PA      | $7711550.00    | 0.10%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/29 9.5                | CUSIP: 46206AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2140000 | PA      | $2169303.41    | 0.03%             | 2029-05-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A           | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      579613 | PA      | $568936.81     | 0.01%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B1 144A               | CUSIP: 59981TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3063000 | PA      | $2611796.82    | 0.04%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -102799062 | PA      | $-103054117.96 | -1.39%            |  |  |  | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                       | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2               | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |     2351000 | PA      | $2354150.34    | 0.03%             | 2027-09-01      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1729708 | PA      | $-1735246.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A             | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24000000 | PA      | $20580991.20   | 0.28%             | 2038-11-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-485L                                | GS MORTGAGE SECURITIES TRUST GSMS 2017 485L B 144A            | CUSIP: 36252CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1501000 | PA      | $1417031.36    | 0.02%             | 2037-02-10      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5           | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    22715000 | PA      | $21837446.63   | 0.30%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2              | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5222 | PA      | $2322.11       | 0.00%             | 2036-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                       | GSAMP TRUST GSAMP 2007 FM2 A2B                                | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      689832 | PA      | $427366.66     | 0.01%             | 2037-01-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF5             | CUSIP: 46629QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6095756 | PA      | $3641868.55    | 0.05%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL SR SECURED 144A 01/28 5.5            | CUSIP: 16412EAA5<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |     5941000 | PA      | $5882947.52    | 0.08%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3              | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1816889 | PA      | $1201970.08    | 0.02%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                        | NISSAN MOTOR CO SR UNSECURED 144A 07/30 7.5                   | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     4400000 | PA      | $4621036.42    | 0.06%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625              | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     3000000 | PA      | $2100000.00    | 0.03%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                       | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     1700000 | PA      | $39822.19      | 0.00%             | 2026-05-20      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1              | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174151 | PA      | $139778.68     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A        | CUSIP: 46645WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2629528.50    | 0.04%             | 2033-07-05      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9              | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4990677 | PA      | $2002099.55    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP F 144A         | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1146000 | PA      | $155106.06     | 0.00%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                    | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D              | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250562 | PA      | $129844.02     | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A             | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      232222 | PA      | $207904.38     | 0.00%             | 2037-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A1               | CUSIP: 17307GK98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154589 | PA      | $145457.57     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-3Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3130965.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6                   | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      858728 | PA      | $796029.77     | 0.01%             | 2035-03-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR B1               | CUSIP: 61748HHP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133185 | PA      | $117897.03     | 0.00%             | 2035-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED REGS 10/27 9.75             | CUSIP: ACI2VYD73<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      700000 | PA      | $1087427.76    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO120626                                    | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  3382300000 | PA      | $2141684.00    | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST 2010-RR1A                                                   | LAVENDER TRUST LTS 2010 RR1A A4 144A                          | CUSIP: 519440DG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5308223 | PA      | $5169462.49    | 0.07%             | 2036-11-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A        | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    52025000 | PA      | $7687214.00    | 0.10%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 XS 144A              | CUSIP: 92541AAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   398121591 | PA      | $14268757.43   | 0.19%             | 2065-05-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1              | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49384 | PA      | $50188.48      | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -10378856 | PA      | $-10500426.94  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -9945468 | PA      | $-10074791.85  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                               | ACE SECURITIES CORP. ACE 2006 NC3 A2B                         | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20517177 | PA      | $5192125.95    | 0.07%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260320                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $26769.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3                                                        | LUXCO3 SHARES COMMON STOCK                                    | CUSIP: 929YHW907<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |     1799373 | NS      | $31744128.23   | 0.43%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -35249061 | PA      | $-35331308.81  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                    | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN    | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    52494721 | PA      | $54270205.60   | 0.73%             | 2029-05-30      | Floating      | 9.84%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -8238959 | PA      | $-8265053.28   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -669165 | PA      | $-674565.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M5               | CUSIP: 17307GQ27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2329617 | PA      | $1675576.41    | 0.02%             | 2035-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9                  | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       15000 | PA      | $4671.37       | 0.00%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A       | CUSIP: 36260AAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   100384179 | PA      | $417081.21     | 0.01%             | 2059-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP D 144A            | CUSIP: 61770YAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $47890.43      | 0.00%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                                        | IMPAC CMB TRUST IMM 2004 8 1A                                 | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12491 | PA      | $12414.53      | 0.00%             | 2034-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 4A3             | CUSIP: 94985GBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1299544 | PA      | $1149379.69    | 0.02%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                       | MFT TRUST MOFT 2020 ABC A 144A                                | CUSIP: 55317BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      556000 | PA      | $448098.69     | 0.01%             | 2042-02-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                              | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A2                        | CUSIP: 81744MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67018 | PA      | $11614.76      | 0.00%             | 2036-07-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU G 144A            | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2210000 | PA      | $2188302.44    | 0.03%             | 2032-11-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                            | VERAISON RE LTD UNSECURED 144A 03/33 VAR                      | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $309255.00     | 0.00%             | 2033-03-08      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -22706292 | PA      | $-26732035.65  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/30 VAR                | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      605369 | PA      | $360194.56     | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -9858400 | PA      | $-11602223.65  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR                | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     2262170 | PA      | $1080186.18    | 0.01%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| 1166 AVENUE OF THE AMERICAS COMMERCIAL MORTGAGE TRUST 2005-C6A             | 1166 AVENUE OF THE AMERICAS CO AACMT 2005 C6A D 144A          | CUSIP: 682439AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $470687.50     | 0.01%             | 2037-10-13      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB2                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 AB2 A2C              | CUSIP: 84751VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2738911 | PA      | $1362682.49    | 0.02%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4549384 | PA      | $-4560264.19   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $52199.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5             | CUSIP: 02147MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6507536 | PA      | $1178326.11    | 0.02%             | 2036-07-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $8705.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20290502                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $142288.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5           | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |    14084315 | PA      | $14908106.58   | 0.20%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A3              | CUSIP: 761118PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      918091 | PA      | $801515.24     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-284.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A             | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22128 | PA      | $21247.68      | 0.00%             | 2035-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2015-RR6                                                    | BCAP LLC TRUST BCAP 2015 RR6 2A2 144A                         | CUSIP: 05490QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24082080 | PA      | $7526627.81    | 0.10%             | 2036-01-26      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 07/32 6.875                  | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    13230325 | PA      | $12695811.67   | 0.17%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260326                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1858.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                          | XEROX CORPORATION SECURED 144A 04/31 13.5                     | CUSIP: 984121CT8<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |      600000 | PA      | $491625.00     | 0.01%             | 2031-04-15      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2005-2                                           | IMPAC SECURED ASSETS CORP. IMSA 2005 2 A2D                    | CUSIP: 45254TSS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      730012 | PA      | $650915.90     | 0.01%             | 2036-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP COMPANY GUAR 07/26 7.75                         | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    57800000 | PA      | $57132885.12   | 0.77%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/17/25-20Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2976565.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                                            | OCADO GROUP PLC COMPANY GUAR REGS 08/29 10.5                  | CUSIP: ACI2QDHC0<br>LEI: 213800LO8F61YB8MBC74 | Long             | DBT              | CORP              | GB        |    41250000 | PA      | $56056048.09   | 0.76%             | 2029-08-08      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 01/35 11.75                        | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 32470900000 | PA      | $8006197.13    | 0.11%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 06/17/20-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $278468.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1422.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VEON AMSTERDAM BV                                                          | VEON AMSTERDAM TERM LOAN                                      | CUSIP: BA000HL48<br>LEI: 549300EPG4HR574L4660 | Long             | LON              | CORP              | NL        |     8800000 | PA      | $8800000.09    | 0.12%             | 2027-03-25      | Floating      | 7.90%                 | No            |                  3 | On Loan: No      |
| DUKE FUNDING LTD 2004-6A                                                   | DUKE FUNDING LTD DUKEF 2004 6A A1S 144A                       | CUSIP: 264407AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7545721 | PA      | $584031.26     | 0.01%             | 2039-04-08      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     4260000 | PA      | $4491318.00    | 0.06%             | 2031-05-13      | Floating      | 14.08%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-5151.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -27256383 | PA      | $-27407292.51  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A15            | CUSIP: 32052FAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      720085 | PA      | $81243.97      | 0.00%             | 2036-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL SR SECURED REGS 05/30 7.5            | CUSIP: ACI2FPJG4<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |     4243000 | PA      | $5177508.14    | 0.07%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A3               | CUSIP: 761119AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6248440 | PA      | $1580302.32    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                                     | FIRST BRANDS GROUP LLC 2025 DIP TERM LOAN                     | CUSIP: 31935HAM9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       10381 | PA      | $2050.31       | 0.00%             | 2026-06-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | DRILLCO HLDG LUX S A COMMON STOCK                             | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      237203 | NS      | $5351892.69    | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1                                       | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M4                 | CUSIP: 65536HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1980246 | PA      | $1583338.87    | 0.02%             | 2035-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 08/29 11                           | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 34125300000 | PA      | $8540674.72    | 0.12%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| TECPETROL SA                                                               | TECPETROL S.A. SR UNSECURED 144A 11/30 7.625                  | CUSIP: 87876TAH7<br>LEI: 529900C0GOV3UC7ZMZ16 | Long             | DBT              | CORP              | AR        |     7700000 | PA      | $7654801.00    | 0.10%             | 2030-11-03      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-7R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 7R 3A2 144A            | CUSIP: 12646JBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14881124 | PA      | $6649390.53    | 0.09%             | 2047-09-26      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |           1 | NC      | $-406477.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -60848285 | PA      | $-60946830.64  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14               | CUSIP: 74958YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      294886 | PA      | $227440.26     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QUIDELORTHO CORPORATION                                                    | QUIDELORTHO CORP TERM LOAN                                    | CUSIP: 74840YAH7<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |     4189500 | PA      | $4192767.81    | 0.06%             | 2032-08-20      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                      | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C              | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2520691 | PA      | $823426.19     | 0.01%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR1                                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 3A1              | CUSIP: 45669AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13211 | PA      | $11587.69      | 0.00%             | 2037-03-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                          | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A                   | CUSIP: 452570AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1670 | PA      | $1420.54       | 0.00%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A            | CUSIP: 78449DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    24770241 | PA      | $28208053.40   | 0.38%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A2              | CUSIP: 45661XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260454 | PA      | $171862.88     | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $259400.00     | 0.00%             | 2027-06-06      | Floating      | 11.80%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3              | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5708491 | PA      | $5074100.69    | 0.07%             | 2035-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                   | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    43122500 | PA      | $40463135.43   | 0.55%             | 2031-12-19      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                       | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M4             | CUSIP: 0738795T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2869295 | PA      | $2865663.60    | 0.04%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                    | BCAP LLC TRUST BCAP 2010 RR7 1610 144A                        | CUSIP: 05533DGV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9433681 | PA      | $7743716.14    | 0.10%             | 2047-02-26      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                           | DUN + BRADSTREET CORPOR THE 2025 TERM LOAN                    | CUSIP: BA000K739<br>LEI: 2549003M8H6SW81O1D67 | Long             | LON              | CORP              | US        |    13642066 | PA      | $13516907.04   | 0.18%             | 2032-08-26      | Floating      | 9.23%                 | No            |                  3 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300B 144A             | CUSIP: 08163DBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $139149.64     | 0.00%             | 2054-04-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260127                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $43742.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A RES                      | CUSIP: ACI2C6R96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     5795000 | PA      | $11.71         | 0.00%             | 2062-10-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M6                | CUSIP: 64352VKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1341785 | PA      | $1382878.51    | 0.02%             | 2035-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 9/20/23-19Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $259292.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                         | FANNIE MAE FNR 2020 37 IA                                     | CUSIP: 3136B9T56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1758040 | PA      | $337435.22     | 0.00%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2                | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      289270 | PA      | $267657.55     | 0.00%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-313.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 1A1                | CUSIP: 05953LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2466723 | PA      | $2198425.44    | 0.03%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -24461600 | PA      | $-24667716.17  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A           | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      817588 | PA      | $621822.30     | 0.01%             | 2047-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                      | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1             | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000431 | PA      | $930757.69     | 0.01%             | 2037-07-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B             | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15932073 | PA      | $6004940.04    | 0.08%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-J8                                             | COUNTRYWIDE HOME LOANS CWHL 2004 J8 3A8                       | CUSIP: 12669GDX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34264 | PA      | $34576.90      | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED REGS 09/34 6.25                          | CUSIP: ACI2TMW89<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    50600000 | PA      | $62484163.59   | 0.85%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300A 144A             | CUSIP: 08163DBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1196000 | PA      | $900394.13     | 0.01%             | 2054-04-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL11 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL11 A1 144A        | CUSIP: 69383AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6112032 | PA      | $6127359.96    | 0.08%             | 2055-10-25      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                        | STRATTON HAWKSMOOR PLC HWKSM 2022 1A F 144A                   | CUSIP: ACI27FLY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4300000 | PA      | $5771385.30    | 0.08%             | 2053-02-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                        | SAXON ASSET SECURITIES TRUST SAST 2005 3 M4                   | CUSIP: 805564SV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $3205759.55    | 0.04%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                     | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                        | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |      300000 | PA      | $360862.78     | 0.00%             | 2027-07-08      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000              | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      182224 | PA      | $178964.79     | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                          | VERUS SECURITIZATION TRUST VERUS 2024 5 B2 144A               | CUSIP: 92540HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1009443.60    | 0.01%             | 2069-06-25      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P E 144A          | CUSIP: 55375KAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1722551.40    | 0.02%             | 2039-09-13      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                        | MARGATE FUNDING LTD MGATE 2004 1A A1S 144A                    | CUSIP: 56659NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14352188 | PA      | $2428361.45    | 0.03%             | 2044-12-04      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1846725.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A         | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1054184.60    | 0.01%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                  | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2200000 | PA      | $2303510.00    | 0.03%             | 2032-06-07      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                             | URSA RE II LTD UNSECURED 144A 06/28 VAR                       | CUSIP: 91734PAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2300000 | PA      | $2300000.00    | 0.03%             | 2028-06-07      | Floating      | 11.61%                | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1B 144A                           | CUSIP: 83743YAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       47526 | PA      | $8881.31       | 0.00%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.26 03/25/22-01/04/27 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-58720.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A20           | CUSIP: 02148JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      510788 | PA      | $419713.33     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                     | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M6                | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      391640 | PA      | $391501.48     | 0.01%             | 2035-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3               | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13694996 | PA      | $7395592.51    | 0.10%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-18 LTD 2020-18A                                               | OCP CLO LTD OCP 2020 18A PREF 144A                            | CUSIP: 67570T105<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       10500 | PA      | $3441390.65    | 0.05%             | 2037-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 B3 144A          | CUSIP: 64832BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16143167 | PA      | $14780830.61   | 0.20%             | 2064-09-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR                | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     3980480 | PA      | $2348483.20    | 0.03%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M6               | CUSIP: 57643LHB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1707111 | PA      | $1625664.83    | 0.02%             | 2035-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -3984566 | PA      | $-5372940.43   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST  2019-COR6                      | JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2019 COR6 A4             | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1028210 | PA      | $940541.22     | 0.01%             | 2052-11-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| TRANSNET                                                                   | TRANSNET SOC LTD 2015 ZAR TERM LOAN                           | CUSIP: BA000FR04<br>LEI: 378900B07CD6F01EA796 | Long             | LON              | CORP              | ZA        |   147214286 | PA      | $8914981.38    | 0.12%             | 2028-03-02      | Floating      | 11.12%                | No            |                  3 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 1A1               | CUSIP: 61749CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137139 | PA      | $24311.46      | 0.00%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                           | FREDDIE MAC FHR 3181 PS                                       | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      752127 | PA      | $76644.38      | 0.00%             | 2036-07-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                        | STRATTON HAWKSMOOR PLC HWKSM 2022 1A E 144A                   | CUSIP: ACI27FLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1967000 | PA      | $2640075.62    | 0.04%             | 2053-02-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A3                  | CUSIP: 12668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         825 | PA      | $0.00          | 0.00%             | 2032-10-25      | Floating      | 5.71%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF C 144A           | CUSIP: 61691KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $5844035.40    | 0.08%             | 2034-11-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A         | CUSIP: 17312WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4267000 | PA      | $3656830.52    | 0.05%             | 2046-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -3996050 | PA      | $-4703601.68   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                          | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $300000.00     | 0.00%             | 2029-01-08      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A           | CUSIP: 78486DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13423500 | PA      | $13401038.46   | 0.18%             | 2034-04-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4011000 | PA      | $-4019891.05   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A            | CUSIP: 78449VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7847037 | PA      | $8832075.78    | 0.12%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -7568665 | PA      | $-7645023.59   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                              | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR             | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |      300000 | PA      | $367367.52     | 0.00%             | 2029-01-17      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-111                                                 | FANNIE MAE FNR 2011 111 PS                                    | CUSIP: 3136A2HD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      362745 | PA      | $5979.01       | 0.00%             | 2040-03-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| FAB UK LTD 2004-1                                                          | FAB FAB 2004 1 S2 REGS                                        | CUSIP: ACI0MWFN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    16148400 | PA      | $3330479.80    | 0.05%             | 2045-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                                            | OCADO GROUP PLC COMPANY GUAR REGS 06/30 11                    | CUSIP: ACI2WWMJ0<br>LEI: 213800LO8F61YB8MBC74 | Long             | DBT              | CORP              | GB        |    18980000 | PA      | $25891354.19   | 0.35%             | 2030-06-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| ADAGIO VI CLO DAC VI-A                                                     | ADAGIO CLO ADAGI VI A SUB 144A                                | CUSIP: ACI0YQYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1343393 | PA      | $339274.67     | 0.00%             | 2031-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO GBP ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -7607328 | PA      | $-10301277.17  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B4 144A                 | CUSIP: 59980YAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3614777 | PA      | $2266033.86    | 0.03%             | 2066-04-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-3                                              | ROCKFORD TOWER CLO LTD ROCKT 2017 3A SUB 144A                 | CUSIP: 77341TAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4966667 | PA      | $361235.08     | 0.00%             | 2030-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO5                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1               | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2473111 | PA      | $1931694.29    | 0.03%             | 2046-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 1A1               | CUSIP: 05950TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14709 | PA      | $13137.39      | 0.00%             | 2046-10-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -333671 | PA      | $-337096.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-5                                               | LEHMAN MORTGAGE TRUST LMT 2006 5 1A12                         | CUSIP: 52520TAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      322274 | PA      | $141071.09     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C                  | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      419049 | PA      | $372334.99     | 0.01%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 1A1              | CUSIP: 93364FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      658210 | PA      | $529271.68     | 0.01%             | 2037-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                       | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     1300000 | PA      | $30580.38      | 0.00%             | 2026-08-19      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3286304 | PA      | $-3297422.66   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A             | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18150000 | PA      | $18124112.66   | 0.25%             | 2038-05-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-1                                              | SEQUOIA MORTGAGE TRUST SEMT 2004 1 A                          | CUSIP: 81744FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80274 | PA      | $73010.91      | 0.00%             | 2034-02-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                              | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                  | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       16400 | PA      | $0.00          | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GREENGROVE RE LTD                                                          | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                    | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |     1500000 | PA      | $1560750.00    | 0.02%             | 2032-04-08      | Floating      | 11.55%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1365.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2024-1 ISSUER TRUST                                     | STREAM INNOVATIONS ISSUER TRUS STRE 2024 1A A 144A            | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      319158 | PA      | $332089.64     | 0.00%             | 2044-07-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES CORP 2006-EMX8                                | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX8 1A3             | CUSIP: 74924UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2006990 | PA      | $1870101.09    | 0.03%             | 2036-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                     | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      869283 | PA      | $983647.67     | 0.01%             | 2050-12-15      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA6 2A1             | CUSIP: 32052MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      345175 | PA      | $234981.20     | 0.00%             | 2036-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                                     | FIRST BRANDS GROUP LLC 2022 INCREMENTAL TERM LOAN             | CUSIP: 31935HAG2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        8985 | PA      | $48.43         | 0.00%             | 2027-03-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1                | CUSIP: 059475AQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      243650 | PA      | $30285.57      | 0.00%             | 2037-06-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3               | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14850979 | PA      | $10170742.29   | 0.14%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260108                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $117000.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                                | MCAFEE LLC 2024 USD 1ST LIEN TERM LOAN B                      | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |     3989924 | PA      | $3695208.66    | 0.05%             | 2029-03-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -132693086 | PA      | $-132868535.26 | -1.80%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B2 144A               | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2924000 | PA      | $2246718.56    | 0.03%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-4                                               | LEHMAN MORTGAGE TRUST LMT 2006 4 1A1                          | CUSIP: 52520RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      407602 | PA      | $305733.01     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4              | CUSIP: 12668BMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      435498 | PA      | $185926.04     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2002-AR1                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 AR1 M2               | CUSIP: 03072SDC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1147647 | PA      | $1048047.51    | 0.01%             | 2032-09-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2007-A                                      | AMERICAN HOME MORTGAGE INVESTM AHM 2007 A 13A1 144A           | CUSIP: 026931AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4652680 | PA      | $636181.94     | 0.01%             | 2037-01-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 B5 144A                 | CUSIP: 89178WAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3086559 | PA      | $2304606.88    | 0.03%             | 2060-01-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A10              | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141195 | PA      | $112154.38     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260203                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $105088.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                              | PRIME HEALTHCARE SERVICE SR SECURED 144A 09/29 9.375          | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    14800000 | PA      | $15563763.03   | 0.21%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E              | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1978777 | PA      | $703866.78     | 0.01%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO B 144A                    | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11990000 | PA      | $9506495.71    | 0.13%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME E 144A          | CUSIP: 63873VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $347189.67     | 0.00%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF D 144A               | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      266000 | PA      | $264713.04     | 0.00%             | 2035-04-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPO BANK AMERICA REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    19500000 | PA      | $19500000.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GRP INC. 2025 SUPER PRTY NEW MONEY TL A | CUSIP: 65131PAB5<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |     5819425 | PA      | $5488445.45    | 0.07%             | 2029-04-30      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1098.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                    | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR           | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |     4300000 | NS      | $4303182.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5394115 | PA      | $-5411761.02   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M5                | CUSIP: 64352VKX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1066993 | PA      | $1067202.22    | 0.01%             | 2035-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -7309095 | PA      | $-7316783.76   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -16677051 | PA      | $-16736309.45  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC CAD TERM LOAN                             | CUSIP: BA000FPR7<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |     1794897 | PA      | $1319173.82    | 0.02%             | 2032-01-30      | Floating      | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | ESKOM GG LOAN SNR EM SP DUB                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1294332.69    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 04/29 11.75          | CUSIP: 650929AC6<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |    10742485 | PA      | $10339641.81   | 0.14%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -689372 | PA      | $-697308.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT INC/CENTRAL MERGER SUB INC)                     | CNTRL PARENT/CDK GLB INC SR SECURED 144A 06/29 7.25           | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18470000 | PA      | $15678183.96   | 0.21%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 X 144A                | CUSIP: 59981TBG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    28353757 | PA      | $544248.94     | 0.01%             | 2059-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260205                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $5436.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ZIGGO (VZ SECURED FINANCING BV)                                            | VZ SECURED FINANCING BV SR SECURED 144A 01/33 7.5             | CUSIP: 91845AAB1<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |    15000000 | PA      | $15210867.00   | 0.21%             | 2033-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                          | FREDDIE MAC   SCRT SCRT 2021 3 BXS 144A                       | CUSIP: 35563P6W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1926428 | PA      | $1152161.04    | 0.02%             | 2061-03-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                            | BEAR STEARNS ALT A TRUST BALTA 2005 5 26A1                    | CUSIP: 07386HUN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182004 | PA      | $121739.40     | 0.00%             | 2035-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 03/31 5.375                         | CUSIP: ACI2MY762<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     2620000 | PA      | $3207296.11    | 0.04%             | 2031-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ARM MUSTANG EXPRESS HOLDCO LLC                                             | MUSTANG EXPRESS SERIES A PFD                                  | CUSIP: 990ABAYE9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       40508 | NS      | $42640000.00   | 0.58%             |  |  |  | No            |                  3 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B4 144A                 | CUSIP: 59980XAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2759118 | PA      | $1760512.31    | 0.02%             | 2058-08-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 1A1              | CUSIP: 12667GNS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3175332 | PA      | $2931143.37    | 0.04%             | 2035-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 12/16/15-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $419055.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO D 144A                    | CUSIP: 83410JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5800000 | PA      | $4208187.10    | 0.06%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                              | PURPLE RE LTD UNSECURED 144A 06/27 VAR                        | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      700000 | PA      | $737240.00     | 0.01%             | 2027-06-07      | Floating      | 12.76%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG             | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      600000 | PA      | $177000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HILLCREST CDO I LTD 2004-1A                                                | HILLCREST CDO LTD HILLC 2004 1A A1A 144A                      | CUSIP: 43147XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    32572913 | PA      | $5151145.59    | 0.07%             | 2039-12-10      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M5               | CUSIP: 04542BKW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      245683 | PA      | $221445.60     | 0.00%             | 2035-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 04/32 6.5                    | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    28872906 | PA      | $27697400.49   | 0.37%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2009-14R                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 14R 1A9 144A           | CUSIP: 12639GAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10119787 | PA      | $4437488.35    | 0.06%             | 2037-05-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU A 144A            | CUSIP: 36256AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7019752 | PA      | $6977489.09    | 0.09%             | 2032-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-1918                            | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 1918 A 144A          | CUSIP: 95004QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $505165.60     | 0.01%             | 2040-09-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1             | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      315471 | PA      | $278012.36     | 0.00%             | 2047-03-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1             | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      451846 | PA      | $401250.72     | 0.01%             | 2036-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A           | CUSIP: 61691KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10059000 | PA      | $9776507.07    | 0.13%             | 2034-11-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                               | BAYOU RE LTD UNSECURED 144A 04/31 VAR                         | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $265100.00     | 0.00%             | 2031-04-30      | Floating      | 11.95%                | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                               | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                          | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165392 | PA      | $101809.59     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8             | CUSIP: 59024KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2125297 | PA      | $1601864.52    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-70                                                  | FANNIE MAE FNR 2020 70 MI                                     | CUSIP: 3136BB3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12512321 | PA      | $1107847.13    | 0.01%             | 2060-10-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A5            | CUSIP: 02146XAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      664795 | PA      | $253990.79     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B2 144A         | CUSIP: 617941AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1198847.16    | 0.02%             | 2070-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4               | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7646702 | PA      | $2284583.10    | 0.03%             | 2046-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M6                   | CUSIP: 61744CNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      926731 | PA      | $825737.07     | 0.01%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV E 144A             | CUSIP: 12660WAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13700000 | PA      | $1978681.41    | 0.03%             | 2038-07-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4                   | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1441188.32    | 0.02%             | 2035-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP                 | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1994362 | PA      | $879105.54     | 0.01%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 2A1                | CUSIP: 059475AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76560 | PA      | $65947.17      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7883 08/30/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $4781967.60    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HKD BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $9.03          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN        | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   117291957 | PA      | $120810716.18  | 1.63%             | 2028-09-15      | Fixed         | 11.86%                | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI                 | CUSIP: 38378HFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      138206 | PA      | $13265.35      | 0.00%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 3A2              | CUSIP: 86360KBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2610444 | PA      | $1136756.13    | 0.02%             | 2036-02-25      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -810755 | PA      | $-812826.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 3 A1 144A            | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900015 | PA      | $902391.62     | 0.01%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M5                  | CUSIP: 126673VT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      696160 | PA      | $594721.22     | 0.01%             | 2035-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 02/33 13.25                        | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 29789900000 | PA      | $7992587.22    | 0.11%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R5                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A             | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      937335 | PA      | $985963.65     | 0.01%             | 2037-03-26      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 6A2 144A            | CUSIP: 12645KES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1030212 | PA      | $885754.62     | 0.01%             | 2036-05-27      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -5263230 | PA      | $-6196243.01   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -15055393 | PA      | $-15178771.94  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5                  | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |     2710539 | PA      | $2675847.35    | 0.04%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1             | CUSIP: 12667F2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      281718 | PA      | $125383.75     | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A6                | CUSIP: 05952FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      467064 | PA      | $346132.05     | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM3 B3 144A         | CUSIP: 36274TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4634426 | PA      | $4247901.90    | 0.06%             | 2065-11-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | US TREASURY N/B 08/45 4.875                                   | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4166000 | PA      | $4207660.00    | 0.06%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5               | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6137496 | PA      | $5194041.80    | 0.07%             | 2047-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 9A1                | CUSIP: 05954DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280729 | PA      | $224957.03     | 0.00%             | 2037-09-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A1 144A                                 | CUSIP: 26827EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      443490 | PA      | $396933.82     | 0.01%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A3              | CUSIP: 44328AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6138593 | PA      | $2199899.35    | 0.03%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP B 144A          | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1408912 | PA      | $1386019.72    | 0.02%             | 2037-04-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-85346.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS E 144A           | CUSIP: 61692AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18590000 | PA      | $205109.05     | 0.00%             | 2036-12-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 5A1                | CUSIP: 007037AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      499871 | PA      | $598839.35     | 0.01%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 WI                                       | CUSIP: 3137FURL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9687184 | PA      | $1860258.07    | 0.03%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                           | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                  | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     3200000 | PA      | $3428800.00    | 0.05%             | 2026-06-08      | Floating      | 20.81%                | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 9                                                   | SEQUOIA MORTGAGE TRUST SEMT 9 2A                              | CUSIP: 81743SAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112248 | PA      | $109825.70     | 0.00%             | 2032-09-20      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| UCFC HOME EQUITY LOAN 1998-D                                               | UCFC HOME EQUITY LOAN UCFC 1998 D MF2                         | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      244295 | PA      | $248204.97     | 0.00%             | 2030-04-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GRP INC. 2025 TRANCHE B TERM LOAN       | CUSIP: 65131PAD1<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |     9882879 | PA      | $6300335.20    | 0.09%             | 2029-04-30      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -34179315 | PA      | $-34543451.19  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION SERIES 2020-2            | FREDDIE MAC   SLST SLST 2020 2 MRR 144A                       | CUSIP: 35564CGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   253575626 | PA      | $174362480.42  | 2.36%             | 2060-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -7576524 | PA      | $-10228225.62  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1AN 144A                          | CUSIP: 83743YAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   158546223 | PA      | $29627849.82   | 0.40%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A A2 144A                                 | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4870530 | PA      | $5883.60       | 0.00%             | 2041-07-05      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                               | AMS OSRAM AG SR UNSECURED 144A 03/29 12.25                    | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |    31078000 | PA      | $33165602.49   | 0.45%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                       | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4              | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400000 | PA      | $3161673.94    | 0.04%             | 2035-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3               | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      451109 | PA      | $222991.69     | 0.00%             | 2037-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                    | FREDDIE MAC FHR 5062 BS                                       | CUSIP: 3137F8TX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5433735 | PA      | $894303.16     | 0.01%             | 2051-01-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M5               | CUSIP: 57643LHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1280229 | PA      | $1295143.35    | 0.02%             | 2035-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1              | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7570533 | PA      | $2415376.91    | 0.03%             | 2036-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2A                                | EXETER AUTOMOBILE RECEIVABLES EART 2021 2A R                  | CUSIP: 30165XAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       26820 | PA      | $11631295.23   | 0.16%             | 2033-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 AIOS 144A       | CUSIP: 61775UAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   173579235 | PA      | $474591.67     | 0.01%             | 2068-12-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | TRS YJL 01/28/36 MYC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | CN        |           1 | NC      | $-1802430.04   | -0.02%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $4855.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-13                                       | RBSSP RESECURITIZATION TRUST RBSSP 2009 13 11A4 144A          | CUSIP: 74928GBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2909544 | PA      | $1530204.11    | 0.02%             | 2035-09-26      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1              | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41762 | PA      | $42074.32      | 0.00%             | 2034-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -17950988 | PA      | $-21096000.91  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2798811 | PA      | $-2863552.81   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3311                                                           | FREDDIE MAC FHR 3311 EI                                       | CUSIP: 31397H6H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34981 | PA      | $2733.19       | 0.00%             | 2037-05-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                    | VALE SA SUBORDINATED 12/49 VAR                                | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |   830470000 | PA      | $62894301.75   | 0.85%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -17791692 | PA      | $-17989125.41  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| CIRCOR                                                                     | CIRCOR INTERNATIONAL INC 2023 REVOLVER                        | CUSIP: 948FVPII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1065517 | PA      | $1093614.49    | 0.01%             | 2029-06-20      | Floating      | 0.50%                 | No            |                  3 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/34 8.625        | CUSIP: 368266AA0<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     1081000 | PA      | $891825.00     | 0.01%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING 06/60 0                             | CUSIP: ACI2S8XS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         145 | PA      | $0.00          | 0.00%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -7888900 | PA      | $-7967723.33   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A1               | CUSIP: 25151EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30018 | PA      | $26330.35      | 0.00%             | 2036-07-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                           | FINASTRA USA INC 2023 TERM LOAN                               | CUSIP: 953PAVII5<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |      382179 | PA      | $385045.38     | 0.01%             | 2029-09-13      | Floating      | 10.97%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1             | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      244057 | PA      | $225169.64     | 0.00%             | 2036-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                        | CORONADO CDO LTD CORON 1A B2 144A                             | CUSIP: 21976RAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3426108 | PA      | $1143042.19    | 0.02%             | 2038-09-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-5078.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-121                                                        | FANNIE MAE FNR 2006 121 SD                                    | CUSIP: 31396LR85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      816823 | PA      | $103573.86     | 0.00%             | 2036-12-25      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| VERDE CDO LTD 2005-1A                                                      | VERDE CDO LTD VERDE 2005 1A A1 144A                           | CUSIP: 923367AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   240688457 | PA      | $45531516.83   | 0.62%             | 2045-10-05      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260311                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $5794.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-14560.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A G 144A            | CUSIP: 80290CCP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1693887 | PA      | $1767348.05    | 0.02%             | 2032-06-15      | Fixed         | 13.03%                | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR8                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 1A2A             | CUSIP: 17313FAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1614655 | PA      | $63436.57      | 0.00%             | 2037-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M3                | CUSIP: 03072SQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1071480.72    | 0.01%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M4                | CUSIP: 03072SK38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1438167 | PA      | $1444786.44    | 0.02%             | 2035-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-CES2                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 CES2 B3 144A         | CUSIP: 36273BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8591263 | PA      | $8473280.04    | 0.11%             | 2055-09-25      | Variable      | 9.24%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P A 144A          | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $668786.58     | 0.01%             | 2039-09-13      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-135435.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                      | BX TRUST BX 2022 AHP D 144A                                   | CUSIP: 05610FAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14442000 | PA      | $14420690.83   | 0.20%             | 2039-01-17      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                   | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P D 144A           | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12600000 | PA      | $12486452.58   | 0.17%             | 2034-09-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -53798300 | PA      | $-53922259.83  | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                  | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2                | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      169317 | PA      | $149886.03     | 0.00%             | 2033-01-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                                          | INEOS FINANCE PLC SR SECURED 144A 03/31 7.25                  | CUSIP: ACI30LWW7<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |     2400000 | PA      | $2441060.47    | 0.03%             | 2031-03-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 AF6                | CUSIP: 126670AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         293 | PA      | $291.12        | 0.00%             | 2036-02-25      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A1A               | CUSIP: 17312VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1518782 | PA      | $1355763.67    | 0.02%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -16743229 | PA      | $-16775554.24  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                      | BX TRUST BX 2022 AHP C 144A                                   | CUSIP: 05610FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19450000 | PA      | $19442791.83   | 0.26%             | 2039-01-17      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV6                 | CUSIP: 126673B92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      670135 | PA      | $665542.97     | 0.01%             | 2035-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                          | FREDDIE MAC   SCRT SCRT 2022 1 M 144A                         | CUSIP: 35563PC80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3900000 | PA      | $3644447.43    | 0.05%             | 2061-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN               | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |   169680883 | PA      | $160242383.64  | 2.17%             | 2028-06-28      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL     | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    16222526 | PA      | $16222525.85   | 0.22%             | 2026-11-03      | Floating      | 11.86%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO GBP ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -6921123 | PA      | $-9381784.75   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/28 VAR                     | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      800000 | PA      | $844320.00     | 0.01%             | 2028-06-06      | Floating      | 16.05%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A23            | CUSIP: 02146TAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      212407 | PA      | $106095.28     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH E 144A         | CUSIP: 46654EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1730129.60    | 0.02%             | 2038-06-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -7988800 | PA      | $-9405193.49   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -22154231 | PA      | $-22190760.86  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A            | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1297765 | PA      | $856524.70     | 0.01%             | 2035-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-30Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $27708932.40   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-264186.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                   | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                       | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14758023 | PA      | $11651459.35   | 0.16%             | 2046-03-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4                  | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |        1000 | PA      | $296.90        | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A9               | CUSIP: 05950LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      432804 | PA      | $367412.94     | 0.00%             | 2036-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 259                                                     | FREDDIEMAC STRIP FHS 259 S17                                  | CUSIP: 31325TCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      883431 | PA      | $102075.06     | 0.00%             | 2039-04-15      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 A R 144A              | CUSIP: 78450FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        5200 | PA      | $4159868.12    | 0.06%             | 2054-11-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                       | BX TRUST BX 2021 MC F 144A                                    | CUSIP: 05608GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $5751810.60    | 0.08%             | 2034-04-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL6 A1 144A         | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1386520 | PA      | $1392937.17    | 0.02%             | 2055-06-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -3168562 | PA      | $-4291680.27   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                       | GSAMP TRUST GSAMP 2006 FM1 A2C                                | CUSIP: 362334PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      382802 | PA      | $259477.10     | 0.00%             | 2036-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84                   | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     6700000 | PA      | $6808048.69    | 0.09%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                             | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                     | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13944000 | PA      | $11214572.16   | 0.15%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                        | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                  | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1200000 | PA      | $1246800.00    | 0.02%             | 2033-04-10      | Floating      | 13.33%                | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B4                | CUSIP: 41161PSY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      679556 | PA      | $618558.52     | 0.01%             | 2035-06-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4               | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4512481 | PA      | $2679702.64    | 0.04%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM C 144A            | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1840000 | PA      | $1790780.00    | 0.02%             | 2036-12-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                           | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A          | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2900000 | PA      | $60030.00      | 0.00%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                       | GSAMP TRUST GSAMP 2007 FM1 A2D                                | CUSIP: 3622MAAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3383659 | PA      | $1680476.88    | 0.02%             | 2036-12-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                      | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1                 | CUSIP: 878048AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18349493 | PA      | $3780272.61    | 0.05%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A8            | CUSIP: 12668AU52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48943 | PA      | $47443.14      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 2A2 144A           | CUSIP: 17324MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3543653 | PA      | $3405823.41    | 0.05%             | 2036-02-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                            | 20 TSQ GROUNDCO LLC TSQ 2018 20TS A 144A                      | CUSIP: 90137LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147915 | PA      | $142516.02     | 0.00%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-5 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 5 A1 144A            | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960476 | PA      | $961967.95     | 0.01%             | 2030-07-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A               | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9091684 | PA      | $7799906.39    | 0.11%             | 2047-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A               | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24610000 | PA      | $24640900.32   | 0.33%             | 2035-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS (1261229 BC LTD)                                         | BAUSCH HEALTH COMPANIES INC 2025 TERM LOAN B                  | CUSIP: C6903HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    29235544 | PA      | $28629052.50   | 0.39%             | 2030-10-08      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A2A             | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165910 | PA      | $158801.02     | 0.00%             | 2035-01-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR15                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1             | CUSIP: 45660LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      179662 | PA      | $163120.88     | 0.00%             | 2035-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A2 144A                                 | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     2936444 | PA      | $2723658.14    | 0.04%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR              | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     4260000 | PA      | $4492170.00    | 0.06%             | 2031-05-13      | Floating      | 15.06%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260108                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-37.19        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                    | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                       | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3260648 | PA      | $3154676.90    | 0.04%             | 2036-07-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 LI                                       | CUSIP: 3137FUQK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11727786 | PA      | $2753818.97    | 0.04%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A4               | CUSIP: 761119AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10263759 | PA      | $2810007.82    | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                    | BCAP LLC TRUST BCAP 2010 RR2 2A2 144A                         | CUSIP: 05532VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4867522 | PA      | $2621277.37    | 0.04%             | 2035-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR4                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR4 DA              | CUSIP: 939345AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4374841 | PA      | $2493463.40    | 0.03%             | 2046-06-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME B 144A          | CUSIP: 63873VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2397500 | PA      | $2178307.84    | 0.03%             | 2036-08-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN C                   | CUSIP: 944ZQDII8<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    10450000 | PA      | $9097461.98    | 0.12%             | 2029-02-16      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 2A1                     | CUSIP: 07387QAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3608689 | PA      | $2440182.64    | 0.03%             | 2046-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                         | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4                | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2434418 | PA      | $824995.87     | 0.01%             | 2036-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M3               | CUSIP: 59020UUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      179687 | PA      | $176807.67     | 0.00%             | 2036-02-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2C              | CUSIP: 17309BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      340212 | PA      | $121157.60     | 0.00%             | 2036-05-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| MARICOPA COUNTY INDUSTRIAL DEV                                             | MARICOPA CNTY AZ INDL DEV AUTH MAREDU 10/29 FIXED 7.375       | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      850000 | PA      | $892042.70     | 0.01%             | 2029-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260115                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $409920.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2              | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18794799 | PA      | $4596738.00    | 0.06%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SECURED 144A 04/29 11.75             | CUSIP: 650929AD4<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |    30209683 | PA      | $21146778.10   | 0.29%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -2166168 | PA      | $-2551277.54   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                         | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A3               | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4939 | PA      | $4958.12       | 0.00%             | 2037-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR1                                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1               | CUSIP: 81375WJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8517578 | PA      | $7413170.12    | 0.10%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 1C 144A           | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24258319 | PA      | $8479526.80    | 0.11%             | 2036-11-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CLARITEV CORPORATION                                                       | CLARITEV CORP SR SECURED 144A 03/31 6.75                      | CUSIP: 62548MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    26159426 | PA      | $20927540.80   | 0.28%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                      | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A           | CUSIP: 87331BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1671386 | PA      | $1554388.71    | 0.02%             | 2036-08-05      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.25000 06/18/25-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-24990706.26  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1               | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      867183 | PA      | $383385.04     | 0.01%             | 2045-06-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 2A5            | CUSIP: 02146VAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8376326 | PA      | $2472841.33    | 0.03%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                       | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      700000 | PA      | $769685.00     | 0.01%             | 2031-05-27      | Floating      | 21.52%                | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                              | HESTIA RE LTD UNSECURED 144A 03/32 VAR                        | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      500000 | PA      | $515750.00     | 0.01%             | 2032-03-13      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1                | CUSIP: 225470B93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2811242 | PA      | $1672171.10    | 0.02%             | 2036-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6102216 | PA      | $-6135852.89   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCIAL SECURITIZATIONS 2000-1                                   | CONSECO FINANCE SECURITIZATION CNF 2000 1 A5                  | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2914061 | PA      | $354534.22     | 0.00%             | 2029-09-01      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                         | BX TRUST BX 2021 BXMF E 144A                                  | CUSIP: 05609RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1074339 | PA      | $1073272.12    | 0.01%             | 2026-10-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3                | CUSIP: 86362TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4509936 | PA      | $2942004.74    | 0.04%             | 2037-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2005-HE2                                    | IXIS REAL ESTATE CAPITAL TRUST IXIS 2005 HE2 M5               | CUSIP: 45071KBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1217746 | PA      | $1326283.33    | 0.02%             | 2035-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20261118                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |           1 | NC      | $459.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                              | STEINHOFF CVR                                                 | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |   299163217 | NS      | $351.57        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/26 5.25                      | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    92615000 | PA      | $89883078.85   | 1.22%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/29 8.75               | CUSIP: 46206AAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13938000 | PA      | $14134613.05   | 0.19%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260227                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $13693.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED REGS 10/30 8.5                            | CUSIP: ACI2VMKZ9<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     2260526 | PA      | $2792422.56    | 0.04%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2025 EUR TERM LOAN B11                       | CUSIP: BA000QF11<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |      153627 | PA      | $178827.40     | 0.00%             | 2028-04-30      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1                | CUSIP: 05950PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410801 | PA      | $405617.32     | 0.01%             | 2046-09-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1837004 | PA      | $-1843286.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                              | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                       | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18843206 | PA      | $15547621.72   | 0.21%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                        | DOLP TRUST DOLP 2021 NYC F 144A                               | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23000000 | PA      | $17958620.80   | 0.24%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 08/37 7.288        | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |      300000 | PA      | $225000.00     | 0.00%             | 2037-08-16      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B                  | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    48100000 | PA      | $53559728.36   | 0.72%             | 2032-04-26      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A2 144A                            | CUSIP: 83743YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10259094 | PA      | $1025.91       | 0.00%             | 2041-01-06      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A             | CUSIP: 85573RAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $77918.92      | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3             | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46007 | PA      | $43366.62      | 0.00%             | 2035-07-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1              | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      185146 | PA      | $241615.06     | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071          | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                   | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    75137000 | PA      | $2654823.13    | 0.04%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-5R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 5R 2A4 144A            | CUSIP: 12641TAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2032964 | PA      | $1641531.44    | 0.02%             | 2036-06-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6337412 | PA      | $-6348291.31   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                        | VICI PROPERTIES INC REIT USD.01                               | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |      711293 | NS      | $20001559.16   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1               | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      495769 | PA      | $264332.04     | 0.00%             | 2036-01-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                 | ENCINA PRIVATE CREDIT LLC NOTE                                | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1354008 | PA      | $1313471.97    | 0.02%             | 2026-11-30      | Floating      | 5.64%                 | No            |                  3 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR                | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     1593077 | PA      | $904071.20     | 0.01%             | 2036-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AQUEDUCT EUROPEAN CLO 25-15A                                               | AQUEDUCT EUROPEAN C VAR                                       | CUSIP: 958QCWII4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | N/A       |     6713566 | PA      | $922638.29     | 0.01%             | 2039-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                       | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 2A4                | CUSIP: 65536QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $3049323.20    | 0.04%             | 2036-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE1                                        | MASTR ASSET BACKED SECURITIES MABS 2006 FRE1 M1               | CUSIP: 57643LPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13216356 | PA      | $11176884.65   | 0.15%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| RIVERVIEW HECM TRUST-2007-1                                                | RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A                      | CUSIP: 769422AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1746172 | PA      | $1522444.77    | 0.02%             | 2047-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 SN                                       | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5637682 | PA      | $692267.90     | 0.01%             | 2050-05-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A          | CUSIP: 36260AAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   113199828 | PA      | $1807342.80    | 0.02%             | 2059-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                  | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |      250000 | PA      | $302143.92     | 0.00%             | 2028-07-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI E 144A            | CUSIP: 12652FAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $401940.00     | 0.01%             | 2032-11-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -23867262 | PA      | $-24153722.18  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7 03/24/22-01/04/27 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-22173.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2019 521F A 144A                     | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1946500.00    | 0.03%             | 2034-06-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                    | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1               | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1108836 | PA      | $864989.32     | 0.01%             | 2035-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HUF BOUGHT USD 20260217                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-2297.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260528                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1257.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-3                                              | MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A                  | CUSIP: 57109M101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       35261 | PA      | $0.00          | 0.00%             | 2029-09-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260319                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $68212.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6356947 | PA      | $-6379017.31   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-109812.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -13311262 | PA      | $-13342321.61  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| HOUGHTON MIFFLIN HARCOURT COMPANY                                          | HOUGHTON MIFFLIN HARCOURT COMP TERM LOAN B                    | CUSIP: 44157YAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     3096997 | PA      | $2741214.36    | 0.04%             | 2029-04-09      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -17492601 | PA      | $-23793637.89  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3             | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7681374 | PA      | $2054538.57    | 0.03%             | 2037-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                               | LEHMAN MORTGAGE TRUST LMT 2007 8 2A1                          | CUSIP: 52521YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3133006 | PA      | $1155131.51    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A13             | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55726 | PA      | $45913.29      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                          | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-01-08      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT2                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT2 A2              | CUSIP: 04542BFV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130199 | PA      | $128084.37     | 0.00%             | 2033-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2006-AA2                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA2 2A1             | CUSIP: 32051GW76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      334146 | PA      | $272325.61     | 0.00%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 2 X 144A                  | CUSIP: 89177JAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   494359943 | PA      | $49.44         | 0.00%             | 2058-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                       | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    51973545 | PA      | $81098178.98   | 1.10%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A           | CUSIP: 78486DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6612000 | PA      | $6605272.95    | 0.09%             | 2034-04-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 10/30 4.75                   | CUSIP: ACI30QTM2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    15016950 | PA      | $16638471.72   | 0.23%             | 2030-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A6                  | CUSIP: 22942JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135092 | PA      | $58922.64      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260202                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $33505.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -999680 | PA      | $-1349196.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -9425768 | PA      | $-9429506.38   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      167720 | NS      | $21803.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 11/29 7.25                   | CUSIP: ACI30QTN0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      231030 | PA      | $270581.00     | 0.00%             | 2029-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 XS 144A                 | CUSIP: 59980YAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    64514707 | PA      | $290696.82     | 0.00%             | 2066-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS LLC 2025 SECOND OUT TERM LOAN        | CUSIP: 55328HAQ4<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |    36325738 | PA      | $34237007.99   | 0.46%             | 2030-12-31      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE5                                      | MORGAN STANLEY CAPITAL INC MSAC 2005 HE5 M4                   | CUSIP: 61744CUV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1203641 | PA      | $1015406.15    | 0.01%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X C1A REGS                           | CUSIP: G3299TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    14072062 | PA      | $16742756.19   | 0.23%             | 2045-06-13      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OC1                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OC1 A1              | CUSIP: 93936FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6253717 | PA      | $5736211.46    | 0.08%             | 2047-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5044500 | PA      | $-5055829.11   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -2689125 | PA      | $-3172483.27   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260211                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-40132.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR                 | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     2756138 | PA      | $2713195.33    | 0.04%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS10                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A15             | CUSIP: 751155AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176153 | PA      | $154151.23     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A4                  | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1140858 | PA      | $497604.05     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260306                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $101713.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                   | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A            | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78145 | PA      | $72598.78      | 0.00%             | 2046-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE CMM 2006-2A                                   | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A            | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186208 | PA      | $180095.99     | 0.00%             | 2039-01-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 11/29 9.5                    | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    16964060 | PA      | $17525572.08   | 0.24%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-10F                                           | GSR MORTGAGE LOAN TRUST GSR 2004 10F 8A3                      | CUSIP: 36242DFC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      208546 | PA      | $213451.99     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | NEW WINDSTREAM PREFERRED STOCK                                | CUSIP: 990AAJEB9<br>LEI: 549300V3NU625PJUVA84 | Long             | EP               | CORP              | US        |       24136 | NS      | $23990162.96   | 0.32%             |  |  |  | No            |                  3 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B3 144A           | CUSIP: 12656TAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7541100 | PA      | $4161732.50    | 0.06%             | 2060-01-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2007-HE1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 HE1 AF4             | CUSIP: 46630KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2296114 | PA      | $1507993.16    | 0.02%             | 2047-03-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A X 144A                                   | CUSIP: ACI2JTNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     6447530 | PA      | $1897382.31    | 0.03%             | 2049-12-28      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 1A1                | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15308 | PA      | $15119.99      | 0.00%             | 2036-12-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5             | CUSIP: 12668AFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1298706 | PA      | $706612.04     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 AIOS 144A        | CUSIP: 64832BAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   496821244 | PA      | $2864348.36    | 0.04%             | 2064-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                     | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1337432 | PA      | $1247122.90    | 0.02%             | 2034-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG             | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      660000 | PA      | $194700.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4230947 | PA      | $-4240942.87   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A                 | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      646000 | PA      | $866963.77     | 0.01%             | 2049-12-21      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR COMMON STOCK UNIT                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       29233 | NS      | $13929524.50   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1551683 | PA      | $-1552285.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT 2022-B ASSET SECURITIZATION TRUST                             | LENDINGPOINT ASSET SECURITIZAT LDPT 2022 B B 144A             | CUSIP: 52606WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      259259 | PA      | $258464.09     | 0.00%             | 2029-10-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC1 1A1             | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5909397 | PA      | $5838606.57    | 0.08%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN                  | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    26050905 | PA      | $26167514.04   | 0.35%             | 2029-04-25      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                             | ARGENT SECURITIES INC. ARSI 2006 W3 A2B                       | CUSIP: 040104SQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      972924 | PA      | $298916.88     | 0.00%             | 2036-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-S6                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 S6 A6                 | CUSIP: 126684AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           4 | PA      | $3.57          | 0.00%             | 2034-03-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1290693 | PA      | $-1293637.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA NEW EQUITY                                             | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     2316329 | NS      | $89722605.41   | 1.21%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PRETM 2025-RPL3 CERT TRUST                                                 | PRETM 2025 RPL3 TR PRETM 2025 RPL3 CERT 144A                  | CUSIP: 69382TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16011130 | PA      | $13799960.80   | 0.19%             | 2065-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -2489734 | PA      | $-2960132.29   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 3A1               | CUSIP: 05949CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79473 | PA      | $77471.43      | 0.00%             | 2036-01-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR2                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR2 2A1             | CUSIP: 32055GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7831 | PA      | $3731.83       | 0.00%             | 2037-07-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN                  | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     3333800 | PA      | $3348722.73    | 0.05%             | 2029-04-25      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                      | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A          | CUSIP: 87331BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6723192 | PA      | $6252568.79    | 0.08%             | 2036-08-05      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                               | FANNIE MAE   CAS CAS 2021 R01 1B2 144A                        | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8200929 | PA      | $8471601.48    | 0.11%             | 2041-10-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                         | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     9265829 | PA      | $12360534.29   | 0.17%             | 2045-09-13      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                        | GSAMP TRUST GSAMP 2004 WF M2                                  | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97376 | PA      | $99671.99      | 0.00%             | 2034-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-6                                                     | LEHMAN XS TRUST LXS 2007 6 3A6                                | CUSIP: 52524PAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5388410 | PA      | $4637260.92    | 0.06%             | 2037-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| TDA FTA 28                                                                 | TITULIZACION DE ACTIVOS TDA 28 A REGS                         | CUSIP: B241Q4II4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     6600734 | PA      | $4321134.51    | 0.06%             | 2050-10-28      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3118721 | PA      | $-3129774.94   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST-2007-4                                              | SLM STUDENT LOAN TRUST SLMA 2007 4 R                          | CUSIP: 78444A107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       30999 | PA      | $5933153.86    | 0.08%             | 2042-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R4                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R4 1A2 144A          | CUSIP: 05958SAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4112508 | PA      | $3642643.22    | 0.05%             | 2036-05-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                  | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1300000 | PA      | $1356745.00    | 0.02%             | 2032-06-07      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12A3             | CUSIP: 161630BZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      774078 | PA      | $750031.28     | 0.01%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A              | CUSIP: 41161UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36069 | PA      | $30815.47      | 0.00%             | 2036-08-19      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260630                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-63.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                     | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4                 | CUSIP: 00252FCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2109360.88    | 0.03%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| COHESITY INC                                                               | CLOVER 2024 HOLDINGS INC VERITAS G PREFERRED                  | CUSIP: 955EHZ901<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |       93325 | NS      | $1795207.07    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| MRCD 2019-PRKC MORTGAGE TRUST                                              | MRCD 2019 PRKC MORTGAGE TRUST MRCD 2019 PRKC A 144A           | CUSIP: 55348UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2700000 | PA      | $263250.00     | 0.00%             | 2036-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1691366 | PA      | $-1696768.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1187127 | PA      | $-1195585.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A              | CUSIP: 22545YAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10300000 | PA      | $6334500.00    | 0.09%             | 2049-01-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A1A             | CUSIP: 17311WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      145414 | PA      | $147847.56     | 0.00%             | 2037-03-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                         | ALTICE FRANCE SA 2025 TERM LOAN B11                           | CUSIP: BA000QF29<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |     1536271 | PA      | $1521676.35    | 0.02%             | 2028-04-30      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 01/33 8.875                         | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     3500000 | PA      | $3740265.45    | 0.05%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3              | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11511872 | PA      | $2682647.28    | 0.04%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                                    | FREDDIE MAC FHR 4687 SG                                       | CUSIP: 3137BY4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      200693 | PA      | $24134.36      | 0.00%             | 2047-01-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260304                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $87485.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X E1C REGS                           | CUSIP: G3299TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     3081600 | PA      | $3158234.31    | 0.04%             | 2045-06-13      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                       | EAST LANE RE VII LTD SR UNSECURED 144A 03/32 VAR              | CUSIP: 27332EAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     2000000 | PA      | $1999389.60    | 0.03%             | 2032-03-31      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -14748226 | PA      | $-14870120.01  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | CIFI HOLDINGS GROUP COMPANY GUAR REGS 05/26 5.25              | CUSIP: ACI1SPDG8<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $19250.00      | 0.00%             | 2026-05-13      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3004676 | PA      | $-3008648.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 XS 144A           | CUSIP: 12657GAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   208600017 | PA      | $6047794.28    | 0.08%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                            | ARGENT SECURITIES INC. ARSI 2006 W5 A2B                       | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6278983 | PA      | $1720311.30    | 0.02%             | 2036-06-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                            | 20 TSQ GROUNDCO LLC TSQ 2018 20TS B 144A                      | CUSIP: 90137LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $473218.75     | 0.01%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A B 144A                                  | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1690000 | PA      | $169.00        | 0.00%             | 2041-07-05      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                                       | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2              | CUSIP: 542514PS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    47619754 | PA      | $46999939.86   | 0.64%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1283622 | PA      | $-1287870.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                         | ALTICE FRANCE SA 2025 TERM LOAN B12                           | CUSIP: BA000QFP8<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |    18300000 | PA      | $18122764.50   | 0.25%             | 2028-10-30      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3              | CUSIP: 02149MAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2428389 | PA      | $897940.61     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2005-FF6                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF6 M4                | CUSIP: 32027NSM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13434815 | PA      | $12385549.25   | 0.17%             | 2036-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -13376012 | PA      | $-13423485.14  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP E 144A         | CUSIP: 46651WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5740000 | PA      | $948954.59     | 0.01%             | 2038-12-05      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 X                       | CUSIP: 89178BBJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   309838274 | PA      | $30.98         | 0.00%             | 2059-10-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A4               | CUSIP: 23246LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3416614 | PA      | $3133943.52    | 0.04%             | 2047-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR                | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     1911693 | PA      | $1089665.01    | 0.01%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                    | BCAP LLC TRUST BCAP 2010 RR2 7A4 144A                         | CUSIP: 05532VBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1799129 | PA      | $1511835.03    | 0.02%             | 2036-06-26      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 BI                                       | CUSIP: 3137FURT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3766335 | PA      | $878131.64     | 0.01%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2             | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6618733 | PA      | $1761706.21    | 0.02%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     4260000 | PA      | $4521990.00    | 0.06%             | 2031-05-13      | Floating      | 16.33%                | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                            | NGD HOLDINGS BV SR SECURED 12/26 6.75                         | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |     4729466 | PA      | $4330157.19    | 0.06%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ONE 2021-PARK MORTGAGE TRUST                                               | ONE PARK MORTGAGE TRUST ONP 2021 PARK A 144A                  | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      820000 | PA      | $818095.14     | 0.01%             | 2036-03-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SEC PLC                                                 | LANSDOWNE MORTGAGE SECURITIES LANSD 2 A2 REGS                 | CUSIP: B1L1F5II6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     4019821 | PA      | $4528109.47    | 0.06%             | 2048-09-16      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -19213503 | PA      | $-19323564.34  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                             | COUNTRYWIDE HOME LOANS CWHL 2007 11 A1                        | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2933629 | PA      | $1221696.23    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -16414712 | PA      | $-16447199.21  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5                | CUSIP: 45660LTS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      549920 | PA      | $315505.03     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A           | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      238879 | PA      | $200059.87     | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10             | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1163104 | PA      | $937630.63     | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |           1 | NC      | $-6404785.20   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                              | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5               | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |    54427253 | PA      | $0.54          | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R3                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R3 M2                | CUSIP: 03072SQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114126 | PA      | $113947.37     | 0.00%             | 2034-05-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A         | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      957845 | PA      | $961047.85     | 0.01%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ASSET SECURITIES 2007-4                                      | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 4 1A5               | CUSIP: 32056CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      213265 | PA      | $67025.63      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                    | BCAP LLC TRUST BCAP 2010 RR3 7A6 144A                         | CUSIP: 05532WDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1810768 | PA      | $1537504.88    | 0.02%             | 2035-11-26      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                      | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 4A1                 | CUSIP: 878048AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204402 | PA      | $64945.33      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-2                                                   | FANNIE MAE FNR 2020 2 S                                       | CUSIP: 3136B8JL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5310767 | PA      | $608245.91     | 0.01%             | 2059-07-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL A2 RESTRUCTURE      | CUSIP: 948FWKII5<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   170828869 | PA      | $70097696.78   | 0.95%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                        | MARGATE FUNDING LTD MGATE 2004 1A A1J 144A                    | CUSIP: 56659NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14026000 | PA      | $0.14          | 0.00%             | 2044-12-04      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260518                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-263.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 06/29 8.75                   | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    11420000 | PA      | $12250478.73   | 0.17%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 AIOS 144A       | CUSIP: 617941AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    54245220 | PA      | $253094.64     | 0.00%             | 2070-01-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -19110159 | PA      | $-19345150.29  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                     | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1659540 | PA      | $1817519.13    | 0.02%             | 2050-12-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 X 144A             | CUSIP: 26844QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   212345884 | PA      | $1980019.19    | 0.03%             | 2068-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| KENYA GOVT                                                                 | REPUBLIC OF KENYA 2024 TERM LOAN A                            | CUSIP: BA000C8P7<br>LEI: 549300VVURQQYU45PR87 | Long             | LON              | NUSS              | KE        |     4166667 | PA      | $4125984.04    | 0.06%             | 2028-04-05      | Floating      | 9.19%                 | No            |                  3 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE4                                               | ACE SECURITIES CORP. ACE 2005 HE4 M6                          | CUSIP: 004421PV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17938000 | PA      | $16888244.92   | 0.23%             | 2035-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D                  | CUSIP: 61753NAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4086830 | PA      | $1816479.88    | 0.02%             | 2037-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 E 144A            | CUSIP: 55284DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      475000 | PA      | $475655.69     | 0.01%             | 2034-12-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTION BV                                               | YINSON BORONIA PRODUCTIO SR SECURED 144A 07/42 8.947          | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |      196218 | PA      | $214210.55     | 0.00%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                     | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3360000 | PA      | $3005979.98    | 0.04%             | 2038-12-15      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| ASTON BIDCO (HOLDING) LIMITED                                              | ASTON XLN TOPCO LIMITED 2025 GBP TERM LOAN                    | CUSIP: BA000N1C9<br>LEI: 254900476AM2MRUEVQ86 | Long             | LON              | CORP              | JE        |    12657500 | PA      | $16746700.66   | 0.23%             | 2032-07-30      | Floating      | 10.09%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6959906 | PA      | $-7040888.62   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -10012156 | PA      | $-10023725.30  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20270610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-704.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2617915 | PA      | $-2621078.74   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                                | MCDERMOTT INTERNATIONAL LTD COMMON STOCK USD1.0               | CUSIP: G5924V148<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |        4683 | NS      | $97648.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC1 M3                | CUSIP: 126670XT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8762000 | PA      | $8452665.50    | 0.11%             | 2036-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -8428683 | PA      | $-8444711.55   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -8757987 | PA      | $-11954928.39  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 9A1                  | CUSIP: 12637HAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      309716 | PA      | $127650.50     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2020-3FP                                                   | FREED ABS TRUST FREED 2020 3FP CERT 144A                      | CUSIP: 35634LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9954 | PA      | $694.58        | 0.00%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $449.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                             | URSA RE II LTD UNSECURED 144A 12/29 VAR                       | CUSIP: 91734PAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $300000.00     | 0.00%             | 2029-12-07      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A3             | CUSIP: 83613AAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1333914 | PA      | $1142108.39    | 0.02%             | 2037-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -18005517 | PA      | $-18012809.46  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                             | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000           | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     4677000 | PA      | $3611556.02    | 0.05%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -32751969 | PA      | $-33066683.38  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -10999388 | PA      | $-11013626.19  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                             | WORLDWIDE PLAZA TRUST WPT 2017 WWP B 144A                     | CUSIP: 98162JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $1004705.70    | 0.01%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A                    | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1349904 | PA      | $1199708.84    | 0.02%             | 2036-09-20      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                         | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4         | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |  1026000000 | PA      | $2102106.98    | 0.03%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260113                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $5004.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                             | SMRT SMRT 2022 MINI E 144A                                    | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    30200000 | PA      | $30072586.20   | 0.41%             | 2039-01-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-85                                                  | FANNIE MAE FNR 2012 85 PI                                     | CUSIP: 3136A7E73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      425517 | PA      | $31716.87      | 0.00%             | 2032-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A2               | CUSIP: 45660NT96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154809 | PA      | $136115.85     | 0.00%             | 2034-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-KEYS                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS E 144A               | CUSIP: 04410CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      391308 | PA      | $384773.66     | 0.01%             | 2035-06-15      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 XS 144A         | CUSIP: 61775UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   173579235 | PA      | $7484198.54    | 0.10%             | 2068-12-25      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 E 144A                     | CUSIP: 20048FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10004200 | PA      | $9377960.09    | 0.13%             | 2038-12-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                              | HESTIA RE LTD UNSECURED 144A 03/32 VAR                        | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      500000 | PA      | $520400.00     | 0.01%             | 2032-03-13      | Floating      | 11.87%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 3A                | CUSIP: 07384MW81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9951 | PA      | $9648.87       | 0.00%             | 2034-09-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B3 144A               | CUSIP: 59981TAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1532000 | PA      | $1073414.34    | 0.01%             | 2059-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP LLC / COGENT FINANCE INC                       | COGENT COMMS GRP / FIN COMPANY GUAR 144A 06/27 7              | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5755000 | PA      | $5771755.68    | 0.08%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -10841600 | PA      | $-10943483.94  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-630340.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | US TREASURY N/B 08/35 4.25                                    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6537000 | PA      | $6585006.09    | 0.09%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260326                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3100.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 03/37 10.5               | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |  3504900000 | PA      | $59773384.97   | 0.81%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY3                                            | COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1                      | CUSIP: 12544WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      911407 | PA      | $898067.08     | 0.01%             | 2047-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8758091.40    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                            | BEAR STEARNS ALT A TRUST BALTA 2006 7 1AE4 144A               | CUSIP: 073875BJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3059703 | PA      | $1479515.71    | 0.02%             | 2046-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R7                              | MORGAN STANLEY REREMIC TRUST MSRR 2015 R7 2B 144A             | CUSIP: 61765PAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8804362 | PA      | $6479665.87    | 0.09%             | 2035-06-26      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3               | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M6              | CUSIP: 04541GQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $838795.95     | 0.01%             | 2035-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A           | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      449700 | PA      | $450934.87     | 0.01%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-14                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 14 2A1A             | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3979869 | PA      | $3787887.81    | 0.05%             | 2047-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| COMISION EJECUTIVA HIDROELECTRICA DEL RIO LEMPA                            | COMISION EJ HI RIO LEMPA GOVT GUARANT 144A 01/33 8.65         | CUSIP: 200444AA5<br>LEI: 254900YU43PQQ27Q0E71 | Long             | DBT              | CORP              | SV        |     2550000 | PA      | $2738700.00    | 0.04%             | 2033-01-24      | Fixed         | 8.65%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2                  | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      223116 | PA      | $219894.01     | 0.00%             | 2035-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A15            | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94558 | PA      | $60109.34      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR3                                      | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1              | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      345047 | PA      | $262768.17     | 0.00%             | 2036-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 1A                | CUSIP: 59023CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      789434 | PA      | $744668.54     | 0.01%             | 2036-05-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                             | FREMONT HOME LOAN TRUST FHLT 2005 E M1                        | CUSIP: 35729PND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4700000 | PA      | $4021339.27    | 0.05%             | 2036-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A15                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A15 A13              | CUSIP: 76114DAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5396487 | PA      | $1832082.65    | 0.02%             | 2037-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-2                                              | ROCKFORD TOWER CLO LTD ROCKT 2017 2A SUB 144A                 | CUSIP: 77340HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11666667 | PA      | $596373.42     | 0.01%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C            | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78226 | PA      | $59709.23      | 0.00%             | 2046-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR4                                                    | BCAP LLC TRUST BCAP 2010 RR4 6A12 144A                        | CUSIP: 05532XAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3006741 | PA      | $2096128.38    | 0.03%             | 2035-12-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DOGWOOD LLC                                                                | MARKET GARDEN EQTYQL9A8                                       | CUSIP: 902FLS002<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    48913966 | NS      | $50337655.93   | 0.68%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-15473.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A               | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2621890 | PA      | $2619324.99    | 0.04%             | 2035-04-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                            | BEAR STEARNS ALT A TRUST BALTA 2005 7 26A1                    | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7189017 | PA      | $2415403.36    | 0.03%             | 2035-09-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX LCDS SP DUB                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $13205.77      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X RESD REGS                          | CUSIP: B2428WII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        5718 | PA      | $1004757.13    | 0.01%             | 2045-06-13      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C                  | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8997 | PA      | $7638.01       | 0.00%             | 2036-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2113463 | PA      | $-2117885.42   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                   | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528        | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      450099 | PA      | $451349.49     | 0.01%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $2899.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-2A                                             | MARLETTE FUNDING TRUST MFT 2020 2A CERT 144A                  | CUSIP: 57108R101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        8800 | PA      | $10459.56      | 0.00%             | 2030-09-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2019-787E                          | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2019 787E E 144A         | CUSIP: 78426RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9000000 | PA      | $7642551.60    | 0.10%             | 2041-02-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B5 144A                 | CUSIP: 59980YAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2905605 | PA      | $1640148.58    | 0.02%             | 2066-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-111                                                 | FANNIE MAE FNR 2017 111 AI                                    | CUSIP: 3136B0KK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3367907 | PA      | $738829.28     | 0.01%             | 2048-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25                 | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      734000 | PA      | $244972.50     | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                         | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    21344000 | PA      | $15588848.66   | 0.21%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| START IRELAND 2019-1                                                       | START LTD. STARR 2019 1 A 144A                                | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |      420998 | PA      | $420025.65     | 0.01%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                  | JETBLUE AIRWAYS/LOYALTY SR SECURED 144A 09/31 9.875           | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    22233000 | PA      | $22418338.96   | 0.30%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-15198.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST E 144A         | CUSIP: 46652DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4800000 | PA      | $12336.00      | 0.00%             | 2036-12-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                           | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                      | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      231538 | PA      | $218585.04     | 0.00%             | 2036-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A F 144A                   | CUSIP: ACI2C6Q06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    23983000 | PA      | $32273343.73   | 0.44%             | 2062-10-16      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-46                                                  | FANNIE MAE FNR 2012 46 LS                                     | CUSIP: 3136A5J64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2014797 | PA      | $2082350.48    | 0.03%             | 2041-01-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | JPM CHASE REVERSE REPO GBP ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -11490027 | PA      | $-15544422.63  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                    | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A            | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1998505.20    | 0.03%             | 2038-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P D 144A          | CUSIP: 55375KAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1780000 | PA      | $1609239.62    | 0.02%             | 2039-09-13      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE2                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE2 M4               | CUSIP: 04542BNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3182220 | PA      | $3054950.35    | 0.04%             | 2035-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20260303                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1811.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-4835.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1797444 | PA      | $-1802584.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 B3 144A            | CUSIP: 26844QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21580063 | PA      | $21381318.88   | 0.29%             | 2068-02-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI1 144A         | CUSIP: 760985X89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      187377 | PA      | $187547.37     | 0.00%             | 2034-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -33540656 | PA      | $-33599561.54  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -13935490 | PA      | $-13950331.78  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 VI                                       | CUSIP: 3137FUZ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6938099 | PA      | $1267949.99    | 0.02%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -1178100 | PA      | $-1391037.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP TERM LOAN B                                      | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |   170696208 | PA      | $158778199.01  | 2.15%             | 2028-02-01      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                       | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0      | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   355485000 | PA      | $34292607.04   | 0.46%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A1              | CUSIP: 16162WQH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2340585 | PA      | $2110273.60    | 0.03%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A R 144A                  | CUSIP: 19424R108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       21173 | PA      | $11615569.20   | 0.16%             | 2054-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $772023.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX SNR LA SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-248266.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 8.5                            | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    16727895 | PA      | $20663926.68   | 0.28%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM4                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM4 B3 144A         | CUSIP: 36272UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4711455 | PA      | $4361093.30    | 0.06%             | 2065-10-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 C 144A         | CUSIP: 46649JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3751076 | PA      | $3659188.47    | 0.05%             | 2035-02-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875              | CUSIP: X74359AC8<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |      200000 | PA      | $136888.00     | 0.00%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG             | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $767000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/31 5.125                         | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     3090000 | PA      | $3718302.92    | 0.05%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| J&J VENTURES GAMING LLC                                                    | J + J VENTURES GAMING LLC 2024 TERM LOAN                      | CUSIP: 46604BAG3<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |     9276300 | PA      | $9369063.00    | 0.13%             | 2028-04-26      | Floating      | 8.83%                 | No            |                  3 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-8R                                      | NOMURA RESECURITIZATION TRUST NMRR 2014 8R 2A4 144A           | CUSIP: 65540QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2837086 | PA      | $2499937.10    | 0.03%             | 2035-09-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 1A1               | CUSIP: 07384MW40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13733 | PA      | $13503.67      | 0.00%             | 2034-09-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-2                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2022 2 R                      | CUSIP: 33844X108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        3330 | PA      | $0.00          | 0.00%             | 2029-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6                | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1206127.68    | 0.02%             | 2035-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2                | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      226606 | PA      | $165774.43     | 0.00%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-AR5                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR5 2A1A             | CUSIP: 17309FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1482917 | PA      | $842335.24     | 0.01%             | 2036-07-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL               | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      385330 | PA      | $323677.15     | 0.00%             | 2027-06-30      | Floating      | 6.83%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6104372 | PA      | $-6112816.64   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                     | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4                  | CUSIP: 61744CLX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6378689 | PA      | $6125074.43    | 0.08%             | 2035-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                      | ASTON MARTIN CAPITAL HOL SR SECURED REGS 03/29 10.375         | CUSIP: ACI2N9Q99<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |     9300000 | PA      | $11474003.72   | 0.16%             | 2029-03-31      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 B4 144A                 | CUSIP: 89178BAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $2583390.80    | 0.03%             | 2059-10-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A A1 144A                                 | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   109166463 | PA      | $17414452.54   | 0.24%             | 2041-07-05      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                       | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN C 144A         | CUSIP: 19521DAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     2000000 | PA      | $1430796.69    | 0.02%             | 2052-01-25      | Fixed         | 7.74%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-4                                       | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4                  | CUSIP: 026934AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5050984 | PA      | $4630573.11    | 0.06%             | 2037-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                        | IMPAC CMB TRUST IMM 2005 7 A1                                 | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66494 | PA      | $60993.62      | 0.00%             | 2035-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A           | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      469687 | PA      | $471708.00     | 0.01%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2            | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1171241 | PA      | $668429.79     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -22711925 | PA      | $-22916218.52  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA INTERMEDIATE II SR SECURED 144A 01/30 VAR              | CUSIP: 45338XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    73572480 | PA      | $73572480.00   | 1.00%             | 2030-01-31      | Fixed         | 12.22%                | No            |                  3 | On Loan: No      |
| ACACIA CDO LTD 5A                                                          | ACACIA CDO LTD ACCDO 5A B 144A                                | CUSIP: 00388EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8674291 | PA      | $1906825.98    | 0.03%             | 2039-11-08      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                                | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A             | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       24507 | PA      | $949723.37     | 0.01%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 08/30 4.8                | CUSIP: ACI1PP9T8<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $19500.00      | 0.00%             | 2030-08-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1                | CUSIP: 05946XRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      718265 | PA      | $701753.87     | 0.01%             | 2035-04-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2002-3                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 3 M3                 | CUSIP: 03072SCW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128643 | PA      | $128070.26     | 0.00%             | 2032-08-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| IPL PLASTICS (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)   | TOUCAN FINCO LTD/CAN/US SR SECURED 144A 05/30 8.25            | CUSIP: ACI2WX839<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    62718000 | PA      | $71274874.04   | 0.96%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ANGOLA GOVT                                                                | REPUBLIC OF ANGOLA SR UNSECURED REGS 11/29 8                  | CUSIP: ACI1H0020<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     7400000 | PA      | $7235108.24    | 0.10%             | 2029-11-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-69.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                        | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                     | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |     6139000 | NS      | $65363119.12   | 0.88%             |  |  |  | No            |                  2 | On Loan: No      |
| IPL PLASTICS (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)   | TOUCAN FINCO LTD/CAN/US SR SECURED 144A 05/30 9.5             | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     5683000 | PA      | $5680365.93    | 0.08%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M6              | CUSIP: 04541GRQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      786648 | PA      | $780696.02     | 0.01%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A          | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2600000 | PA      | $1894574.50    | 0.03%             | 2037-07-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| DRYDEN 123 CLO LTD 2025-123A                                               | DRYDEN SENIOR LOAN FUND DRSLF 2025 123A SUB 144A              | CUSIP: 26253PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8400000 | PA      | $6771687.38    | 0.09%             | 2038-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.715 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-95857.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 01/30 0.0000              | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      548027 | PA      | $485490.79     | 0.01%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M2                | CUSIP: 64352VPA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2195002 | PA      | $1972960.93    | 0.03%             | 2035-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                         | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                     | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |     4853248 | NS      | $10725678.08   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  MAR26 XCME 20260616                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -95 | NC      | $317938.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                     | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12268984 | PA      | $11142508.32   | 0.15%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                           | AEGIS ASSET BACKED SECURITIES AABST 2004 3 M3                 | CUSIP: 00764MCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      740219 | PA      | $738923.66     | 0.01%             | 2034-09-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                   | BCAP LLC TRUST BCAP 2009 RR14 11A2 144A                       | CUSIP: 05532LBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5290718 | PA      | $4544871.00    | 0.06%             | 2037-04-26      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/28 4.625              | CUSIP: 46206AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1394434.35    | 0.02%             | 2028-05-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SR SECURED 144A 09/30 6.5            | CUSIP: ACI30SHJ8<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |    13400000 | PA      | $15276777.93   | 0.21%             | 2030-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                            | BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1                     | CUSIP: 07386HKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155238 | PA      | $151301.84     | 0.00%             | 2034-09-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260311                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-86.66        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR TERM LOAN              | CUSIP: BA000KZY0<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |     9801770 | PA      | $11576635.20   | 0.16%             | 2029-06-29      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260406                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $9267.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 3A4               | CUSIP: 61749CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1232908 | PA      | $446364.91     | 0.01%             | 2036-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M5                | CUSIP: 03072SA39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      782483 | PA      | $765360.70     | 0.01%             | 2035-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 06/36 10.75              | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    60400000 | PA      | $1043092.48    | 0.01%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260312                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $161798.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                               | ALAMO RE LTD UNSECURED 144A 06/27 VAR                         | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     1250000 | PA      | $1330500.00    | 0.02%             | 2027-06-07      | Floating      | 12.01%                | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                               | AMS OSRAM AG SR UNSECURED REGS 03/29 10.5                     | CUSIP: ACI2L69P0<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |    61000000 | PA      | $74926541.75   | 1.01%             | 2029-03-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3211                                                           | FREDDIE MAC FHR 3211 SH                                       | CUSIP: 31397BA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      233483 | PA      | $25587.94      | 0.00%             | 2036-09-15      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON A 144A          | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3360000 | PA      | $2960968.08    | 0.04%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| HARP FINCO LIMITED                                                         | HARP FINCO LIMITED GBP TERM LOAN                              | CUSIP: BA0008GH5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    19324286 | PA      | $25577660.21   | 0.35%             | 2032-03-27      | Floating      | 8.72%                 | No            |                  3 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                              | BWAY MORTGAGE TRUST BWAY 2021 1450 C 144A                     | CUSIP: 12430YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4534126.50    | 0.06%             | 2036-09-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260102                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $21887.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A             | CUSIP: 17311WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342462 | PA      | $310450.18     | 0.00%             | 2037-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3913000 | PA      | $-3921856.42   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -4862096 | PA      | $-5719691.37   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII1 144A        | CUSIP: 760985Y88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      780217 | PA      | $778191.71     | 0.01%             | 2034-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P G 144A           | CUSIP: 61772WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19500000 | PA      | $17456000.25   | 0.24%             | 2038-12-15      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A            | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      525208 | PA      | $494476.17     | 0.01%             | 2046-02-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX LCDS SP DUB                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $7418.24       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                        | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1              | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2481686 | PA      | $1476665.83    | 0.02%             | 2037-06-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1            | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2323022 | PA      | $1000082.96    | 0.01%             | 2036-10-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GLACIER FUNDING CDO III LTD 2005-3A                                        | GLACIER FUNDING CDO GLCR 2005 3A A1 144A                      | CUSIP: 37638XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    31282418 | PA      | $2308392.18    | 0.03%             | 2035-08-04      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A2             | CUSIP: 32051GPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51740 | PA      | $2365.21       | 0.00%             | 2035-08-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE SAS 2021 EUR TERM LOAN B                     | CUSIP: 937NEWII5<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    15900000 | PA      | $13880470.41   | 0.19%             | 2028-06-30      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $4700.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A5               | CUSIP: 75116BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1724378 | PA      | $1441734.98    | 0.02%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260521                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-35169.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -20449140 | PA      | $-20653835.40  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -1049580 | PA      | $-1240785.23   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                  | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR              | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    35500000 | PA      | $23682227.50   | 0.32%             | 2067-01-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1196492 | PA      | $-1200992.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1                | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5307623 | PA      | $5070402.90    | 0.07%             | 2036-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $25006.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -24197068 | PA      | $-28515765.73  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 XS 144A           | CUSIP: 12656TAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   231519049 | PA      | $7144099.05    | 0.10%             | 2060-01-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                   | TITANIUM 2L BONDCO SARL SR SECURED 01/31 6.25                 | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |    57660800 | PA      | $12495023.71   | 0.17%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNICORN BAY (HONG KONG) INVESTMENTS LIMITED                                | UNICORN BAY HKD FIXED TERM LOAN A                             | CUSIP: BA00077Z7<br>LEI: N/A                  | Long             | LON              | CORP              | HK        |   276754817 | PA      | $36004760.80   | 0.49%             | 2026-12-31      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                  | MOTION FINCO SARL 2024 USD TERM LOAN B                        | CUSIP: L6526BAG9<br>LEI: 2549002L1LBQZKA7UN30 | Long             | LON              | CORP              | LU        |     9961586 | PA      | $8859635.11    | 0.12%             | 2029-11-12      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                        | MFRA TRUST MFRA 2020 NQM2 B1 144A                             | CUSIP: 552751AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14456000 | PA      | $14106991.68   | 0.19%             | 2065-04-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 03/26 0.00000                                   | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19982000 | PA      | $19810943.89   | 0.27%             | 2026-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA B 144A                 | CUSIP: 647622AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6425000 | PA      | $6379140.92    | 0.09%             | 2032-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1               | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28726 | PA      | $28506.24      | 0.00%             | 2036-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-4Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1155061.06    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                   | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                   | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1046521 | PA      | $993535.26     | 0.01%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC USD DELAYED DRAW TERM LOAN                     | CUSIP: BA000TDP4<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     2808952 | PA      | $2815974.35    | 0.04%             | 2031-12-08      | Floating      | 4.50%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2D              | CUSIP: 17307G4J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1274749 | PA      | $590459.10     | 0.01%             | 2036-03-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20260311                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-7690.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4             | CUSIP: 83612TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4841594 | PA      | $3268717.70    | 0.04%             | 2037-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2021-2A                                                    | APEX CREDIT CLO LLC APEXC 2021 2A SUB 144A                    | CUSIP: 58406DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20050000 | PA      | $7356157.93    | 0.10%             | 2034-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-10                                                         | FANNIE MAE FNR 2008 10 LI                                     | CUSIP: 31396YKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      549630 | PA      | $67476.41      | 0.00%             | 2038-03-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -18722001 | PA      | $-18790865.75  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B4 144A           | CUSIP: 12657GAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11268446 | PA      | $5649797.12    | 0.08%             | 2060-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -9962379 | PA      | $-10041463.48  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75             | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     1516634 | PA      | $2356042.73    | 0.03%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -10834164 | PA      | $-10869411.01  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB4                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB4 2A1                     | CUSIP: 12669GM24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17158 | PA      | $16212.38      | 0.00%             | 2035-08-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                          | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      400000 | PA      | $400000.00     | 0.01%             | 2029-01-08      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A8                | CUSIP: 761136AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      364736 | PA      | $111747.05     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS A 144A           | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6246000 | PA      | $4817797.14    | 0.07%             | 2036-12-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A5             | CUSIP: 12668BSA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      678126 | PA      | $555674.70     | 0.01%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5259800 | PA      | $-5260983.46   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                               | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000            | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    11400000 | PA      | $9769800.00    | 0.13%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -825370 | PA      | $-826738.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $238858.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260220                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $83075.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2009-4                                          | ASG RESECURITIZATION TRUST ASG 2009 4 M40 144A                | CUSIP: 00212MBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24524024 | PA      | $11010843.04   | 0.15%             | 2037-06-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                    | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |        5000 | PA      | $1605.31       | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOFTBANK GROUP CORP SNR JP SP GST                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-14320.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                    | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      212700 | PA      | $117301.33     | 0.00%             | 2036-10-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A             | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15475000 | PA      | $13711487.57   | 0.19%             | 2038-11-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                   | IHEARTCOMMUNICATIONS INC 2024 TERM LOAN                       | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |    15009283 | PA      | $13781748.98   | 0.19%             | 2029-05-01      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                            | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2               | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      697799 | PA      | $643951.35     | 0.01%             | 2037-02-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2011-RR1                                   | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR1 A3 144A         | CUSIP: 94987TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2176849 | PA      | $2063627.70    | 0.03%             | 2036-04-27      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                           | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                     | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      990298 | PA      | $301299.51     | 0.00%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                       | GSAMP TRUST GSAMP 2006 FM3 A2C                                | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3040270 | PA      | $1426328.86    | 0.02%             | 2036-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M6                | CUSIP: 542514KW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $6413880.20    | 0.09%             | 2035-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 11/31 4.625                         | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     4800000 | PA      | $4305971.04    | 0.06%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260226                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4284.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A1              | CUSIP: 02151JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      685564 | PA      | $585502.67     | 0.01%             | 2047-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INVEST TR 2004-2                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2004 2 M1                  | CUSIP: 02660TBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6482663 | PA      | $6226405.47    | 0.08%             | 2044-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3             | CUSIP: 021455AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6032766 | PA      | $5385492.54    | 0.07%             | 2036-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| INTERNET BRANDS INC (MH SUB I LLC)                                         | MH SUB I LLC 2024 TERM LOAN B4                                | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |     4950000 | PA      | $4259326.50    | 0.06%             | 2031-12-31      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-73                                                  | FANNIE MAE FNR 2008 73 SC                                     | CUSIP: 31397L6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      318841 | PA      | $23555.66      | 0.00%             | 2038-08-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2             | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2670682 | PA      | $1803115.19    | 0.02%             | 2037-06-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5                  | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11413557 | PA      | $2354200.16    | 0.03%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                      | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A             | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1525768 | PA      | $1479050.23    | 0.02%             | 2037-02-26      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD                              | PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A            | CUSIP: 74686PAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      682854 | PA      | $358594.49     | 0.00%             | 2038-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A               | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         176 | PA      | $1936931.98    | 0.03%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                             | LIBERTY STREET TRUST LBTY 2016 225L D 144A                    | CUSIP: 902055AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2541000 | PA      | $2423139.78    | 0.03%             | 2036-02-10      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1               | CUSIP: 74922TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5709490 | PA      | $5443452.65    | 0.07%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                   | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                        | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330027 | PA      | $295063.85     | 0.00%             | 2036-07-26      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T D 144A                      | CUSIP: 23307CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $6667562.30    | 0.09%             | 2036-12-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A6                | CUSIP: 94985JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19436 | PA      | $17794.68      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6073180 | PA      | $-6075664.74   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PRODS INC 2005-SL1                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 SL1 A7               | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      177795 | PA      | $114013.80     | 0.00%             | 2032-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR11                                                   | BCAP LLC TRUST BCAP 2013 RR11 4A2 144A                        | CUSIP: 05542XAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2770423 | PA      | $2355746.59    | 0.03%             | 2036-05-26      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-27CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 27CB A7             | CUSIP: 02147YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203971 | PA      | $105949.29     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-FXD1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 FXD1 3A6            | CUSIP: 68402VAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1117 | PA      | $1054.14       | 0.00%             | 2037-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                           | PROJECT CASHMERE CLASS F 144A                                 | CUSIP: 990ABJSF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    14866000 | PA      | $9920825.59    | 0.13%             | 2057-12-30      | Floating      | 8.64%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -54369025 | PA      | $-55614835.50  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B2 144A           | CUSIP: 12657GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7566748 | PA      | $5019707.23    | 0.07%             | 2060-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |           1 | NC      | $-128880.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                            | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                      | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |      600000 | PA      | $634500.00     | 0.01%             | 2032-01-07      | Floating      | 12.09%                | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR12                                                   | BCAP LLC TRUST BCAP 2013 RR12 1A5 144A                        | CUSIP: 05490CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3768197 | PA      | $3395373.80    | 0.05%             | 2035-05-26      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR SECURED 12/26 10                    | CUSIP: ACI2J0DM8<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |      290990 | PA      | $316324.07     | 0.00%             | 2026-12-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1224249 | PA      | $-1225565.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 XS 144A              | CUSIP: 59982HBG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    56860036 | PA      | $274980.82     | 0.00%             | 2060-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2000-C                                      | OAKWOOD MORTGAGE INVESTORS INC OAK 2000 C M1                  | CUSIP: 67087TBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1113735 | PA      | $1091039.48    | 0.01%             | 2030-10-15      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                       | EUROSAIL PLC ESAIL 2007 1X D1A REGS                           | CUSIP: ACI05RDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     7067000 | PA      | $7343597.65    | 0.10%             | 2045-03-13      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B3 144A                 | CUSIP: 59980XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2759118 | PA      | $1987843.76    | 0.03%             | 2058-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -43661408 | PA      | $-44097590.66  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A              | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        8000 | PA      | $1839523.14    | 0.02%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-22                                             | COUNTRYWIDE HOME LOANS CWHL 2005 22 2A1                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      603118 | PA      | $498045.31     | 0.01%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 1A              | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2082889 | PA      | $1739939.93    | 0.02%             | 2046-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260115                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $121425.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                                     | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3                  | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3548567 | PA      | $220161.64     | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 09/21/22-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $20635041.38   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3096058 | PA      | $-3104022.61   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A           | CUSIP: 61691KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2388570.75    | 0.03%             | 2034-11-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $16846.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                           | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11                | CUSIP: 02660VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      282704 | PA      | $273042.04     | 0.00%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                 | BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111D 144A              | CUSIP: 05609MCQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7850000 | PA      | $7365411.65    | 0.10%             | 2055-02-17      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A8                  | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252195 | PA      | $109999.08     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M4                   | CUSIP: 70069FKH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $1993842.18    | 0.03%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/21/22-30Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10343368.63   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -13653531 | PA      | $-13679094.51  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM3 X 144A          | CUSIP: 36274TAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   320266677 | PA      | $14255325.99   | 0.19%             | 2065-11-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                        | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32             | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2047654 | PA      | $2054442.21    | 0.03%             | 2046-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X D1A REGS                           | CUSIP: G3299TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     8666547 | PA      | $9646909.19    | 0.13%             | 2045-06-13      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX SNR LA SP JPM                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1412016.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU D 144A            | CUSIP: 36256AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6640000 | PA      | $6584520.81    | 0.09%             | 2032-11-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $126083.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -13058132 | PA      | $-13111989.33  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 1A1                     | CUSIP: 12669GA50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2142 | PA      | $2106.24       | 0.00%             | 2035-06-20      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A1               | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2700506 | PA      | $1964026.05    | 0.03%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                    | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      100000 | PA      | $26423.79      | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -823933 | PA      | $-824609.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B4 144A           | CUSIP: 12656TAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7540827 | PA      | $3053691.83    | 0.04%             | 2060-01-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                  | CAESARS ENTERTAINMENT INC COMMON STOCK                        | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |           2 | NS      | $46.78         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI XCP 144A                            | CUSIP: 92943AAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   515000000 | PA      | $1540313.50    | 0.02%             | 2037-07-05      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 1A2            | CUSIP: 02148KAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      713693 | PA      | $427697.96     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                     | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      948633 | PA      | $878274.14     | 0.01%             | 2046-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3              | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      688153 | PA      | $460253.52     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3                | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      536157 | PA      | $471631.59     | 0.01%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2              | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      440728 | PA      | $442627.97     | 0.01%             | 2035-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON B 144A          | CUSIP: 46649XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13293000 | PA      | $10198927.97   | 0.14%             | 2031-07-05      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC LAST OUT TERM LOAN                             | CUSIP: 23803RAB7<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    12691048 | PA      | $12913141.37   | 0.17%             | 2031-01-03      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A1             | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54606 | PA      | $13713.16      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2007-HF1                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2007 HF1 4A1               | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10521432 | PA      | $4116257.88    | 0.06%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                      | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5                  | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150055 | PA      | $152808.55     | 0.00%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -55114017 | PA      | $-55411900.60  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                    | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1                | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2348383 | PA      | $2351479.88    | 0.03%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $0.60          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2006-1F                                      | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 3S               | CUSIP: 86800RAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3884528 | PA      | $574508.55     | 0.01%             | 2036-04-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875             | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13118553 | PA      | $11757503.13   | 0.16%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B G 144A            | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      522908 | PA      | $537489.51     | 0.01%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.50000 12/15/21-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10857518.08   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-32270.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A Z 144A                                   | CUSIP: ACI2JTLB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     5085000 | PA      | $6317572.75    | 0.09%             | 2049-12-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                     | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A         | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   250855977 | PA      | $15145479.76   | 0.20%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -12729635 | PA      | $-12752973.65  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAST MORTGAGE TRUST 2022-1700                                             | BSST MORTGAGE TRUST BSST 2022 1700 B 144A                     | CUSIP: 055742AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3300000 | PA      | $1699764.33    | 0.02%             | 2037-02-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A              | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9288 | PA      | $9180554.98    | 0.12%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A             | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $895591.10     | 0.01%             | 2038-07-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                | PALM RE LTD UNSECURED 144A 06/32 VAR                          | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      800000 | PA      | $836480.00     | 0.01%             | 2032-06-07      | Floating      | 11.37%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                            | BEAR STEARNS ALT A TRUST BALTA 2006 3 31A1                    | CUSIP: 07386HP54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6170594 | PA      | $2449594.29    | 0.03%             | 2036-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -73592840 | PA      | $-86938839.16  | -1.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.83000 12/09/42-10Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $21809808.91   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                          | MNSN HOLDINGS INC COMMON STOCK                                | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       25645 | NS      | $1282250.00    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A           | CUSIP: 74928XDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      198673 | PA      | $183070.87     | 0.00%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                             | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                       | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9516071 | PA      | $5398068.50    | 0.07%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $91708.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW IMMO HOLDING SA                                                        | NEW IMMO HOLDING SA SR UNSECURED REGS 07/27 3.25              | CUSIP: ACI1NZ8Z5<br>LEI: 5493007LOTJ0I8E94R81 | Long             | DBT              | CORP              | FR        |     5800000 | PA      | $6820166.41    | 0.09%             | 2027-07-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-42                                                  | FANNIE MAE FNR 2019 42 SK                                     | CUSIP: 3136B5VS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130059 | PA      | $14822.33      | 0.00%             | 2049-08-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -46749863 | PA      | $-46934038.12  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A2              | CUSIP: 02150DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3137792 | PA      | $2412888.81    | 0.03%             | 2047-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                            | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                       | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3534943 | PA      | $968452.32     | 0.01%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1372.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1              | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7385 | PA      | $3107.36       | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2010-1A                                    | MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A            | CUSIP: 61911BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      954252 | PA      | $908683.18     | 0.01%             | 2060-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 2A3             | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73845 | PA      | $64385.64      | 0.00%             | 2036-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-9                                                   | FANNIE MAE FNR 2008 9 SA                                      | CUSIP: 31396YGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      330115 | PA      | $41208.36      | 0.00%             | 2038-02-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-10                                              | LEHMAN MORTGAGE TRUST LMT 2007 10 1A1                         | CUSIP: 52522QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      296145 | PA      | $290402.69     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                       | GSAMP TRUST GSAMP 2006 FM1 A2D                                | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13649312 | PA      | $9329663.81    | 0.13%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE      | CUSIP: 948FWLII3<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    17582990 | PA      | $6523786.44    | 0.09%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 9/16/23-22Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $467794.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3                  | CUSIP: 126673VR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      270095 | PA      | $255744.05     | 0.00%             | 2035-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M5              | CUSIP: 76110W7H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1786363 | PA      | $1395830.44    | 0.02%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR11                                                   | BCAP LLC TRUST BCAP 2009 RR11 7A2 144A                        | CUSIP: 05532FAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2151715 | PA      | $1423304.75    | 0.02%             | 2036-02-26      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A16                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A16 1A3              | CUSIP: 76114GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167362 | PA      | $68806.30      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -125868331 | PA      | $-127223722.83 | -1.72%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A             | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3872516 | PA      | $2500083.51    | 0.03%             | 2036-01-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR C 144A             | CUSIP: 12564NAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2336000 | PA      | $2250834.81    | 0.03%             | 2038-11-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 1A4A                 | CUSIP: 225470M67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3828336 | PA      | $1955996.94    | 0.03%             | 2036-04-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M5                | CUSIP: 57643LJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109945 | PA      | $120462.11     | 0.00%             | 2035-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3553866 | PA      | $-3566108.93   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A B 144A                             | CUSIP: 83743YAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2564774 | PA      | $256.48        | 0.00%             | 2041-01-06      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A              | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5781860 | PA      | $5425867.01    | 0.07%             | 2036-03-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M6                | CUSIP: 36242DN74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2101241 | PA      | $2024851.64    | 0.03%             | 2035-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA              | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2153178 | PA      | $2026091.97    | 0.03%             | 2037-09-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| SABINE RE LTD                                                              | SABINE RE LTD UNSECURED 144A 04/31 VAR                        | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $313830.00     | 0.00%             | 2031-04-07      | Floating      | 12.16%                | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM B 144A            | CUSIP: 04965JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2941687.50    | 0.04%             | 2036-12-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -15693784 | PA      | $-15729487.79  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR10-I                                                 | BCAP LLC TRUST BCAP 2012 RR10 1A2 144A                        | CUSIP: 05541HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6654269 | PA      | $5369929.99    | 0.07%             | 2037-02-26      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| ARM MUSTANG EXPRESS HOLDCO LLC                                             | MUSTANG EXPRESS SERIES A PFD U MUSTANG EXPRESS SERIES A PFD U | CUSIP: 958LNU906<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      170560 | NS      | $170560000.00  | 2.31%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | J P MORGAN TERM REPO                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   167754420 | PA      | $167754420.40  | 2.27%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6               | CUSIP: 939336PC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18117 | PA      | $17968.96      | 0.00%             | 2033-03-25      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-102499.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -11963687 | PA      | $-12120633.46  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2025 EUR EXT TERM LOAN B14                   | CUSIP: BA000QF86<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     1149883 | PA      | $1354355.97    | 0.02%             | 2031-05-31      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C                  | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11587289 | PA      | $6879855.55    | 0.09%             | 2036-11-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-30165.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-12R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 12R 16A1 144A          | CUSIP: 12642MBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2930022 | PA      | $1461198.60    | 0.02%             | 2036-08-27      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3642.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                     | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3               | CUSIP: 57643LRK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5671223 | PA      | $2054112.98    | 0.03%             | 2036-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5              | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1086690 | PA      | $1080697.81    | 0.01%             | 2035-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4145166 | PA      | $-4240148.30   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -810211 | PA      | $-812054.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-568.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -10753348 | PA      | $-10793350.13  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS LLC                                               | SIERRA HAMILTON HOLDER LLC                                    | CUSIP: 932BTZ902<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    30337712 | NS      | $3033.77       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FANNIE MAE 2010-134                                                        | FANNIE MAE FNR 2010 134 BS                                    | CUSIP: 31398SPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1076241 | PA      | $61692.82      | 0.00%             | 2040-10-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -3448445 | PA      | $-4061816.60   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D              | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2302374 | PA      | $738697.20     | 0.01%             | 2037-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 2A2 144A          | CUSIP: 05955DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1074763 | PA      | $1080161.13    | 0.01%             | 2035-06-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1400000 | PA      | $-1411390.56   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM D 144A            | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9300000 | PA      | $8869875.00    | 0.12%             | 2036-12-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1              | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41022 | PA      | $39395.30      | 0.00%             | 2045-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2              | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      417894 | PA      | $384028.60     | 0.01%             | 2037-07-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                  | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      219532 | PA      | $156745.91     | 0.00%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG             | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      200000 | PA      | $59000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING 06/60 0                             | CUSIP: ACI2S8XN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         145 | PA      | $2249496.92    | 0.03%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MTGE SEC INC 2004-1                                               | DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 1 1A1                 | CUSIP: 251563CG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49746 | PA      | $50715.83      | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED REGS 06/27 10                              | CUSIP: P7354FAD8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |    24261765 | PA      | $10796485.43   | 0.15%             | 2027-06-30      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A F 144A            | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1951228 | PA      | $2013325.99    | 0.03%             | 2032-06-15      | Fixed         | 10.17%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $11550.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                           | FREDDIE MAC FHR 3136 NS                                       | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92718 | PA      | $8720.17       | 0.00%             | 2036-04-15      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -559620 | PA      | $-561371.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC DELAYED DRAW TERM LOAN                         | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     2808952 | PA      | $2858108.63    | 0.04%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| ALTICE SA                                                                  | ALTICE HOLDINGS 1 12/99 0                                     | CUSIP: 000000000<br>LEI: 549300LA7PKCH18B3S39 | Long             | EC               | CORP              | LU        |       77506 | NS      | $1286576.34    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| CSMC SERIES 2014-9R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 9R 3A2 144A            | CUSIP: 12648UAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7592430 | PA      | $6541878.10    | 0.09%             | 2037-11-27      | Floating      | 30.38%                | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 AIOS 144A         | CUSIP: 12656TAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   190514289 | PA      | $2022156.77    | 0.03%             | 2060-01-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1             | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1862774 | PA      | $1755822.87    | 0.02%             | 2035-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                 | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7          | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     3500000 | PA      | $1103805.30    | 0.01%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A YC 144A                                  | CUSIP: ACI2JTLC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     9500000 | PA      | $19.21         | 0.00%             | 2049-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3943168 | PA      | $-3971482.41   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C                  | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6175298 | PA      | $2138709.62    | 0.03%             | 2036-09-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 A 144A         | CUSIP: 46653DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2600000 | PA      | $2362516.52    | 0.03%             | 2036-03-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T A 144A                      | CUSIP: 23307CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22961000 | PA      | $22705007.81   | 0.31%             | 2036-12-10      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1             | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20319636 | PA      | $7394350.04    | 0.10%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20260129                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $53847.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260128                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-256.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260112                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $24808.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A        | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    41315094 | PA      | $6300882.41    | 0.09%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                              | ARGENT SECURITIES INC. ARSI 2005 W5 M1                        | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1089095 | PA      | $1185232.88    | 0.02%             | 2036-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1064812 | PA      | $-1066531.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS6 A62              | CUSIP: 75116CCP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35244 | PA      | $28853.13      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -7909890 | PA      | $-7981731.38   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1                    | CUSIP: 46630GAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12239 | PA      | $11917.41      | 0.00%             | 2035-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 B6 144A              | CUSIP: 59982HBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3865285 | PA      | $2114840.44    | 0.03%             | 2060-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                            | GSR MORTGAGE LOAN TRUST GSR 2004 14 3A1                       | CUSIP: 36242DPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5964 | PA      | $5628.49       | 0.00%             | 2034-12-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2025-7                                                    | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 7 A1 144A            | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3068915 | PA      | $3078815.58    | 0.04%             | 2030-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                         | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                   | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    11610000 | PA      | $6849900.00    | 0.09%             | 2029-04-09      | Floating      | 15.95%                | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                       | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A         | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2210000 | PA      | $2081170.92    | 0.03%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                | URSA RE LTD UNSECURED 144A 02/28 VAR                          | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     3700000 | PA      | $3773075.00    | 0.05%             | 2028-02-22      | Floating      | 11.12%                | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                              | LUX 2023 LION LUX 2023 LION A 144A                            | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1136441 | PA      | $1149899.64    | 0.02%             | 2040-08-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2                         | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 2A2                | CUSIP: 31659EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3825801 | PA      | $2106259.95    | 0.03%             | 2036-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A2                | CUSIP: 76111XZS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38825 | PA      | $26282.19      | 0.00%             | 2035-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST B 144A         | CUSIP: 46652DAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7905000 | PA      | $415178.51     | 0.01%             | 2036-12-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A F 144A                                   | CUSIP: ACI2JTLG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     8564000 | PA      | $11504394.75   | 0.16%             | 2049-12-28      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3               | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2286424 | PA      | $2137364.15    | 0.03%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260109                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $199974.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC                                                | ION PLATFORM FINANCE US SR SECURED 144A 09/32 7.875           | CUSIP: 46205QAB4<br>LEI: 213800FKHT3BRRKMCC89 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1710193.18    | 0.02%             | 2032-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4               | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1846834 | PA      | $915892.97     | 0.01%             | 2037-04-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC TERM LOAN                                 | CUSIP: BA000FPP1<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |     9913815 | PA      | $9998976.61    | 0.14%             | 2032-01-30      | Fixed         | 8.45%                 | No            |                  3 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 07/32 5.875                         | CUSIP: ACI2W0QH0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    21200000 | PA      | $26002742.92   | 0.35%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 C 144A             | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1760000 | PA      | $1751579.28    | 0.02%             | 2038-05-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -303579 | PA      | $-409355.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11            | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      791513 | PA      | $439938.21     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5561000 | PA      | $5509510.37    | 0.07%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SR SECURED 144A 05/29 7.875          | CUSIP: ACI30ZWV8<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |    10900000 | PA      | $13029872.40   | 0.18%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ABSLT DE 2024 LLC                                                          | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                          | CUSIP: 00401BAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    57200000 | PA      | $57647132.40   | 0.78%             | 2033-05-20      | Floating      | 12.23%                | No            |                  3 | On Loan: No      |
| BRUCETON MILLS ASSOCIATES LLC                                              | PURIS TERM LOAN                                               | CUSIP: BA0005TS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    14991303 | PA      | $14143355.80   | 0.19%             | 2030-07-01      | Floating      | 9.47%                 | No            |                  3 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                  | HILTON USA TRUST HILT 2016 SFP A 144A                         | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $867019.00     | 0.01%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A                 | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      646000 | PA      | $860277.95     | 0.01%             | 2049-12-21      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| PRETM 2025-RPL5 CERT TRUST                                                 | PRETM 2025 RPL5 TR 01/70 1                                    | CUSIP: 69383JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16858400 | PA      | $14448461.37   | 0.20%             | 2070-01-27      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                        | SAXON ASSET SECURITIES TRUST SAST 2004 1 M2                   | CUSIP: 805564PP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5095850 | PA      | $2920460.11    | 0.04%             | 2035-03-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-7F                                            | GSR MORTGAGE LOAN TRUST GSR 2006 7F 4A1                       | CUSIP: 36298NAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      587738 | PA      | $151427.59     | 0.00%             | 2036-08-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M5                 | CUSIP: 00764MFF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $930759.60     | 0.01%             | 2035-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL                | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     6609246 | PA      | $5166216.32    | 0.07%             | 2027-12-31      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC)                                            | CENTRAL PARENT INC 2024 TERM LOAN B                           | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    93873273 | PA      | $79819504.91   | 1.08%             | 2029-07-06      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  DEC25 XCME 20260317                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -102 | NC      | $391135.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 3A1                  | CUSIP: 12637HAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2351916 | PA      | $730985.92     | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.AA.06-1 SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-324885.24    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| MID-STATE TRUST 2006-1                                                     | MID STATE TRUST MDST 2006 1 M2 144A                           | CUSIP: 59548PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1574698 | PA      | $1599337.26    | 0.02%             | 2040-10-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A3               | CUSIP: 939344AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2890068 | PA      | $2562035.99    | 0.03%             | 2036-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-53                                                         | FANNIE MAE FNR 2007 53 SL                                     | CUSIP: 31396WCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130032 | PA      | $8956.89       | 0.00%             | 2037-06-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1                | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      131993 | PA      | $114989.79     | 0.00%             | 2047-09-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| PTHW 2025-RTL1 PT                                                          | PTHW 2025 RTL1 PT                                             | CUSIP: 990ABZHM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35335380 | PA      | $35635921.34   | 0.48%             | 2045-11-01      | Fixed         | 7.75%                 | Yes           |                  3 | On Loan: No      |
| BOI FINANCE BV                                                             | BOI FINANCE BV 02/27 7.5                                      | CUSIP: ACI23L5Y2<br>LEI: 724500ZH3H2YACBUNF38 | Long             | DBT              | MUN               | NL        |     9000000 | PA      | $10907286.30   | 0.15%             | 2027-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 08/29 9                  | CUSIP: 46206AAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16388000 | PA      | $16207164.98   | 0.22%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -17593383 | PA      | $-20713235.94  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -11951257 | PA      | $-11980537.42  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                             | WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A                     | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8000000 | PA      | $85344.00      | 0.00%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A              | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      619503 | PA      | $521716.34     | 0.01%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2009-R2                                       | MORGAN STANLEY REREMIC TRUST MSRR 2009 R2 1A1B 144A           | CUSIP: 61758MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5440740 | PA      | $5486770.76    | 0.07%             | 2036-04-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2025 DELAYED DRAW TERM LOAN                | CUSIP: BA000SL28<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     9181250 | PA      | $9089437.50    | 0.12%             | 2030-09-25      | Floating      | 1.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5591618 | PA      | $-5646872.61   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A6                | CUSIP: 93936JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      984789 | PA      | $879094.22     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                       | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  1484300000 | PA      | $34538452.73   | 0.47%             | 2028-09-06      | Fixed         | 41.72%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                               | BEAR STEARNS ALT A TRUST BALTA 2005 2 1M2                     | CUSIP: 07386HQT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5306680 | PA      | $4652985.86    | 0.06%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A                | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      368561 | PA      | $297271.68     | 0.00%             | 2035-07-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-96712.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A Z 144A                   | CUSIP: ACI2C6QG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    39972000 | PA      | $52155785.57   | 0.71%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2              | CUSIP: 86363DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      676134 | PA      | $60552.58      | 0.00%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5242579 | PA      | $-5303253.13   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     1400000 | PA      | $1612100.00    | 0.02%             | 2027-06-06      | Floating      | 29.30%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A               | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1962624 | PA      | $1822113.94    | 0.02%             | 2046-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A             | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8005000 | PA      | $7557058.61    | 0.10%             | 2038-11-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                            | VERAISON RE LTD UNSECURED 144A 03/31 VAR                      | CUSIP: 92335TAB5<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |     4600000 | PA      | $4672450.00    | 0.06%             | 2031-03-10      | Floating      | 16.42%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3213                                                    | FREDDIE MAC FHR 3213 LS                                       | CUSIP: 31397AZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      378391 | PA      | $53375.61      | 0.00%             | 2036-09-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 2A1            | CUSIP: 12668AA62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      315386 | PA      | $42908.47      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 06/32 8.625         | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7900000 | PA      | $7788144.14    | 0.11%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 3A22               | CUSIP: 007037BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1059760 | PA      | $990116.54     | 0.01%             | 2037-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                         | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487           | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |      200000 | PA      | $188713.07     | 0.00%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A7              | CUSIP: 466285AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33470 | PA      | $43864.71      | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                             | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 12A1                | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2404092 | PA      | $856826.80     | 0.01%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -27292667 | PA      | $-27388191.45  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260316                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $261600.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-1A                                             | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A                  | CUSIP: 57109J108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       33014 | PA      | $22301.40      | 0.00%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A SUB 144A         | CUSIP: 03290BAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3400000 | PA      | $2322880.00    | 0.03%             | 2039-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                  | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    17260470 | PA      | $11978766.18   | 0.16%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION (CLUE OPCO LLC)                                    | FORWARD AIR CORPORATION TERM LOAN B                           | CUSIP: 18948EAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    78209153 | PA      | $77823191.16   | 1.05%             | 2030-12-19      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-115.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                      | SYNIVERSE PFD PIK PFDJJZ917                                   | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    23556569 | NS      | $22858658.88   | 0.31%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20260122                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $576.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH (SPRUCE BIDCO II INC)                                       | SPRUCE BIDCO II INC REVOLVER                                  | CUSIP: BA000FL00<br>LEI: 254900ZDXA1N7X9RDU49 | Long             | LON              | CORP              | US        |     2245459 | PA      | $2245458.72    | 0.03%             | 2032-01-30      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX7                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4              | CUSIP: 74924TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7451275 | PA      | $6671650.64    | 0.09%             | 2036-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL9 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL9 A1 144A         | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1611709 | PA      | $1617050.10    | 0.02%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-14H                                                   | LEHMAN XS TRUST LXS 2007 14H A12                              | CUSIP: 52525LAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3348945 | PA      | $3189744.88    | 0.04%             | 2047-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A              | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      175044 | PA      | $155784.42     | 0.00%             | 2046-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                               | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A          | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3060929 | PA      | $2051457.45    | 0.03%             | 2037-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A4             | CUSIP: 751151AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2667308 | PA      | $966858.39     | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3138.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-5                                                   | FANNIE MAE FNR 2013 5 GS                                      | CUSIP: 3136ABG72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      842968 | PA      | $697929.24     | 0.01%             | 2042-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-50830.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B4 144A               | CUSIP: 59981TAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1532000 | PA      | $953257.74     | 0.01%             | 2059-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-12                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1                | CUSIP: 61755GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136134 | PA      | $42751.29      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -39193239 | PA      | $-39284336.29  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $33215.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 12/28 8.5                             | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   153997711 | PA      | $1828722.82    | 0.02%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1              | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      769469 | PA      | $715788.93     | 0.01%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260615                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-823.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 10                             | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    14339000 | PA      | $15130464.33   | 0.20%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A Z 144A             | CUSIP: ACI2S8TX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     3784000 | PA      | $4115414.39    | 0.06%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -4660300 | PA      | $-5484379.23   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                 | ACE SECURITIES CORP. ACE 2005 HE3 M3                          | CUSIP: 004421NE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100899 | PA      | $100624.81     | 0.00%             | 2035-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A15             | CUSIP: 74922EAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59912 | PA      | $49361.95      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST 2007-1                                      | BAYVIEW COMMERCIAL ASSET TRUST BAYC 2007 1 A1 144A            | CUSIP: 07325MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       92012 | PA      | $88505.08      | 0.00%             | 2037-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                    | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A               | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5600000 | PA      | $698880.00     | 0.01%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                 | EQTYWM927 WESTMORELAND MINING                                 | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      240987 | NS      | $677774.73     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BCAP LLC TRUST 2012-RR3                                                    | BCAP LLC TRUST BCAP 2012 RR3 2A8 144A                         | CUSIP: 05539BAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1352484 | PA      | $1213534.27    | 0.02%             | 2037-05-26      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -12095075 | PA      | $-12162780.54  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A           | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1871012 | PA      | $892724.33     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND MINING HOLDINGS L COMMON                         | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      238883 | NS      | $134371.58     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $304903.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B3 144A                 | CUSIP: 59980YAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3614777 | PA      | $2460762.25    | 0.03%             | 2066-04-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                       | GSAMP TRUST GSAMP 2007 FM1 A1                                 | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      724759 | PA      | $390247.09     | 0.01%             | 2036-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 D 144A         | CUSIP: 46649JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      699367 | PA      | $675416.35     | 0.01%             | 2035-02-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                             | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A1                        | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2666877 | PA      | $2201110.57    | 0.03%             | 2035-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                          | FREDDIE MAC   SCRT SCRT 2021 1 M 144A                         | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1467031 | PA      | $1421749.51    | 0.02%             | 2060-09-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1              | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1164683 | PA      | $1045068.19    | 0.01%             | 2047-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 2A                | CUSIP: 41161PDW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61929 | PA      | $57770.09      | 0.00%             | 2034-06-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                    | GATEWY CSINS + ENTRTINMNT LTD 2024 TERM LOAN B                | CUSIP: BA000DCX3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |    67477096 | PA      | $67702131.63   | 0.92%             | 2030-12-18      | Floating      | 9.95%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 3A2 144A            | CUSIP: 75524MAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3284499 | PA      | $1590976.30    | 0.02%             | 2036-03-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1               | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      149533 | PA      | $137108.19     | 0.00%             | 2034-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.245 03/25/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-59248.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 1A1              | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526505 | PA      | $464215.83     | 0.01%             | 2037-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A G 144A                                   | CUSIP: ACI2JTMY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2676000 | PA      | $3501575.32    | 0.05%             | 2049-12-28      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -800000 | PA      | $-1081956.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                | URSA RE LTD UNSECURED 144A 12/28 VAR                          | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     6800000 | PA      | $7071320.00    | 0.10%             | 2028-12-07      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A3 144A          | CUSIP: 12642YGT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14223044 | PA      | $2500283.08    | 0.03%             | 2036-08-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A8                           | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1089027 | PA      | $1001876.19    | 0.01%             | 2031-02-01      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M6                | CUSIP: 126673YP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430349 | PA      | $427995.37     | 0.01%             | 2035-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96                   | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      322523 | PA      | $133306.11     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                             | COUNTRYWIDE HOME LOANS CWHL 2007 10 A18                       | CUSIP: 12545CAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141333 | PA      | $62212.18      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20290702                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $17218.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                         | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1                | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       96500 | PA      | $97054.91      | 0.00%             | 2036-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                                   | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                        | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3600188 | PA      | $3096475.38    | 0.04%             | 2037-03-27      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M5               | CUSIP: 03072SV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3900000 | PA      | $3502156.32    | 0.05%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                             | COMEXPOSIUM 2019 EUR TERM LOAN B                              | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |    64346532 | PA      | $92256452.86   | 1.25%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2021-3                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2021 3 C 144A             | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      211672 | PA      | $209058.71     | 0.00%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20260122                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $384.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $103525.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                      | ASTON MARTIN CAPITAL HOL SR SECURED 144A 03/29 10             | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |    46124000 | PA      | $42964330.73   | 0.58%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 KS                                       | CUSIP: 3137FUS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      829304 | PA      | $97903.71      | 0.00%             | 2050-06-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                            | LAVENDER TRUST LTS 2010 RR2A A4 144A                          | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3331931 | PA      | $1437221.51    | 0.02%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                       | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3                | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19348517 | PA      | $10005046.54   | 0.14%             | 2037-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR31                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR31 A5              | CUSIP: 45667QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      454351 | PA      | $429361.76     | 0.01%             | 2036-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR2                          | SECURITIZED ASSET BACKED RECEI SABR 2007 BR2 A2               | CUSIP: 81378PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203893 | PA      | $91260.23      | 0.00%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                            | GSR MORTGAGE LOAN TRUST GSR 2007 4F 4A1                       | CUSIP: 362669AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      226243 | PA      | $50539.57      | 0.00%             | 2037-07-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1                 | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3564352 | PA      | $3036281.38    | 0.04%             | 2047-04-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                             | BONANZA RE LTD UNSECURED 144A 01/27 VAR                       | CUSIP: 09785EAR2<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |     1100000 | PA      | $924000.00     | 0.01%             | 2027-01-08      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A E 144A            | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      912093 | PA      | $927662.92     | 0.01%             | 2032-06-15      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $261350.00     | 0.00%             | 2027-06-06      | Floating      | 13.55%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -2293598 | PA      | $-3102234.81   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -618713 | PA      | $-620102.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                      | ENVALIOR FINANCE GMBH EUR TERM LOAN B1                        | CUSIP: D255LZAB1<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    16200000 | PA      | $18633677.24   | 0.25%             | 2030-03-29      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A E 144A                                   | CUSIP: ACI2JTN85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    11241000 | PA      | $15170529.29   | 0.21%             | 2049-12-28      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                         | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    11419792 | PA      | $12456872.45   | 0.17%             | 2046-06-21      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1212787.40   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                           | GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3               | CUSIP: ACI1NC340<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $168000.00     | 0.00%             | 2027-06-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R1                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R1 2C 144A             | CUSIP: 61758QAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3821045 | PA      | $3756841.76    | 0.05%             | 2035-07-26      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 XS 144A          | CUSIP: 64832BAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   496821244 | PA      | $19552648.48   | 0.26%             | 2064-09-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2021-160                                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 160 VI                | CUSIP: 38383ATZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31161870 | PA      | $2520231.79    | 0.03%             | 2036-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD MXN BOUGHT USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-221.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -29144215 | PA      | $-29353891.15  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS C 144A           | CUSIP: 61692AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      453000 | PA      | $24024.08      | 0.00%             | 2036-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| PASTOR IM FTH/FTA 4                                                        | PASTOR IM FTH/FTA IMPAS 4 A REGS                              | CUSIP: B16Q8CII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    13484380 | PA      | $14175397.60   | 0.19%             | 2044-03-22      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU B 144A            | CUSIP: 36256AAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8250000 | PA      | $8201177.33    | 0.11%             | 2032-11-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3                | CUSIP: 362341QT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5835338 | PA      | $5485169.60    | 0.07%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                    | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1               | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410369 | PA      | $384501.15     | 0.01%             | 2037-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 3A2 144A           | CUSIP: 17315MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3867336 | PA      | $1686144.76    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    14345000 | PA      | $14315667.63   | 0.19%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.87 03/22/22-01/04/27 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-200741.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-ACNT                                     | BX TRUST BX 2021 ACNT D 144A                                  | CUSIP: 05609QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17456125 | PA      | $17442775.03   | 0.24%             | 2038-11-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1                     | CUSIP: 126694MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3772017 | PA      | $3529579.56    | 0.05%             | 2035-11-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-91                                                  | FANNIE MAE FNR 2012 91 MI                                     | CUSIP: 3136A7TF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      411558 | PA      | $40174.53      | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU E 144A            | CUSIP: 36256AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10358000 | PA      | $10266405.24   | 0.14%             | 2032-11-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M1                | CUSIP: 64352VNZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      907551 | PA      | $882592.81     | 0.01%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 25-NPL14                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL14 A1 144A        | CUSIP: 69393CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5600000 | PA      | $5607110.99    | 0.08%             | 2055-12-25      | Fixed         | 5.26%                 | No            |                  3 | On Loan: No      |
| PALM RE LTD                                                                | PALM RE LTD UNSECURED 144A 06/31 VAR                          | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $264525.00     | 0.00%             | 2031-06-09      | Floating      | 13.32%                | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                           | HSI ASSET LOAN OBLIGATION HALO 2007 1 1A1                     | CUSIP: 40431TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1150814 | PA      | $1067672.58    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R2                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R2 1B 144A             | CUSIP: 61758VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138094 | PA      | $134839.69     | 0.00%             | 2035-09-26      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-1                                          | CONSECO FINANCE SECURITIZATION CNF 2002 1 M2                  | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4277303 | PA      | $4220763.19    | 0.06%             | 2033-12-01      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R6                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R6 M6                | CUSIP: 03072SG74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6373090 | PA      | $6315066.06    | 0.09%             | 2035-08-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFX 144A        | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16715000 | PA      | $15941931.25   | 0.22%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                     | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507          | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1306205 | PA      | $1386743.98    | 0.02%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | X CORP 2025 FIXED TERM LOAN                                   | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    12050000 | PA      | $12030599.50   | 0.16%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260713                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-610.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                               | DBGS MORTGAGE TRUST DBGS 2021 W52 E 144A                      | CUSIP: 23308LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26404000 | PA      | $22744389.76   | 0.31%             | 2039-10-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 2A3            | CUSIP: 12668AV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120636 | PA      | $56979.88      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -894464 | PA      | $-895191.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4               | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000039 | PA      | $1041293.61    | 0.01%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS A COMMON STOCK                        | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     2021190 | NS      | $8408150.40    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                        | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5                   | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5547000 | PA      | $3936090.74    | 0.05%             | 2035-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1                          | FREDDIE MAC   SCRT SCRT 2018 1 BX                             | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4113878 | PA      | $1753851.51    | 0.02%             | 2057-05-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7                | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $19076.03      | 0.00%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME A 144A          | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28190000 | PA      | $26220012.33   | 0.35%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $346102.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SECURITIES NO.1 PLC                                     | LANSDOWNE MORTGAGE SECURITIES LANSD 1 M1 REGS                 | CUSIP: B12GGNII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      900000 | PA      | $900780.89     | 0.01%             | 2045-06-15      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                               | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      200000 | PA      | $240445.92     | 0.00%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1              | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50926 | PA      | $46724.79      | 0.00%             | 2035-11-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN                   | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |    88693488 | PA      | $74142434.67   | 1.00%             | 2029-06-01      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-M1                                             | SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A                  | CUSIP: 78447T103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       36440 | PA      | $12417179.68   | 0.17%             | 2029-10-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                             | COUNTRYWIDE HOME LOANS CWHL 2007 13 A14                       | CUSIP: 17025JAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1338 | PA      | $598.37        | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M2                | CUSIP: 03072SQ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4300000 | PA      | $4133163.44    | 0.06%             | 2035-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A               | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10939000 | PA      | $10882876.37   | 0.15%             | 2035-04-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1              | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7276056 | PA      | $5186341.17    | 0.07%             | 2046-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B5 144A               | CUSIP: 59981TBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1265000 | PA      | $694507.64     | 0.01%             | 2059-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2            | CUSIP: 073888BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1941 | PA      | $1933.53       | 0.00%             | 2036-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3451840 | PA      | $-3462652.75   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                   | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10673 | PA      | $7630.63       | 0.00%             | 2036-10-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR1                                                       | GSAMP TRUST GSAMP 2004 AR1 M4                                 | CUSIP: 36228F6S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1252521 | PA      | $1189078.01    | 0.02%             | 2034-06-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| HANDSHAKE RE LTD                                                           | HANDSHAKE RE LTD UNSECURED 144A 01/30 VAR                     | CUSIP: 410290AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $300364.53     | 0.00%             | 2030-01-08      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A         | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      961992 | PA      | $964923.20     | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                     | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 E 144A             | CUSIP: 39571XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      483222 | PA      | $500543.03     | 0.01%             | 2059-10-27      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A            | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300511 | PA      | $1216234.88    | 0.02%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                    | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                   | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8896000 | PA      | $9292099.74    | 0.13%             | 2041-10-25      | Floating      | 11.37%                | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 06/27 10                              | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |    88781465 | PA      | $39507751.93   | 0.53%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-4CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 4CB 1A6             | CUSIP: 12668BPS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      168999 | PA      | $76677.45      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR                | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     3223001 | PA      | $1974088.11    | 0.03%             | 2034-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -10803747 | PA      | $-12707679.71  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-155.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                  | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625            | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $237088.64     | 0.00%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A7            | CUSIP: 02149JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1660457 | PA      | $576092.34     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                       | VASA TRUST VASA 2021 VASA A 144A                              | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $987545.00     | 0.01%             | 2039-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                    | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                   | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8323874 | PA      | $8753479.13    | 0.12%             | 2041-11-25      | Floating      | 11.67%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                              | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                        | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16585 | PA      | $15129.54      | 0.00%             | 2036-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-10H                                                   | LEHMAN XS TRUST LXS 2007 10H 1A3                              | CUSIP: 525237AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22508605 | PA      | $16587723.05   | 0.22%             | 2037-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV D 144A             | CUSIP: 12660WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15850000 | PA      | $5251924.45    | 0.07%             | 2038-07-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.30000 01/17/24-2Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $309635.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A              | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      435936 | PA      | $413885.92     | 0.01%             | 2036-11-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SOLERA LLC (POLARIS NEWCO LLC)                                             | POLARIS NEWCO, LLC USD TERM LOAN B                            | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |    71086658 | PA      | $68714496.54   | 0.93%             | 2028-06-02      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A2               | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10333844 | PA      | $2937011.69    | 0.04%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-26R                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 26R A1              | CUSIP: 02152JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5021120 | PA      | $825963.65     | 0.01%             | 2037-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                                      | COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR                   | CUSIP: 20453QAA0<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |     1900000 | NS      | $1874350.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6510274 | PA      | $-6523077.29   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                        | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                      | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |    90260000 | PA      | $38338163.56   | 0.52%             | 2030-11-30      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                              | SEQUOIA MORTGAGE TRUST SEMT 2007 2 2AA1                       | CUSIP: 81744LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68474 | PA      | $54931.36      | 0.00%             | 2038-01-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| SOLOSO CDO LTD 2007-1A                                                     | SOLOSO CDO LTD SLOSO 2007 1A A1LB 144A                        | CUSIP: 83438JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17418036 | PA      | $14456969.88   | 0.20%             | 2037-10-07      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLDING COMMON STOCK                        | CUSIP: ACI2J2G58<br>LEI: 529900GNB86RB7HRX793 | Long             | EC               | CORP              | LU        |      843935 | NS      | $0.99          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-10                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 10 1A2                | CUSIP: 61748HRT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138626 | PA      | $86838.72      | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                               | BAYOU RE LTD UNSECURED 144A 04/31 VAR                         | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $277450.00     | 0.00%             | 2031-04-30      | Floating      | 22.12%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -17275081 | PA      | $-17478197.82  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A3                | CUSIP: 05951EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64507 | PA      | $55734.00      | 0.00%             | 2047-01-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805B 144A         | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $789832.32     | 0.01%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2018-2A                                             | ROCKFORD TOWER CLO LTD ROCKT 2018 2A SUB 144A                 | CUSIP: 77342LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4966667 | PA      | $293107.90     | 0.00%             | 2031-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | FORESEA HLDG S A COMMON STOCK                                 | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       26354 | NS      | $594612.13     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| NUMERICABLE US LLC                                                         | ALTICE FRANCE SA 2025 EXT TERM LOAN B14                       | CUSIP: BA000QF60<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |    68568329 | PA      | $68639640.46   | 0.93%             | 2031-05-31      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1            | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1584673 | PA      | $1522696.43    | 0.02%             | 2036-05-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO ROYAL BANK OF CAN                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -38674227 | PA      | $-38738683.92  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                 | FANNIE MAE FNR 2006 113 BQ                                    | CUSIP: 31396LZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28620 | PA      | $1243.76       | 0.00%             | 2036-11-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/17/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $286810.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                               | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 VAR               | CUSIP: ACI1Q6J43<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    17685601 | PA      | $17544116.19   | 0.24%             | 2030-07-31      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT COP SOLD USD 20260102                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-2626.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                            | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR                   | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |      500000 | PA      | $537850.00     | 0.01%             | 2031-05-07      | Floating      | 13.79%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4087905 | PA      | $-4099527.14   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT US CORP                                              | UPFIELD BV 2025 USD TERM LOAN B12                             | CUSIP: BA000FVY5<br>LEI: 254900U4MHW4MZWGFU47 | Long             | LON              | CORP              | NL        |    15000000 | PA      | $14546925.00   | 0.20%             | 2027-12-31      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                       | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   276200000 | PA      | $6429587.48    | 0.09%             | 2028-05-17      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB17               | CUSIP: 05950BAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33771 | PA      | $29716.42      | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                      | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A           | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1713391 | PA      | $1715733.48    | 0.02%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-13495.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                             | BONANZA RE LTD UNSECURED 144A 01/26 VAR                       | CUSIP: 09785EAN1<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $399320.00     | 0.01%             | 2026-01-08      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1              | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122244 | PA      | $100231.52     | 0.00%             | 2037-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2FP                 | CUSIP: 61750FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3073758 | PA      | $1066215.04    | 0.01%             | 2036-09-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3868                                                    | FREDDIE MAC FHR 3868 SA                                       | CUSIP: 3137AAEG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      487440 | PA      | $46654.19      | 0.00%             | 2041-05-15      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-3                                        | RBSSP RESECURITIZATION TRUST RBSSP 2010 3 12A2 144A           | CUSIP: 74929FCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2733456 | PA      | $1396307.49    | 0.02%             | 2037-05-26      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1                 | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26166041 | PA      | $2228880.93    | 0.03%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2677500 | PA      | $-2681352.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -7123933 | PA      | $-7148722.29   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -204127 | PA      | $-240406.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR                  | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    14400000 | PA      | $10742400.00   | 0.15%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260128                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $83052.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY5                                            | COUNTRYWIDE HOME LOANS CWHL 2007 HY5 1A1                      | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1547319 | PA      | $1209029.50    | 0.02%             | 2047-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1                            | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A        | CUSIP: 52607NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1400000 | PA      | $126126.00     | 0.00%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2010-2                                          | ASG RESECURITIZATION TRUST ASG 2010 2 M30 144A                | CUSIP: 001990BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6716041 | PA      | $5674652.73    | 0.08%             | 2037-01-28      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2850.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1888560 | PA      | $-1911342.33   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B14                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B14 225C 144A             | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $20212.50      | 0.00%             | 2062-12-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A3A               | CUSIP: 17307GE61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      266797 | PA      | $260948.13     | 0.00%             | 2035-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                          | FREDDIE MAC   SCRT SCRT 2021 3 M 144A                         | CUSIP: 35563P6P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $650113.80     | 0.01%             | 2061-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5598536 | PA      | $-5616027.15   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A              | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      453117 | PA      | $405426.02     | 0.01%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $9609.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO LTD 2016-11A                                                       | OCP CLO LTD OCP 2016 11A PREF 144A                            | CUSIP: 67092H209<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        4645 | PA      | $1933055.07    | 0.03%             | 2036-04-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 22A2            | CUSIP: 07387UCY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      226813 | PA      | $122492.54     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IVANTI SECURITY HOLDINGS LLC                                               | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                      | CUSIP: 46583VAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    11883087 | PA      | $12296558.57   | 0.17%             | 2029-06-01      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260115                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-26015.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                             | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A          | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      488624 | PA      | $480092.53     | 0.01%             | 2034-06-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COMISION EJECUTIVA HIDROELECTRICA DEL RIO LEMPA                            | COMISION EJ HI RIO LEMPA GOVT GUARANT REGS 01/33 8.65         | CUSIP: P3012UAA4<br>LEI: 254900YU43PQQ27Q0E71 | Long             | DBT              | CORP              | SV        |     5600000 | PA      | $6014400.00    | 0.08%             | 2033-01-24      | Fixed         | 8.65%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A R 144A                   | CUSIP: ACI2C6QT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    20785000 | PA      | $6350451.58    | 0.09%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-R1                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A           | CUSIP: 05953BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2062012 | PA      | $1678573.05    | 0.02%             | 2047-08-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2022-DNA1                                          | FREDDIE MAC   STACR STACR 2022 DNA1 B2 144A                   | CUSIP: 35564KQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3800000 | PA      | $4003254.02    | 0.05%             | 2042-01-25      | Floating      | 10.97%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN ALTERNATIVE LN TRUST 2005-S1                                   | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 S1 2A12             | CUSIP: 46627MAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      465463 | PA      | $306840.44     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                             | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL A 144A           | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4500000 | PA      | $4370602.50    | 0.06%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                         | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    15554164 | PA      | $19751563.60   | 0.27%             | 2045-09-13      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -81276414 | PA      | $-82130787.42  | -1.11%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST D 144A         | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3030000 | PA      | $47786.13      | 0.00%             | 2036-12-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ALXA                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 ALXA E 144A          | CUSIP: 63874GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $86926.27      | 0.00%             | 2043-01-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260326                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $13276.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2003-RS7                                    | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS7 MII1             | CUSIP: 760985YC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252199 | PA      | $251730.07     | 0.00%             | 2033-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                         | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    25349744 | PA      | $16494234.27   | 0.22%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                       | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1             | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |      404862 | PA      | $405266.36     | 0.01%             | 2027-09-01      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 5.75           | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |    53205509 | PA      | $46730398.55   | 0.63%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                             | ADLER GROUP SA   VTG SHS COMMON STOCK                         | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |    10224514 | NS      | $12.01         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2254200 | PA      | $-2258907.52   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A              | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3570488 | PA      | $3350835.60    | 0.05%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A               | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         176 | PA      | $27758.34      | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $483.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $4534.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 9 3A2 144A           | CUSIP: 17315XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      801449 | PA      | $383070.83     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -39145600 | PA      | $-39639367.81  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.50 9/20/23-25Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $900060.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -33211640 | PA      | $-33332417.99  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5863106 | PA      | $-5873399.63   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                              | BSST MORTGAGE TRUST BSST 2021 1818 E 144A                     | CUSIP: 07403PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $1280919.60    | 0.02%             | 2036-03-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-1R                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 1R 2A2 144A            | CUSIP: 12640XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4948124 | PA      | $4544592.98    | 0.06%             | 2035-04-26      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2015-5                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 5 3A2 144A           | CUSIP: 17323XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4167671 | PA      | $3907974.01    | 0.05%             | 2034-08-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A31            | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1427280 | PA      | $633827.15     | 0.01%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 06/26 0.00000        | CUSIP: ACI37LQK3<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      193388 | PA      | $30942.12      | 0.00%             | 2026-06-23      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | WEST MARINE NEW WARRANT WARRWM911                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        5580 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-915483.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M2               | CUSIP: 59020UUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      508565 | PA      | $513478.35     | 0.01%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -7346641 | PA      | $-7372354.24   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BX-2021-SDMF                                                               | BX TRUST BX 2021 SDMF F 144A                                  | CUSIP: 12434CAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13279338 | PA      | $13237517.67   | 0.18%             | 2034-09-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL13 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL13 A1 144A        | CUSIP: 74143UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7714799 | PA      | $7741929.44    | 0.10%             | 2055-12-25      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-BC1                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 BC1 B1               | CUSIP: 86359AMC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3726179 | PA      | $3461088.59    | 0.05%             | 2032-05-25      | Floating      | 9.85%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3               | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6835927 | PA      | $4028808.75    | 0.05%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                    | BCAP LLC TRUST BCAP 2010 RR7 2A13 144A                        | CUSIP: 05533DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1696684 | PA      | $1653903.47    | 0.02%             | 2045-07-26      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                             | GRAY TELEVISION INC 2024 TERM LOAN B                          | CUSIP: 389376BC7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |      243301 | PA      | $243670.89     | 0.00%             | 2029-05-23      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                           | GOLDEN BEAR RE LTD UNSECURED 144A 01/29 VAR                   | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     4300000 | PA      | $4303480.85    | 0.06%             | 2029-01-08      | Floating      | 13.46%                | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3                | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      524839 | PA      | $525125.74     | 0.01%             | 2035-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MEDIAPRO (SUBCALIDORA 2 SARL)                                              | SUBCALIDORA 2 2024 EUR TERM LOAN                              | CUSIP: BA0007DG2<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |    52304000 | PA      | $61774998.56   | 0.84%             | 2029-08-14      | Floating      | 7.77%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 10A3 144A          | CUSIP: 12642YGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4541904 | PA      | $4122409.03    | 0.06%             | 2037-07-26      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -98007922 | PA      | $-98142138.10  | -1.33%            |  |  |  | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                      | ENVALIOR FINANCE GMBH USD TERM LOAN B1                        | CUSIP: D255LZAC9<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    68753502 | PA      | $64235365.65   | 0.87%             | 2030-04-01      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $233592.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC HM EQ LN ASSET BACKED TR 2000-C                                    | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 C MF1               | CUSIP: 456606BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      447147 | PA      | $291158.06     | 0.00%             | 2031-12-25      | Variable      | 8.74%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A               | CUSIP: 92927BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      332819 | PA      | $292531.70     | 0.00%             | 2047-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 1A1               | CUSIP: 07386YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100343 | PA      | $88118.21      | 0.00%             | 2047-08-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2742832 | PA      | $-2771951.28   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A               | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      780142 | PA      | $660470.27     | 0.01%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                          | FREDDIE MAC   SCRT SCRT 2022 1 BXS 144A                       | CUSIP: 35563PD71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11025942 | PA      | $4448349.11    | 0.06%             | 2061-11-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5680640 | PA      | $-5692668.76   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMBS 2025-CES2                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 CES2 XS 144A         | CUSIP: 36273BAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   266655789 | PA      | $19903721.42   | 0.27%             | 2055-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2007-AC2                      | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC2 A2              | CUSIP: 073854AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8803909 | PA      | $8088076.93    | 0.11%             | 2037-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $22547002.96   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1                | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2438381 | PA      | $746117.65     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                  | MOTION FINCO SARL SR SECURED REGS 06/30 7.375                 | CUSIP: ACI2G9CJ0<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |    32600000 | PA      | $34901202.11   | 0.47%             | 2030-06-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AX66 CREDIT SUISSE GROUP AG             | CUSIP: 952NPJ000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      200000 | PA      | $59000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3 / ALTICE HOLDINGS 1                                    | ALTICE FRAN LUX 3/HOLD 1 SR UNSECURED 144A 01/33 10           | CUSIP: 020956AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    18535324 | PA      | $17022444.91   | 0.23%             | 2033-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-485L                                | GS MORTGAGE SECURITIES TRUST GSMS 2017 485L A 144A            | CUSIP: 36252CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9000000 | PA      | $8808295.50    | 0.12%             | 2037-02-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -11523399 | PA      | $-13571248.95  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY                              | MICHIGAN ST TOBACCO SETTLEMENT MISGEN 06/46 ZEROCPNOID 0      | CUSIP: 594751AL3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    23000000 | PA      | $3142085.20    | 0.04%             | 2046-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                           | BEAR STEARNS ALT A TRUST BALTA 2006 R1 4E22                   | CUSIP: 073866BH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    44744884 | PA      | $18564603.02   | 0.25%             | 2036-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                    | BCAP LLC TRUST BCAP 2013 RR1 3A4 144A                         | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1468413 | PA      | $989932.04     | 0.01%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805C 144A         | CUSIP: 17328CBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1510800 | PA      | $301811.16     | 0.00%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -11498056 | PA      | $-11503396.16  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1               | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      235415 | PA      | $139250.83     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-2Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3528129.59    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 1A1                 | CUSIP: 02660TEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1945150 | PA      | $1764912.88    | 0.02%             | 2045-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                            | BEAR STEARNS ALT A TRUST BALTA 2006 3 23A1                    | CUSIP: 07386HL66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152787 | PA      | $142631.35     | 0.00%             | 2036-05-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                    | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A           | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6135265 | PA      | $5823163.48    | 0.08%             | 2038-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2017262 | PA      | $-2041362.06   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2             | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3443576 | PA      | $2720838.82    | 0.04%             | 2037-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF A 144A           | CUSIP: 61691KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8185931 | PA      | $8138443.02    | 0.11%             | 2034-11-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| RCO X MORTGAGE LLC 2025-5                                                  | RCO MORTGAGE LLC RCO 2025 5 A1 144A                           | CUSIP: 75523YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4202094 | PA      | $4162653.79    | 0.06%             | 2030-10-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -5557850 | PA      | $-6541639.66   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN 2011-RR3 TRUST                                   | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR3 A5 144A         | CUSIP: 94987VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2838726 | PA      | $1489384.77    | 0.02%             | 2037-03-27      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                      | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5                  | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5630274 | PA      | $640008.47     | 0.01%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| APLD COMPUTECO LLC                                                         | APLD COMPUTECO LLC SR SECURED 144A 12/30 9.25                 | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1002000 | PA      | $983638.76     | 0.01%             | 2030-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                             | WINSTON RE LTD UNSECURED 144A 02/28 VAR                       | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $309600.00     | 0.00%             | 2028-02-21      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 2A1              | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1337330 | PA      | $1077447.99    | 0.01%             | 2037-05-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-10                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 10 2A1               | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      534888 | PA      | $543840.23     | 0.01%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3741.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260521                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-436.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 X 144A                  | CUSIP: 59980XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    44251157 | PA      | $2655.07       | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2024-2                          | FREDDIE MAC   SCRT SCRT 2024 2 BXS 144A                       | CUSIP: 35563PYJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3984166 | PA      | $1934447.41    | 0.03%             | 2064-05-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                           | DUN + BRADSTREET CORPOR THE 2025 REVOLVER                     | CUSIP: BA000K747<br>LEI: 2549003M8H6SW81O1D67 | Long             | LON              | CORP              | US        |     1364207 | PA      | $1361077.60    | 0.02%             | 2032-08-26      | Floating      | 0.63%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A            | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2796947 | PA      | $2716962.38    | 0.04%             | 2046-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-3                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A           | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      795358 | PA      | $500566.98     | 0.01%             | 2037-11-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 1A              | CUSIP: 021455AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5655938 | PA      | $5365232.52    | 0.07%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T C 144A                      | CUSIP: 23307CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6193000 | PA      | $6036332.58    | 0.08%             | 2036-12-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                    | COREWEAVE COMPUTE ACQCO II LLC DDTL                           | CUSIP: 948GKAII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    15862500 | PA      | $16541740.31   | 0.22%             | 2028-07-31      | Floating      | 13.39%                | No            |                  3 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A9                           | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      250403 | PA      | $226436.07     | 0.00%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI C 144A                              | CUSIP: 92943AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11200000 | PA      | $11381944.00   | 0.15%             | 2037-07-05      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                        | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3              | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25510363 | PA      | $18417351.93   | 0.25%             | 2037-01-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                        | BCP TRUST BCP 2021 330N E 144A                                | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11849964 | PA      | $628285.09     | 0.01%             | 2038-06-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 DS                | CUSIP: 38375GSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      627784 | PA      | $30922.08      | 0.00%             | 2040-12-20      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $76230.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                    | FREDDIE MAC FHR 5000 IA                                       | CUSIP: 3137FVFL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4966811 | PA      | $784573.42     | 0.01%             | 2048-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B6 144A               | CUSIP: 59981TBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1267170 | PA      | $575505.02     | 0.01%             | 2059-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                      | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     2300000 | PA      | $2420175.00    | 0.03%             | 2028-01-07      | Floating      | 14.09%                | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B             | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      915539 | PA      | $251226.50     | 0.00%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP COMPANY GUAR REGS 08/26 4.45              | CUSIP: ACI1XQPZ5<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |      300000 | PA      | $28125.00      | 0.00%             | 2026-08-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3                | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3152205 | PA      | $789051.67     | 0.01%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A            | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7500000 | PA      | $6933750.00    | 0.09%             | 2036-12-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.85000 12/21/22-16Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1304836.61    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-36                                                         | FANNIE MAE FNR 2020 36 NI                                     | CUSIP: 3136B95E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14197722 | PA      | $3043513.16    | 0.04%             | 2050-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP D 144A                            | CUSIP: 05490TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7790000 | PA      | $6282901.42    | 0.09%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2              | CUSIP: 073879V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14278 | PA      | $14380.02      | 0.00%             | 2034-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 03/26 0.00000                                   | CUSIP: 912797SZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1021000 | PA      | $1013693.02    | 0.01%             | 2026-03-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5270000 | PA      | $5217499.47    | 0.07%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 02/32 7.75                          | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   116310000 | PA      | $119846987.10  | 1.62%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A12                 | CUSIP: 22942JBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      121485 | PA      | $52987.84      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3882.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A3               | CUSIP: 23242NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3365475 | PA      | $2942455.97    | 0.04%             | 2036-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 B3 144A         | CUSIP: 61775UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4006000 | PA      | $3916245.96    | 0.05%             | 2068-12-25      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-109                                                        | FANNIE MAE FNR 2007 109 PI                                    | CUSIP: 31396X2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26942 | PA      | $1851.97       | 0.00%             | 2037-12-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A              | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      223506 | PA      | $198836.15     | 0.00%             | 2046-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                         | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3                | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2481066 | PA      | $877224.63     | 0.01%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2988988 | PA      | $-2999990.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CORK STREET CLO DESIGNATED ACTIVITY CO 1A                                  | CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A              | CUSIP: ACI0QPJC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1400594 | PA      | $201138.58     | 0.00%             | 2028-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260320                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $28712.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2014-150E                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A           | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25312000 | PA      | $22896080.97   | 0.31%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                    | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 B 144A            | CUSIP: 62955HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2192334.98    | 0.03%             | 2038-12-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1X2              | CUSIP: 12668ATS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7055055 | PA      | $297281.66     | 0.00%             | 2035-12-25      | Floating      | 0.82%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL C 144A          | CUSIP: 63874AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2250000 | PA      | $2156126.63    | 0.03%             | 2038-08-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10              | CUSIP: 05950LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52518 | PA      | $45387.66      | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A         | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      413474 | PA      | $412490.60     | 0.01%             | 2031-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| IPL PLASTICS (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)   | TOUCAN FINCO LTD/CAN/US SR SECURED REGS 05/30 8.25            | CUSIP: ACI2WX3R1<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    12000000 | PA      | $13637209.23   | 0.18%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 XA 144A                 | CUSIP: 89178BBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4817043 | PA      | $4098038.95    | 0.06%             | 2059-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7            | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      495877 | PA      | $197961.38     | 0.00%             | 2036-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                    | FREDDIE MAC FHR 5062 SC                                       | CUSIP: 3137F8UF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2964359 | PA      | $423547.31     | 0.01%             | 2051-01-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -110587 | PA      | $-110893.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A3              | CUSIP: 933634AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1283299 | PA      | $1148171.37    | 0.02%             | 2037-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1               | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5086227 | PA      | $2371919.74    | 0.03%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                              | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                       | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    10000000 | NS      | $9829600.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 SD                | CUSIP: 38375GTB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1130505 | PA      | $122477.98     | 0.00%             | 2042-08-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP1                                                       | RAAC SERIES RAAC 2007 RP1 M2 144A                             | CUSIP: 74977YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17151000 | PA      | $17243032.27   | 0.23%             | 2046-05-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9                      | JP MORGAN REREMIC JPMRR 2009 9 A2 144A                        | CUSIP: 46633XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      835364 | PA      | $669316.22     | 0.01%             | 2036-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 AIOS 144A            | CUSIP: 92541AAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   398121591 | PA      | $2434652.87    | 0.03%             | 2065-05-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A         | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10204577 | PA      | $5780952.83    | 0.08%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-4Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1114515.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A              | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2048141 | PA      | $1837125.35    | 0.02%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MORTGAGE FUNDING 2008-1 PLC                                                | MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS                       | CUSIP: ACI1690J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1000000 | PA      | $1351327.26    | 0.02%             | 2046-03-13      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A5              | CUSIP: 14454AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      510678 | PA      | $399222.49     | 0.01%             | 2035-03-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A                | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15658843 | PA      | $16070676.88   | 0.22%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3384                                                           | FREDDIE MAC FHR 3384 SM                                       | CUSIP: 31397PCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      582310 | PA      | $52931.16      | 0.00%             | 2037-05-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $8517.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A27            | CUSIP: 02150GBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      649438 | PA      | $714659.09     | 0.01%             | 2037-05-25      | Floating      | 15.92%                | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                      | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                  | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1457110 | PA      | $264365.15     | 0.00%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5009                                                    | FREDDIE MAC FHR 5009 NI                                       | CUSIP: 3137FWEG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12485259 | PA      | $2393055.77    | 0.03%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -9723619 | PA      | $-9755765.96   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A2              | CUSIP: 02150PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4802769 | PA      | $4542825.94    | 0.06%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A3              | CUSIP: 12668BVC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141306 | PA      | $51548.95      | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -13089731 | PA      | $-13116728.22  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAD4<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $400000.00     | 0.01%             | 2029-01-08      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4               | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      442351 | PA      | $164656.49     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2005-WF1                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2005 WF1 M5               | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      211351 | PA      | $211103.94     | 0.00%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1             | CUSIP: 94985GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      146372 | PA      | $129371.53     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-IND2                                                   | BCAP LLC TRUST BCAP 2008 IND2 A2                              | CUSIP: 05531EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12880121 | PA      | $10039154.91   | 0.14%             | 2038-04-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                  | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1              | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |     9887792 | PA      | $11379053.21   | 0.15%             | 2026-04-17      | Floating      | 5.18%                 | No            |                  3 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA C 144A                 | CUSIP: 647622AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1189241.16    | 0.02%             | 2032-04-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                | COMEXPOSIUM 2019 EUR REVOLVER                                 | CUSIP: 945BLZII6<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |     6309995 | PA      | $9046917.86    | 0.12%             | 2031-10-16      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-3Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $7996058.80    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| MSDB TRUST 2017-712F                                                       | MSDB TRUST MSDB 2017 712F A 144A                              | CUSIP: 55354JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34437500 | PA      | $33316965.74   | 0.45%             | 2039-07-11      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                               | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                    | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |    35292955 | PA      | $34205162.70   | 0.46%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1               | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      229888 | PA      | $150769.62     | 0.00%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-9R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 9R 6A2 144A            | CUSIP: 12642HCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7597837 | PA      | $7075172.74    | 0.10%             | 2036-10-26      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                       | BX TRUST BX 2021 MC G 144A                                    | CUSIP: 05608GAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3797284.40    | 0.05%             | 2034-04-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR4                                     | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1             | CUSIP: 76112BUG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15052 | PA      | $12971.65      | 0.00%             | 2035-07-19      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 B3 144A              | CUSIP: 92541AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4080000 | PA      | $3733064.95    | 0.05%             | 2065-05-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-41728.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                             | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                       | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1055439 | PA      | $321625.63     | 0.00%             | 2037-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2004-AA                                            | EMC MORTGAGE LOAN TRUST EMCM 2004 AA M2 144A                  | CUSIP: 268668DE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1615209 | PA      | $1594949.64    | 0.02%             | 2042-04-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS D 144A           | CUSIP: 78486DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      221328 | PA      | $221183.55     | 0.00%             | 2034-04-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A                | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12140593 | PA      | $11269737.19   | 0.15%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                | SES S A COMMON STOCK                                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |     1755353 | NS      | $27280818.65   | 0.37%             |  |  |  | No            |                  3 | On Loan: No      |
| PRET 2025-NPL12 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL12 A1 144A        | CUSIP: 69383CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7935066 | PA      | $7960842.64    | 0.11%             | 2055-11-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -22051253 | PA      | $-22136150.60  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -590777 | PA      | $-592637.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 A4                 | CUSIP: 86358ELN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2279086 | PA      | $2250499.46    | 0.03%             | 2034-09-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5496215 | PA      | $-5514004.19   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                            | PARK AVENUE TRUST PRKAV 2017 245P D 144A                      | CUSIP: 90187LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2417551.00    | 0.03%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D                  | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3243303 | PA      | $1430143.32    | 0.02%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                        | DOLP TRUST DOLP 2021 NYC D 144A                               | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $5162531.40    | 0.07%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                   | FANNIE MAE FNR 2013 6 JS                                      | CUSIP: 3136ABN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1178027 | PA      | $138566.63     | 0.00%             | 2043-02-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A          | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      939275 | PA      | $928354.66     | 0.01%             | 2037-04-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                              | DBGS MORTGAGE TRUST DBGS 2019 1735 A 144A                     | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1715000 | PA      | $1627474.46    | 0.02%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 4A3              | CUSIP: 12667G5Y5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2117379 | PA      | $1829801.58    | 0.02%             | 2035-10-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $834.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-49041.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A8             | CUSIP: 02149VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3639460 | PA      | $1578941.25    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                               | UBS GROUP AG REG COMMON STOCK USD.1                           | CUSIP: ACI09N1W4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |       12342 | NS      | $569886.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                       | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581              | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   138270000 | PA      | $146207892.65  | 1.98%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2025 EUR TERM LOAN B12                       | CUSIP: BA000QF37<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     2766712 | PA      | $3224013.50    | 0.04%             | 2028-10-30      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP B 144A                            | CUSIP: 05490TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10400000 | PA      | $9276307.04    | 0.13%             | 2033-08-10      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 11R 2A2 144A           | CUSIP: 12646QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2586743 | PA      | $1287274.13    | 0.02%             | 2037-12-29      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -21540038 | PA      | $-21580150.34  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -19439602 | PA      | $-19477617.22  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                 | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TA 144A        | CUSIP: 05492TBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1250000 | PA      | $1013573.00    | 0.01%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-3                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 3A1                | CUSIP: 86363GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      990321 | PA      | $370886.06     | 0.01%             | 2047-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A                | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9499931 | PA      | $8923722.83    | 0.12%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -4998400 | PA      | $-6745980.19   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                        | PRET 2025 NPL10 LLC 10/55 5.2498                              | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8016778 | PA      | $8020790.75    | 0.11%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP D 144A         | CUSIP: 46651WAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1712000 | PA      | $332898.57     | 0.00%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR                  | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      400000 | PA      | $341800.00     | 0.00%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                        | CORONADO CDO LTD CORON 1A B1 144A                             | CUSIP: 21976RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21623797 | PA      | $6339751.39    | 0.09%             | 2038-09-04      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-7157091.96   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 3A1             | CUSIP: 02150QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64695 | PA      | $59151.44      | 0.00%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                      | REGAL TRUST IV REGAL 1999 1 A 144A                            | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         499 | PA      | $475.55        | 0.00%             | 2031-09-29      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5391240 | PA      | $-5401229.27   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                 | PALISADES CDO LTD PALIS 2004 1A B1 144A                       | CUSIP: 696399AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6539993 | PA      | $2161153.91    | 0.03%             | 2039-07-22      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260302                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-83837.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII2 144A        | CUSIP: 760985Y96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      993216 | PA      | $1006159.38    | 0.01%             | 2034-04-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -8093790 | PA      | $-9548088.49   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -12393912 | PA      | $-12432316.08  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4327304 | PA      | $-4373952.36   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B             | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1119622 | PA      | $1061447.45    | 0.01%             | 2047-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-10R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 10R 3A2 144A           | CUSIP: 12646NAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1969721 | PA      | $1725846.15    | 0.02%             | 2036-05-26      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C             | CUSIP: 17311BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11672834 | PA      | $4411632.04    | 0.06%             | 2036-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                    | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    11578033 | PA      | $608793.60     | 0.01%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CASSINI SAS                                                                | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                             | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |    18769557 | PA      | $26910740.00   | 0.36%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X2 144A            | CUSIP: ACI2S8TR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      378000 | PA      | $541661.05     | 0.01%             | 2060-06-20      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| TITULIZACION DE ACTIVOS 27                                                 | TITULIZACION DE ACTIVOS TDA 27 A3 REGS                        | CUSIP: E9053PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     4421280 | PA      | $4720620.33    | 0.06%             | 2050-12-28      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1                    | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1327000 | PA      | $1038728.16    | 0.01%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -5211076 | PA      | $-6203195.71   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                      | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN                  | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |    30300000 | PA      | $30519197.78   | 0.41%             | 2029-12-18      | Floating      | 7.22%                 | No            |                  3 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AR3                                          | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR3 A1A               | CUSIP: 65537EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      803390 | PA      | $697726.36     | 0.01%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| IM PASTOR FTH 3                                                            | PASTOR IM FTH/FTA IMPAS 3 A REGS                              | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     8772043 | PA      | $9132277.03    | 0.12%             | 2043-03-22      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING 06/50 0                             | CUSIP: ACI2S8XL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         145 | PA      | $0.00          | 0.00%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 3A4              | CUSIP: 74958TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87231 | PA      | $69406.11      | 0.00%             | 2037-07-27      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4               | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1394198 | PA      | $821652.14     | 0.01%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD AUD BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-4177.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXIII LTD                                                 | MARBLE POINT CLO XXIII LTD. MP23 2021 4A SUB 144A             | CUSIP: 566068AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17150000 | PA      | $6646009.33    | 0.09%             | 2052-01-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-1                                            | BEAR STEARNS ALT A TRUST BALTA 2005 1 M2                      | CUSIP: 07386HQJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      667829 | PA      | $643243.60     | 0.01%             | 2035-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SOLERA LLC (POLARIS NEWCO LLC)                                             | POLARIS NEWCO LLC EUR TERM LOAN B                             | CUSIP: 73108RAC2<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |    30550000 | PA      | $34187303.96   | 0.46%             | 2028-06-02      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/28 5.75               | CUSIP: 46206AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      800000 | PA      | $755161.12     | 0.01%             | 2028-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -28782222 | PA      | $-29045235.59  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 12.015 03/17/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-3033358.57   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1576571 | PA      | $-1593601.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -61132881 | PA      | $-61919828.95  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| CALI MORTGAGE TRUST 2019-101C                                              | CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A           | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14900000 | PA      | $14417681.04   | 0.20%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN D                   | CUSIP: 953BAHII7<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |     1100000 | PA      | $960006.18     | 0.01%             | 2029-02-16      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | NEW UNITY COMMON STOCKK                                       | CUSIP: 958WDX907<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |     3783475 | NS      | $25498389.25   | 0.35%             |  |  |  | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A             | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75983 | PA      | $74166.58      | 0.00%             | 2045-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A         | CUSIP: 46649JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7700443 | PA      | $7638172.64    | 0.10%             | 2035-02-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 03/26 0.00000                                   | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      965000 | PA      | $957376.16     | 0.01%             | 2026-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/28 2.375        | CUSIP: ACI2B1W92<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |    11500000 | PA      | $13227608.76   | 0.18%             | 2028-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                          | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1                | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      199764 | PA      | $795.36        | 0.00%             | 2049-05-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1              | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      448700 | PA      | $381156.60     | 0.01%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                          | FREDDIE MAC   SCRT SCRT 2020 2 BXS 144A                       | CUSIP: 35563PRM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12621890 | PA      | $6367563.22    | 0.09%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $9783.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B                  | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1062954 | PA      | $630462.23     | 0.01%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -2682472 | PA      | $-3620616.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8              | CUSIP: ACI0Z2W07<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     2471654 | PA      | $1554007.88    | 0.02%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -10150288 | PA      | $-10181730.91  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300D 144A             | CUSIP: 08163DBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $1869169.28    | 0.03%             | 2054-04-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM4                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM4 X 144A          | CUSIP: 36272UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   315361635 | PA      | $12377628.82   | 0.17%             | 2065-10-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| TRANSPORTADORA DE GAS SUR-B                                                | TRANSPORT DE GAS DEL SUR SR UNSECURED 144A 11/35 7.75         | CUSIP: 893870AZ8<br>LEI: 5299002TRC7IFQYSW596 | Long             | DBT              | CORP              | AR        |     8725000 | PA      | $8640891.00    | 0.12%             | 2035-11-20      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -50579050 | PA      | $-50706804.25  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2005-R10                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R10 M5               | CUSIP: 03072ST21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3996000 | PA      | $3782714.30    | 0.05%             | 2036-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-A                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 5M1                | CUSIP: 05946XRH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2159358 | PA      | $2106077.61    | 0.03%             | 2035-02-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 D 144A              | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      389101 | PA      | $393986.95     | 0.01%             | 2032-10-20      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260218                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $21735.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A         | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7900000 | PA      | $6445296.37    | 0.09%             | 2036-03-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -14689330 | PA      | $-14707119.95  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P F 144A           | CUSIP: 61772WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18000000 | PA      | $16033942.80   | 0.22%             | 2038-12-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -19169862 | PA      | $-19177785.34  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 AIOS 144A          | CUSIP: 26844QAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   212345884 | PA      | $59340.06      | 0.00%             | 2068-02-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5684714 | PA      | $-5739131.39   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR                | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     3878798 | PA      | $2327278.80    | 0.03%             | 2035-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 4A1                | CUSIP: 86361BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2255732 | PA      | $530406.93     | 0.01%             | 2036-08-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV7                 | CUSIP: 1266732N1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6297167 | PA      | $4628372.88    | 0.06%             | 2035-11-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2723722 | PA      | $-2735065.55   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-382.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 XA 144A                 | CUSIP: 89178WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      464100 | PA      | $423259.88     | 0.01%             | 2060-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS 2 LLC                                                      | CLOVER HOLDINGS 2 LLC REVOLVER                                | CUSIP: 18914DAD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     6574791 | PA      | $6519332.64    | 0.09%             | 2029-12-10      | Floating      | 0.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1              | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6460945 | PA      | $6126408.04    | 0.08%             | 2035-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS11                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS11 A1              | CUSIP: 74925GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3781597 | PA      | $3039139.82    | 0.04%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260505                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1689.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT HUF SOLD USD 20260217                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $3796.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A1             | CUSIP: 12668BRW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2088921 | PA      | $1711717.34    | 0.02%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.2* 9/12/23-26Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6899129.80    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 1999-5                                     | GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2                 | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3518937 | PA      | $3559829.25    | 0.05%             | 2029-12-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.PENAAA.07-1 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-19452.21     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                      | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4                | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1553000 | PA      | $1466330.49    | 0.02%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP G 144A            | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8500000 | PA      | $8326588.95    | 0.11%             | 2032-07-15      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 XS 144A                 | CUSIP: 59980XAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    44251157 | PA      | $193612.09     | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B10                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B10 3CCA 144A             | CUSIP: 08162VBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15430000 | PA      | $11975266.20   | 0.16%             | 2062-03-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260122                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $9517.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAF9<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-01-08      | Floating      | 14.18%                | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                             | LIBERTY STREET TRUST LBTY 2016 225L E 144A                    | CUSIP: 902055AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4621833.00    | 0.06%             | 2036-02-10      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                               | ACE SECURITIES CORP. ACE 2005 HE5 M5                          | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5108684 | PA      | $4447076.63    | 0.06%             | 2035-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA14                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA14 3A1            | CUSIP: 02146SAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1909253 | PA      | $1756354.79    | 0.02%             | 2046-11-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.AA.06-2 SP ULO                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-3070689.62   | -0.04%            |  |  |  | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR 1ST LIEN TERM LOAN     | CUSIP: BA000KZZ7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   147517284 | PA      | $170491431.35  | 2.31%             | 2029-12-31      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                  | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    76360418 | PA      | $59484765.62   | 0.80%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1545194 | PA      | $-1554202.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO110626                                    | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  3372600000 | PA      | $2136698.23    | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                     | SOUTH COAST FUNDING SCF 5A B 144A                             | CUSIP: 84129VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3678131 | PA      | $1134721.70    | 0.02%             | 2039-08-06      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR13                                       | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR13 A2             | CUSIP: 94984DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2413 | PA      | $2364.29       | 0.00%             | 2036-09-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-6852.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG 25-2A                                                     | CRAFT LTD CRFT 2025 2A CLN 144A                               | CUSIP: ACI2Y11S9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | DE        |    18900000 | PA      | $19134068.37   | 0.26%             | 2035-01-21      | Floating      | 11.25%                | No            |                  3 | On Loan: No      |
| QUERCUS II RE DESIGNATED ACTIVITY COMPANY                                  | QUERCUS II RE DAC UNSECURED 144A 01/31 VAR                    | CUSIP: ACI37KKF2<br>LEI: 635400PTO1PTKKKHEA32 | Long             | DBT              | CORP              | IE        |     1700000 | PA      | $1997839.98    | 0.03%             | 2031-01-07      | Floating      | 14.61%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -7171823 | PA      | $-7176282.51   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                       | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4                 | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4030518 | PA      | $727578.26     | 0.01%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| YELLOWSTONE ENERGY LP                                                      | YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75                   | CUSIP: 98580LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      959450 | PA      | $948920.14     | 0.01%             | 2026-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2006-1                                                | PRIME MORTGAGE TRUST PRIME 2006 1 3A1                         | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1114057 | PA      | $815559.58     | 0.01%             | 2036-06-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-2A                                                         | RCKT TRUST RCKTL 2025 2A E 144A                               | CUSIP: 74939HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1400000 | PA      | $1403260.74    | 0.02%             | 2034-11-27      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A X2 144A            | CUSIP: ACI2S8TS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       72561 | PA      | $97293.75      | 0.00%             | 2050-06-28      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.25000 03/18/20-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1525412.69    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -7009080 | PA      | $-8258253.99   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS LLC 2025 EXCHNG 1ST OUT TERM LOAN    | CUSIP: 55328HAP6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |     1001814 | PA      | $1005820.87    | 0.01%             | 2030-12-31      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 X 144A               | CUSIP: 59982HBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    62117851 | PA      | $2613465.72    | 0.04%             | 2060-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                        | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A           | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18810000 | PA      | $16670061.54   | 0.23%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                               | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                      | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $999870.30     | 0.01%             | 2039-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4             | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2468942 | PA      | $1158879.74    | 0.02%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-3                                       | WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M2                 | CUSIP: 9497EBAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9675034 | PA      | $10009922.77   | 0.14%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF B 144A               | CUSIP: 04410RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8598000 | PA      | $8624642.62    | 0.12%             | 2035-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 1A1              | CUSIP: 933634AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200267 | PA      | $168047.84     | 0.00%             | 2037-03-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2994309 | PA      | $-3001295.95   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B6 144A                 | CUSIP: 59980YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2325083 | PA      | $1378176.24    | 0.02%             | 2066-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8              | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |      324561 | PA      | $204061.67     | 0.00%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -9817500 | PA      | $-9842125.56   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2011-63                                                         | FANNIE MAE FNR 2011 63 CS                                     | CUSIP: 31397USG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1203832 | PA      | $129172.09     | 0.00%             | 2041-07-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260602                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-265.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $129879.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -25480618 | PA      | $-25566628.19  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-2081.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1                | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |      600000 | PA      | $0.01          | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 4A1             | CUSIP: 94985GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1184638 | PA      | $1047750.73    | 0.01%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-15849.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 4A1                | CUSIP: 863579U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21277941 | PA      | $11948648.79   | 0.16%             | 2036-03-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -1553930 | PA      | $-2101525.83   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-D                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2004 D 5A2                | CUSIP: 05946XNF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69167 | PA      | $67500.15      | 0.00%             | 2035-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B2 144A           | CUSIP: 12656TAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4624600 | PA      | $2840569.45    | 0.04%             | 2060-01-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                             | COUNTRYWIDE HOME LOANS CWHL 2005 24 A22                       | CUSIP: 126694KN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18690 | PA      | $6844.49       | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                              | COREWEAVE INC COMPANY GUAR 144A 02/31 9                       | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7158606.00    | 0.10%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-IRON                                     | BX TRUST BX 2021 IRON E 144A                                  | CUSIP: 05608JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1877660 | PA      | $1818614.31    | 0.02%             | 2038-02-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B6 144A                 | CUSIP: 59980XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1302732 | PA      | $643236.92     | 0.01%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                    | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                         | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      670021 | PA      | $615481.06     | 0.01%             | 2037-03-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                      | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3                | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      359174 | PA      | $307386.29     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 X 144A                  | CUSIP: 89178WAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    62324185 | PA      | $610935.94     | 0.01%             | 2060-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 M1                  | CUSIP: 045427AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    36091773 | PA      | $29867205.61   | 0.40%             | 2046-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -13785545 | PA      | $-13830462.73  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.22 03/25/22-01/04/27 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-120257.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M6               | CUSIP: 04542BKX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      417570 | PA      | $329508.09     | 0.00%             | 2035-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 2A2              | CUSIP: 12667GS20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2257710 | PA      | $1559027.53    | 0.02%             | 2035-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                    | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2                 | CUSIP: 00764MFS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93446 | PA      | $92834.24      | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                    | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2               | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3132430 | PA      | $1756950.41    | 0.02%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -18695770 | PA      | $-18817811.83  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING 06/50 0                             | CUSIP: ACI2S8Z13<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         145 | PA      | $428376.25     | 0.01%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-53                                                  | FANNIE MAE FNR 2013 53 MI                                     | CUSIP: 3136AEFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48858 | PA      | $777.89        | 0.00%             | 2042-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260226                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $2855.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A           | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      637623 | PA      | $638643.13     | 0.01%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -25220481 | PA      | $-29693789.30  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2022 HC A 144A                       | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9131000 | PA      | $8819126.13    | 0.12%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | X CORP TERM LOAN                                              | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    99566091 | PA      | $98037253.88   | 1.33%             | 2029-10-26      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF B 144A           | CUSIP: 61691KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12600000 | PA      | $12394816.56   | 0.17%             | 2034-11-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M5                 | CUSIP: 126670LT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3919831 | PA      | $3577830.72    | 0.05%             | 2036-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO GBP ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -10578710 | PA      | $-14338902.90  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A             | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88229 | PA      | $70611.41      | 0.00%             | 2035-01-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LN TRUST 2004-AR5                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR5 2A1B             | CUSIP: 45660NS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91846 | PA      | $85690.72      | 0.00%             | 2034-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2025 TERM LOAN                             | CUSIP: BA000SL02<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    73450000 | PA      | $71981000.00   | 0.97%             | 2030-09-25      | Floating      | 9.72%                 | No            |                  3 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 B5 144A          | CUSIP: 64828XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8300000 | PA      | $4897743.68    | 0.07%             | 2059-11-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                         | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5              | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |    12350000 | PA      | $11875331.70   | 0.16%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR1                                          | SECURITIZED ASSET BACKED RECEI SABR 2005 FR1 M2               | CUSIP: 81375WDT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      441569 | PA      | $386295.01     | 0.01%             | 2034-12-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                          | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                   | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      181401 | PA      | $186626.54     | 0.00%             | 2047-04-19      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 G 144A            | CUSIP: 55284DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2750000 | PA      | $2739694.10    | 0.04%             | 2034-12-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                                              | ARGENT SECURITIES INC. ARSI 2005 W3 M2                        | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14850602 | PA      | $13396125.13   | 0.18%             | 2035-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20270610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-696.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A            | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15000000 | PA      | $14930679.00   | 0.20%             | 2032-07-15      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6             | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    69751000 | PA      | $64947775.95   | 0.88%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 2A1             | CUSIP: 07389NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      106434 | PA      | $82112.72      | 0.00%             | 2036-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2               | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17902021 | PA      | $11907835.48   | 0.16%             | 2037-07-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO ROYAL BANK OF CAN                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |    -2164809 | PA      | $-2557843.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                    | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     6236813 | PA      | $327942.75     | 0.00%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PRPM 2025-8 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 8 A1 144A            | CUSIP: 69383BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1212371 | PA      | $1215059.44    | 0.02%             | 2030-10-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A4            | CUSIP: 02149CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7227216 | PA      | $3463053.73    | 0.05%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                            | BEAR STEARNS ALT A TRUST BALTA 2007 2 2A1                     | CUSIP: 073870AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3341768 | PA      | $2297215.15    | 0.03%             | 2037-04-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -402187 | PA      | $-402103.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GRP INC. 2025 TRANCHE A TERM LOAN       | CUSIP: 65131PAC3<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |    57802980 | PA      | $48482249.11   | 0.66%             | 2029-04-30      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                             | FREMONT HOME LOAN TRUST FHLT 2005 B M6                        | CUSIP: 35729PKA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4300000 | PA      | $3811183.31    | 0.05%             | 2035-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2X1              | CUSIP: 12668ATW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2419164 | PA      | $198471.09     | 0.00%             | 2035-12-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4197306 | PA      | $-4236052.20   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6090.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 22A            | CUSIP: 07389RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7240121 | PA      | $7496133.52    | 0.10%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| COHESITY INC                                                               | CLOVER 2024 HOLDINGS INC VERITAS G 1 PREFERRED                | CUSIP: 955EKAII3<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |       64475 | NS      | $1240246.19    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC) | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8               | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    27220000 | PA      | $23692108.35   | 0.32%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -12447861 | PA      | $-12560220.11  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR               | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      700000 | PA      | $713230.00     | 0.01%             | 2031-06-05      | Floating      | 12.97%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 B 144A         | CUSIP: 46649JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9983671 | PA      | $9812113.48    | 0.13%             | 2035-02-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                       | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A3            | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3068 | PA      | $2824.80       | 0.00%             | 2036-10-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| INEOS US FINANCE LLC                                                       | INEOS US FINANCE LLC 2023 USD TERM LOAN B                     | CUSIP: G4768PAN1<br>LEI: 5493008MHJ4R367SNK31 | Long             | LON              | CORP              | US        |    32073370 | PA      | $26109808.18   | 0.35%             | 2030-02-18      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| MARINE ONE HOLDCO LLC                                                      | WEST MARINE NEW COMMON STOCK EQTYWM9A9                        | CUSIP: 902LVFII8<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       43000 | NS      | $271664.07     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                    | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     4241231 | PA      | $3791660.69    | 0.05%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -904770 | PA      | $-1063285.69   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.50000 09/16/20-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $5238868.86    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -10696840 | PA      | $-10719410.33  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO C 144A                    | CUSIP: 83410JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $2621368.40    | 0.04%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 11/40 12.75                        | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 34412700000 | PA      | $8934628.69    | 0.12%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-D                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 D M2                | CUSIP: 456606JQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1025590 | PA      | $841340.37     | 0.01%             | 2036-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP D 144A            | CUSIP: 12651QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3121000 | PA      | $3105378.46    | 0.04%             | 2032-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A38               | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20024 | PA      | $18811.20      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2             | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170246 | PA      | $80727.82      | 0.00%             | 2037-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                        | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ D 144A           | CUSIP: 05523GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8000000 | PA      | $1269072.00    | 0.02%             | 2034-08-14      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 2A1                | CUSIP: 058928AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      687302 | PA      | $631479.79     | 0.01%             | 2036-03-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-1                                        | RBSSP RESECURITIZATION TRUST RBSSP 2010 1 2A2 144A            | CUSIP: 74928YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7997733 | PA      | $7970817.53    | 0.11%             | 2045-07-26      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                            | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                    | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7894576 | PA      | $4190171.80    | 0.06%             | 2035-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | NEW WINDSTREAM WARRANTS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      737041 | NC      | $4960515.15    | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                           | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1                   | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2576573 | PA      | $2472678.13    | 0.03%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X1 144A            | CUSIP: ACI2S8TW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      378000 | PA      | $530227.82     | 0.01%             | 2060-06-20      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260302                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $33414.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-AM2                               | MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A3                | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3232921 | PA      | $3039250.10    | 0.04%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| STRATEGIC GAMING MANAGEMENT LLC                                            | STRATEGIC GAMING COMMITMENT TERM LOAN                         | CUSIP: BA000QXN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    21000000 | PA      | $20756375.01   | 0.28%             | 2030-10-15      | Fixed         | 10.90%                | No            |                  3 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4              | CUSIP: 16163EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      495884 | PA      | $259045.99     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -23466497 | PA      | $-23520800.78  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B2                | CUSIP: 41161PSW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2944483 | PA      | $2731393.66    | 0.04%             | 2035-06-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR -0.15000 03/18/20-10Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $2706983.91    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A         | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13987342 | PA      | $13378769.31   | 0.18%             | 2035-02-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20260818                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |           1 | NC      | $414.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 E 144A              | CUSIP: 44644NAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      468084 | PA      | $473088.80     | 0.01%             | 2032-10-20      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A        | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    41689988 | PA      | $5782818.21    | 0.08%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A                 | CUSIP: 33844T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9000 | PA      | $400709.48     | 0.01%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| JEFFERIES & CO 2009-R7                                                     | JEFFERIES + CO JMAC 2009 R7 10A2 144A                         | CUSIP: 47233AAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3447736 | PA      | $867850.05     | 0.01%             | 2036-12-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A1              | CUSIP: 45667WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82686 | PA      | $80674.63      | 0.00%             | 2036-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                   | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4141112 | PA      | $2074366.70    | 0.03%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1890013 | PA      | $-1901678.71   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-52404.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | VENTURE GLOBAL LNG INC SNR S* ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $862692.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                       | EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR                 | CUSIP: 27332EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1100000 | PA      | $1120350.00    | 0.02%             | 2026-03-31      | Floating      | 12.54%                | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/28 5.75                      | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    91806000 | PA      | $90188143.26   | 1.22%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A1                  | CUSIP: 22942JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      405670 | PA      | $58581.87      | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| VNDO TRUST 2016-350P                                                       | VNO MORTGAGE TRUST VNDO 2016 350P E 144A                      | CUSIP: 91831UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4814000 | PA      | $4685014.17    | 0.06%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                               | ALAMO RE LTD UNSECURED 144A 06/26 VAR                         | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     1300000 | PA      | $1357850.00    | 0.02%             | 2026-06-08      | Floating      | 15.46%                | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-2                          | FREDDIE MAC   SCRT SCRT 2021 2 BXS 144A                       | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1167517 | PA      | $857778.56     | 0.01%             | 2060-11-25      | Variable      | 11.94%                | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A             | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $297590.28     | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                  | MOTION FINCO SARL SR SECURED 144A 02/32 8.375                 | CUSIP: 61980LAB5<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |     1200000 | PA      | $1078675.44    | 0.01%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HKD BOUGHT USD 20260121                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $22329.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-2RA                                                  | CIFC FUNDING LTD CIFC 2014 2RA INC 144A                       | CUSIP: 125475AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3390000 | PA      | $457989.00     | 0.01%             | 2030-04-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF3             | CUSIP: 46629QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2224951 | PA      | $1330068.76    | 0.02%             | 2029-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-284.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1              | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      492444 | PA      | $264105.71     | 0.00%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 XS 144A         | CUSIP: 617941AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    54245220 | PA      | $1963763.76    | 0.03%             | 2070-01-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A2 144A            | CUSIP: 12646DAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29178434 | PA      | $10480310.03   | 0.14%             | 2047-02-27      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                             | GRAY MEDIA INC SECURED 144A 07/32 9.625                       | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5711878.54    | 0.08%             | 2032-07-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                    | REACH FINANCIAL LLC REACH 2025 1A D 144A                      | CUSIP: 75525PAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $513539.00     | 0.01%             | 2032-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1                | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234277 | PA      | $196962.42     | 0.00%             | 2046-10-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| AIM AVIATION FINANCE LIMITED 2015-1A                                       | DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A            | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      789633 | PA      | $775153.19     | 0.01%             | 2040-02-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1             | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2248179 | PA      | $884959.94     | 0.01%             | 2037-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1               | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |     4079279 | NS      | $1697994.93    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-5                                                   | PRIME MORTGAGE TRUST PRIME 2005 5 1A1                         | CUSIP: 74160MLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23729 | PA      | $22951.78      | 0.00%             | 2034-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 X 144A                  | CUSIP: 59980YAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    64514707 | PA      | $16773.82      | 0.00%             | 2066-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP A 144A                            | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28700000 | PA      | $26779235.28   | 0.36%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005-5                                            | FBR SECURITIZATION TRUST FBRSI 2005 5 M4                      | CUSIP: 30246QCS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3644000 | PA      | $2174738.47    | 0.03%             | 2035-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3922                                                    | FREDDIE MAC FHR 3922 GS                                       | CUSIP: 3137AFHT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      602120 | PA      | $591001.73     | 0.01%             | 2041-09-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                    | FREDDIE MAC FHR 5051 SX                                       | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27603728 | PA      | $1132749.32    | 0.02%             | 2048-11-15      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $244670.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -50709338 | PA      | $-51084108.02  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3               | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M5              | CUSIP: 04541GQY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46870 | PA      | $54314.31      | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20260105                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |           1 | NC      | $-391.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B              | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      533774 | PA      | $487455.15     | 0.01%             | 2037-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTG SECURITIES 1999-2                                     | SALOMON BROTHERS MORTGAGE SECU SBM7 1999 2 A4                 | CUSIP: 79548KH35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76115 | PA      | $75641.77      | 0.00%             | 2029-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A         | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3890783 | PA      | $2271189.67    | 0.03%             | 2037-06-27      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-154730.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                             | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                       | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2609625 | PA      | $1204315.58    | 0.02%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                         | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    11113345 | PA      | $13514333.28   | 0.18%             | 2045-09-13      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | ARAB REPUBLIC OF EGYPT SR UNSECURED REGS 04/31 6.375          | CUSIP: ACI1B3V91<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     7000000 | PA      | $8465705.90    | 0.11%             | 2031-04-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                      | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B E 144A           | CUSIP: 63874EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5880000 | PA      | $3198916.39    | 0.04%             | 2037-04-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B5 144A                 | CUSIP: 59980XAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1379060 | PA      | $808675.56     | 0.01%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260123                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $5670.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-5                                           | CONSECO FINANCIAL CORP GT 1999 5 A6                           | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5876437 | PA      | $1478436.40    | 0.02%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B3 144A         | CUSIP: 617941AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $662269.37     | 0.01%             | 2070-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4043424 | PA      | $-4049073.99   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A         | CUSIP: 466309AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13000152 | PA      | $6115257.28    | 0.08%             | 2037-06-27      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LN TR 2007-HE2                                   | GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE2 A6              | CUSIP: 36186LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      445690 | PA      | $438687.01     | 0.01%             | 2037-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                             | COUNTRYWIDE HOME LOANS CWHL 2005 24 A7                        | CUSIP: 126694JX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22628 | PA      | $11292.27      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-7                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A2                 | CUSIP: 61749JAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1643664 | PA      | $411143.55     | 0.01%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC JPY TERM LOAN                             | CUSIP: BA000FPQ9<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |   192401273 | PA      | $1240712.21    | 0.02%             | 2032-01-30      | Floating      | 5.75%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A6             | CUSIP: 12668BSL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1158484 | PA      | $298905.80     | 0.00%             | 2036-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 3.00000 03/18/26-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $810355.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5              | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    23090000 | PA      | $23946685.18   | 0.32%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1                      | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115096 | PA      | $56019.79      | 0.00%             | 2035-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                      | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A              | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4584001 | PA      | $743487.90     | 0.01%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 F 144A                     | CUSIP: 20048FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4575648.00    | 0.06%             | 2038-12-15      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                              | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                       | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7185743 | PA      | $2335347.94    | 0.03%             | 2036-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-88                                                  | FANNIE MAE FNR 2007 88 MI                                     | CUSIP: 31396XUW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      193578 | PA      | $14287.50      | 0.00%             | 2037-09-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1AV 144A                          | CUSIP: 83743YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9983006 | PA      | $1865544.24    | 0.03%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B             | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      387628 | PA      | $265779.89     | 0.00%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20300509                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $91567.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | US RENAL CARE INC SR SECURED 144A 06/28 10.625                | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |    13209100 | PA      | $11326803.25   | 0.15%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                   | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875          | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |     3000000 | PA      | $3508841.35    | 0.05%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A D 144A                  | CUSIP: 19424RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3811000 | PA      | $4067451.34    | 0.06%             | 2054-06-25      | Fixed         | 8.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -42735727 | PA      | $-42834696.13  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260223                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-5888.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI E 144A                              | CUSIP: 92943AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16010000 | PA      | $16235316.74   | 0.22%             | 2037-07-05      | Variable      | 9.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -85948611 | PA      | $-86593770.55  | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6436800 | PA      | $-6495020.86   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                   | ANTHRACITE LTD SER 2004 HY1 CL D 144A                         | CUSIP: 03702YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2020690 | PA      | $20.21         | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                             | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                       | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1801709 | PA      | $1624711.67    | 0.02%             | 2037-04-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4120                                                    | FREDDIE MAC FHR 4120 WS                                       | CUSIP: 3137AVJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      278358 | PA      | $26219.14      | 0.00%             | 2042-09-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1685686 | PA      | $-1688434.14   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                     | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      265585 | PA      | $118644.47     | 0.00%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $5326.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVENIR ISSUER IV (IRELAND) DESIGNATED ACTIVITY COMPANY                     | AVENIR ISSUER IV IRLND SR SECURED REGS 10/27 6                | CUSIP: ACI2S8C83<br>LEI: 894500E9CKDEAOMG0B46 | Long             | DBT              | NUSS              | IE        |     5550191 | PA      | $5350501.24    | 0.07%             | 2027-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                            | BEAR STEARNS ALT A TRUST BALTA 2005 4 22A1                    | CUSIP: 07386HTP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85046 | PA      | $82954.76      | 0.00%             | 2035-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.15000 06/17/20-10Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $141525.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1               | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      277692 | PA      | $157447.23     | 0.00%             | 2047-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B3 144A           | CUSIP: 12657GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11267947 | PA      | $6631500.06    | 0.09%             | 2060-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A13            | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      730103 | PA      | $281500.15     | 0.00%             | 2036-08-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND COAL CO PIK TERM LOAN                            | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     7231362 | PA      | $3073328.91    | 0.04%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| JP MORGAN REREMIC 2009-4                                                   | JP MORGAN REREMIC JPMRR 2009 4 4A2 144A                       | CUSIP: 46633JBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3825408 | PA      | $1138653.78    | 0.02%             | 2036-04-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 01/36 8.375                         | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     1890000 | PA      | $1946304.44    | 0.03%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -9010400 | PA      | $-10604029.36  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SEA1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 1A1 144A         | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4175606 | PA      | $3845505.13    | 0.05%             | 2047-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| EUROMAX-V                                                                  | EUROMAX EUMAX V A2 REGS                                       | CUSIP: G3233MAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2579710 | PA      | $2899571.96    | 0.04%             | 2095-11-10      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                     | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                        | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |   135130358 | PA      | $130871724.96  | 1.77%             | 2027-05-13      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                        | NATURE COAST RE LTD UNSECURED 144A 12/30 VAR                  | CUSIP: 63901CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      824000 | PA      | $849461.60     | 0.01%             | 2030-12-07      | Floating      | 13.62%                | No            |                  2 | On Loan: No      |
| TOLL ROAD INVESTORS PARTNERSHIP II LP                                      | TOLL ROAD INV PART II INSURED 144A 02/43 0.00000              | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18028954 | PA      | $6378643.95    | 0.09%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                               | LEHMAN MORTGAGE TRUST LMT 2007 8 3A1                          | CUSIP: 52521YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    30401941 | PA      | $8429643.41    | 0.11%             | 2037-09-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 AIOS 144A         | CUSIP: 12657GAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   187216915 | PA      | $3542237.65    | 0.05%             | 2060-10-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR12                                                   | BCAP LLC TRUST BCAP 2012 RR12 3A3 144A                        | CUSIP: 05542BAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1118215 | PA      | $1022305.75    | 0.01%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260205                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1891.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1             | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      339026 | PA      | $151809.81     | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-83825.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                      | CUSIP: 73110JAB8<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     6500000 | PA      | $6782100.00    | 0.09%             | 2027-01-07      | Floating      | 16.84%                | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                           | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                  | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     3200000 | PA      | $3505600.00    | 0.05%             | 2026-06-08      | Floating      | 26.38%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5929834 | PA      | $-5940475.06   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG WALK REINSURANCE LTD                                                  | LONG WALK REINSURANCE UNSECURED 144A 01/31 VAR                | CUSIP: 54289CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     5800000 | PA      | $5837700.00    | 0.08%             | 2031-01-30      | Floating      | 13.83%                | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3              | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1259187 | PA      | $1085645.94    | 0.01%             | 2037-02-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFL 144A        | CUSIP: 46645WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4338160 | PA      | $4243304.73    | 0.06%             | 2033-07-05      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2007-1                                             | CSAB MORTGAGE BACKED TRUST CSAB 2007 1 2A5                    | CUSIP: 12629EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1780264 | PA      | $1178374.07    | 0.02%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260205                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $71329.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                        | NEPTUNE QUASAR PPN                                            | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |           1 | PA      | $0.00          | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                   | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A           | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2441949.75    | 0.03%             | 2034-09-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-OPT1                                      | MASTR ASSET BACKED SECURITIES MABS 2005 OPT1 M6               | CUSIP: 57643LHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      763116 | PA      | $622022.10     | 0.01%             | 2035-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                             | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                       | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      145874 | PA      | $76616.18      | 0.00%             | 2035-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | PETERSEN CLAIM UNITS                                          | CUSIP: 958CFGII7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | CORP              | US        |      264500 | PA      | $7723400.00    | 0.10%             | 2099-12-31      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M5                | CUSIP: 64352VKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      813347 | PA      | $816922.52     | 0.01%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-1A                                             | ROCKFORD TOWER CLO LTD ROCKT 2017 1A SUB 144A                 | CUSIP: 77340FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    22000000 | PA      | $8187709.86    | 0.11%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                    | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC B 144A           | CUSIP: 05591UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      426060 | PA      | $395048.52     | 0.01%             | 2038-08-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -22487878 | PA      | $-22664883.03  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/27 0.878        | CUSIP: ACI1SYQ75<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |     9100000 | PA      | $9858750.34    | 0.13%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A8              | CUSIP: 02149MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7881268 | PA      | $2914241.44    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -3731806 | PA      | $-4441650.86   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 1999-D                                      | OAKWOOD MORTGAGE INVESTORS INC OAK 1999 D A1                  | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      423549 | PA      | $430936.41     | 0.01%             | 2029-11-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1B                    | CUSIP: 1266944K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      279869 | PA      | $261795.41     | 0.00%             | 2036-05-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J7                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6              | CUSIP: 12667GF73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      702432 | PA      | $346379.80     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                              | AMSURG EQUITY EQTYAS910                                       | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     3517243 | NS      | $157972442.65  | 2.14%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-2                                          | CONSECO FINANCE SECURITIZATION CNF 2002 2 M2                  | CUSIP: 20846QJZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7266038 | PA      | $7356345.99    | 0.10%             | 2033-03-01      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260116                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $4042.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 2 B5 144A                 | CUSIP: 89177JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    46176990 | PA      | $6147884.42    | 0.08%             | 2058-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CIBC                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2817028 | PA      | $-2835045.18   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -20865384 | PA      | $-28231349.62  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-2                          | FREDDIE MAC   SCRT SCRT 2018 2 BX                             | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      846314 | PA      | $317744.69     | 0.00%             | 2057-11-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| TGS ASA                                                                    | TGS ASA SR SECURED 144A 01/30 8.5                             | CUSIP: 87243KAA7<br>LEI: 549300NUPLAXPB0WYH90 | Long             | DBT              | CORP              | NO        |     1400000 | PA      | $1467051.26    | 0.02%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6719357 | PA      | $-6758941.37   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                    | XBP GLOBAL HOLDINGS INC COMMON STOCK                          | CUSIP: 98400V200<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |        5398 | NS      | $36760.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VASA TRUST 2021-VASA                                                       | VASA TRUST VASA 2021 VASA F 144A                              | CUSIP: 92230AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4435000 | PA      | $3851600.14    | 0.05%             | 2039-07-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| SEVITA (NATIONAL MENTOR HOLDINGS INC)                                      | NATIONAL MENTOR HOLDINGS SR SECURED 144A 12/30 10.5           | CUSIP: 63688RAF4<br>LEI: 5493004QULJVJP3CNZ62 | Long             | DBT              | CORP              | US        |    14400000 | PA      | $14489686.37   | 0.20%             | 2030-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1              | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      659663 | PA      | $627084.53     | 0.01%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A3              | CUSIP: 02151BAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7431380 | PA      | $2392621.08    | 0.03%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                  | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |    11600000 | PA      | $11737587.60   | 0.16%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                                                    | PROFRAC HOLDINGS II LLC SR SECURED 144A 01/29 VAR             | CUSIP: 74319TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    19716000 | PA      | $20159610.00   | 0.27%             | 2029-01-23      | Floating      | 10.90%                | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                       | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 F 144A              | CUSIP: 78437XAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      900000 | PA      | $914758.92     | 0.01%             | 2033-06-15      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3079106 | PA      | $-3089606.06   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GLGU-2021-1A                                                               | MAN GLG US CLO 2021 1 LTD GLGU 2021 1A SUB 144A               | CUSIP: 56166XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6450000 | PA      | $3142054.16    | 0.04%             | 2034-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M4              | CUSIP: 04541GUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2439000 | PA      | $2397819.44    | 0.03%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                             | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                        | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1049052 | PA      | $1046083.75    | 0.01%             | 2035-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                 | OCS GROUP HOLDINGS LTD GBP TERM LOAN B                        | CUSIP: BA000BQB0<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |    19450000 | PA      | $26275054.02   | 0.36%             | 2031-11-28      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4             | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4592898 | PA      | $4377753.79    | 0.06%             | 2046-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 M1              | CUSIP: 76113ACB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6183077 | PA      | $5408729.23    | 0.07%             | 2036-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A5             | CUSIP: 02148FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      779550 | PA      | $641442.07     | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                           | PROJECT CASHMERE CLASS G 144A                                 | CUSIP: 990ABJSK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    20245000 | PA      | $13510501.42   | 0.18%             | 2057-12-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST SERIES 2012-5                                     | KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A                   | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      484879 | PA      | $9697.58       | 0.00%             | 2038-04-25      | Variable      | 1.13%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD PEN BOUGHT USD 20260218                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-38895.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $74001.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3611798.19    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1               | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      382968 | PA      | $373044.07     | 0.01%             | 2034-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                        | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR                  | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     6500000 | PA      | $6736600.00    | 0.09%             | 2027-04-05      | Floating      | 12.27%                | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 06/28 0.00000        | CUSIP: ACI37LP99<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       22985 | PA      | $4941.68       | 0.00%             | 2028-06-23      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3               | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      247588 | PA      | $222572.11     | 0.00%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260225                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $145672.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260707                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-468.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCRIPPS (E.W. SCRIPPS COMPANY)                                             | EW SCRIPPS CO SECURED 144A 08/30 9.875                        | CUSIP: 811054AH8<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5796915.62    | 0.08%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 B2 144A              | CUSIP: 92541AAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5582000 | PA      | $5409008.24    | 0.07%             | 2065-05-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 10/30 6.875                  | CUSIP: 02090DAB4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     1168727 | PA      | $1134619.89    | 0.02%             | 2030-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95                 | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |        4000 | PA      | $1323.09       | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 01/26 0.00000                                   | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1016000 | PA      | $1013513.36    | 0.01%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                             | COUNTRYWIDE HOME LOANS CWHL 2005 15 A7                        | CUSIP: 12669GR37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28410 | PA      | $14274.51      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV5                | CUSIP: 126670PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      821327 | PA      | $657480.95     | 0.01%             | 2036-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -18325060 | PA      | $-18325060.25  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| CPS AUTO SECURITIZATION TRUST 2025-1                                       | CPS AUTO TRUST CPS 2025 1 A 144A                              | CUSIP: 22411GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16711635 | PA      | $16973890.13   | 0.23%             | 2032-06-16      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1               | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3199568 | PA      | $2277641.25    | 0.03%             | 2037-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A4              | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13201000 | PA      | $11743162.09   | 0.16%             | 2036-12-26      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA D 144A                 | CUSIP: 647622AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13642000 | PA      | $13521531.59   | 0.18%             | 2032-04-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10530000 | PA      | $10417812.23   | 0.14%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAE2<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $400000.00     | 0.01%             | 2029-01-08      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP CBK                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-5688.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2                          | FREDDIE MAC   SCRT SCRT 2022 2 M 144A                         | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400000 | PA      | $3141355.54    | 0.04%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 10 1AF5               | CUSIP: 12666PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6156568 | PA      | $4479851.63    | 0.06%             | 2046-09-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/28 5                  | CUSIP: 46206AAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4663230.50    | 0.06%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260226                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $17548.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                       | GSAMP TRUST GSAMP 2007 FM2 A2A                                | CUSIP: 3622MHAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2312327 | PA      | $1432547.86    | 0.02%             | 2037-01-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| PATTERSON CO (PARADIGM PARENT LLC)                                         | PARADIGM PARENT LLC 1ST LIEN TERM LOAN                        | CUSIP: 69902BAB5<br>LEI: 254900EDT9YE5UFH3458 | Long             | LON              | CORP              | US        |    29620014 | PA      | $26162914.39   | 0.35%             | 2032-04-16      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625              | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     7200000 | PA      | $5040000.00    | 0.07%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-WMC1                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 WMC1 M4             | CUSIP: 46626LBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2300000 | PA      | $2133806.37    | 0.03%             | 2035-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 01/26 0.00000                                   | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        1000 | PA      | $999.42        | 0.00%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX-2021-SDMF                                                               | BX TRUST BX 2021 SDMF D 144A                                  | CUSIP: 12434CAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1043973 | PA      | $1040596.51    | 0.01%             | 2034-09-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| C-BASS CBO XVI CORP 16A                                                    | C BASS LTD CBCL 16A A 144A                                    | CUSIP: 12498YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    98372552 | PA      | $493928.58     | 0.01%             | 2041-09-06      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 12/21/22-30Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $18228874.24   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4020                                                    | FREDDIE MAC FHR 4020 PI                                       | CUSIP: 3137AMLU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6540 | PA      | $47.19         | 0.00%             | 2027-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8             | CUSIP: 12668AUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      687970 | PA      | $337916.50     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805A 144A         | CUSIP: 17328CBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400000 | PA      | $1145084.98    | 0.02%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                            | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A        | CUSIP: 52607QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1700000 | PA      | $222200.88     | 0.00%             | 2028-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 1A1                     | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2483874 | PA      | $2083772.08    | 0.03%             | 2037-03-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A9             | CUSIP: 12667G4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      387266 | PA      | $222555.20     | 0.00%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1              | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      607064 | PA      | $508720.87     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 2A1                | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18415657 | PA      | $9047929.12    | 0.12%             | 2036-03-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                            | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1                    | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      976726 | PA      | $556649.86     | 0.01%             | 2036-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                    | BCAP LLC TRUST BCAP 2010 RR3 14A6 144A                        | CUSIP: 05532WGU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1979763 | PA      | $1597643.25    | 0.02%             | 2037-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B              | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9265143 | PA      | $7217439.16    | 0.10%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                          | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A1 144A          | CUSIP: 81377AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2081045 | PA      | $1817113.35    | 0.02%             | 2036-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3611123 | PA      | $-3620987.81   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                   | LEHMAN XS TRUST LXS 2007 15N 4A1                              | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182051 | PA      | $167430.53     | 0.00%             | 2047-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | UNITI GROUP INC COMMON STOCK USD.0001                         | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |      959341 | NS      | $6724980.41    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A3                 | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19796157 | PA      | $1664441.12    | 0.02%             | 2036-03-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                               | BEAR STEARNS ALT A TRUST BALTA 2005 3 1A1                     | CUSIP: 07386HRU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97299 | PA      | $91142.32      | 0.00%             | 2035-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                          | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2               | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5074 | PA      | $4702.70       | 0.00%             | 2035-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M5                | CUSIP: 126673YN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102210 | PA      | $102196.38     | 0.00%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3                          | FREDDIE MAC   SCRT SCRT 2019 3 BXS                            | CUSIP: 35563PMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2118722 | PA      | $955035.49     | 0.01%             | 2058-10-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                         | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A2                | CUSIP: 76114QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6206247 | PA      | $2243696.85    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QLIK TECHNOLOGIES (PROJECT ALPHA INTERMEDIATE HOLDING INC)                 | PROJECT ALPHA INTMDT HLDNG INC 2024 1ST LIEN TERM LOAN B      | CUSIP: 74339DAN8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        5707 | PA      | $5704.35       | 0.00%             | 2030-10-26      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-15714074.89  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260326                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2216.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1               | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62154 | PA      | $62892.22      | 0.00%             | 2044-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 B 144A             | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2120000 | PA      | $2112116.99    | 0.03%             | 2038-05-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2540934 | PA      | $-2543969.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO A 144A                    | CUSIP: 83410JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6940000 | PA      | $5744095.73    | 0.08%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP E 144A            | CUSIP: 12651QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7454000 | PA      | $7432927.54    | 0.10%             | 2032-07-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI D 144A                              | CUSIP: 92943AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11200000 | PA      | $11279647.68   | 0.15%             | 2037-07-05      | Variable      | 8.45%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LN SEC TR 2005-2                                      | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 2 M5                | CUSIP: 71085PCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $643585.14     | 0.01%             | 2035-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A1                    | CUSIP: 46628KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      149391 | PA      | $121632.16     | 0.00%             | 2036-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C                  | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6730252 | PA      | $2967299.51    | 0.04%             | 2036-10-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                           | PROJECT CASHMERE CLASS E 144A                                 | CUSIP: 990ABJRU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    13222000 | PA      | $8823702.14    | 0.12%             | 2057-12-30      | Floating      | 7.56%                 | No            |                  3 | On Loan: No      |
| FUTBOL CLUB BARCELONA SL                                                   | ESPAI BRCA FNDO DE TITULZACION EUR TERM LOAN                  | CUSIP: 948FVAII8<br>LEI: 95980020140005871781 | Long             | LON              | CORP              | ES        |    22138763 | PA      | $29990119.67   | 0.41%             | 2028-05-31      | Fixed         | 4.39%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260108                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-5242.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-568.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A1                | CUSIP: 05946XHV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      181839 | PA      | $152560.11     | 0.00%             | 2034-12-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -30397718 | PA      | $-30451677.22  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 01/26 0.00000                                   | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1143000 | PA      | $1141778.09    | 0.02%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75              | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    36105734 | PA      | $36344573.43   | 0.49%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M5                   | CUSIP: 70069FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1194876 | PA      | $1061743.68    | 0.01%             | 2034-10-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** PIMCO Dynamic Income Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer