# EDGAR Filing Document

**Accession Number:** 0001587982
**File Stem:** 0001193125-25-295635
**Filing Date:** 2025-11
**Character Count:** 199469
**Document Hash:** 526c06e263708aec081f53fdd330d9cd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-295635.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0001193125-25-295635

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20250930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22894
- **FILM NUMBER:** 251516505

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 532123948

  - **Telephone number:** 4142992000

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1543352765.39

**Total Liabilities:** $468142319.38

**Net Assets:** $1075210446.01

**Cash Not Reported:** $49162963.39

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.000000000000 | **1-Year:** 307.427237896387 | **5-Year:** 3421.801253464810 | **10-Year:** 23618.984784428237 | **30-Year:** 18324.056434503568

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

- **3-Month:** 0.000000000000 | **1-Year:** 352.817048876337 | **5-Year:** 4212.991434973525 | **10-Year:** 12293.267533402151 | **30-Year:** 25344.521077168989

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000174208 | 0.70%                | 0.58%                | 0.96%                |
| Class ID C000174209 | 0.71%                | 0.63%                | 0.99%                |
| Class ID C000239642 | 0.67%                | 0.50%                | 0.92%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1650388.77              | $-971517.05                                |
| Month 2  | $957195.65               | $214333.75                                 |
| Month 3  | $464760.96               | $1450336.72                                |

**Designated Index Information**

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

- **Index Identifier:** LF98TRUU

### Schedule of Portfolio Investments

| Name                                     | Title                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Regatta XXI Funding Ltd                  | Regatta XXI Funding Ltd.                                      | CUSIP: 75889JAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1310769.98   | 0.12%             | 2037-10-15      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Regatta XXVI Funding Ltd.                | Regatta XXVI Funding Ltd.                                     | CUSIP: 75900QAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1016143.90   | 0.09%             | 2037-01-25      | Floating      | 9.57%                 | Yes           |                  2 | On Loan: No      |
| Regatta 35 Funding Ltd.                  | Regatta 35 Funding Ltd.                                       | CUSIP: 75903YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2511106.75   | 0.23%             | 2038-10-15      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                        | Riserva Clo Ltd.                                              | CUSIP: 76761RBE8<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2495625.00   | 0.23%             | 2034-01-18      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                   | Rockford Tower CLO 2017-2 Ltd.                                | CUSIP: 77340HAE9<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |    734000 | PA      | $741253.02    | 0.07%             | 2029-10-15      | Floating      | 10.83%                | Yes           |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust              | SMR 2022-IND Mortgage Trust                                   | CUSIP: 78458MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506369 | PA      | $507188.77    | 0.05%             | 2039-02-15      | Floating      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg           | Saluda Grade Alternative Mortgage Trust 2025-NPL1             | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2066550 | PA      | $2075481.17   | 0.19%             | 2030-01-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Verint Systems, Inc.                     | Verint Systems, Inc.                                          | CUSIP: 999999999<br>LEI: 549300KEQJS5FRVUCO94 | N/A              | DE               |  | US        |       -17 | NC      | $-552.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Santander Bank Auto Credit-Lin           | Santander Bank Auto Credit-Linked Notes Series 2023-B         | CUSIP: 80290CCF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2278904 | PA      | $2372238.41   | 0.22%             | 2033-12-15      | Fixed         | 12.24%                | Yes           |                  2 | On Loan: No      |
| Sculptor CLO Ltd                         | Sculptor CLO XXIX Ltd.                                        | CUSIP: 81124EAW0<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1510612.50   | 0.14%             | 2038-07-22      | Floating      | 7.89%                 | Yes           |                  2 | On Loan: No      |
| Sculptor CLO Ltd                         | Sculptor CLO XXIX Ltd.                                        | CUSIP: 81124EAY6<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004651.00   | 0.09%             | 2038-07-22      | Floating      | 8.84%                 | Yes           |                  2 | On Loan: No      |
| Sculptor CLO Ltd                         | Sculptor CLO XXX Ltd.                                         | CUSIP: 81124PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $757648.13    | 0.07%             | 2038-07-20      | Floating      | 11.09%                | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                        | 720 East CLO 2023-I Ltd.                                      | CUSIP: 81785EAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $509817.20    | 0.05%             | 2038-04-15      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                        | 720 East CLO 2023-II Ltd.                                     | CUSIP: 817941AJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005776.20   | 0.09%             | 2036-10-15      | Floating      | 9.47%                 | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                        | 720 East CLO 2023-II Ltd.                                     | CUSIP: 817941AU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500000.00   | 0.14%             | 2038-10-15      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                        | 720 East CLO 2023-II Ltd.                                     | CUSIP: 817942AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2038-10-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Shackleton CLO LTD                       | Shackleton 2019-XIV Clo Ltd.                                  | CUSIP: 81880XBC5<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1263936.13   | 0.12%             | 2034-07-20      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Shackleton CLO LTD                       | Shackleton 2019-XIV Clo Ltd.                                  | CUSIP: 81880YAJ9<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1254421.50   | 0.12%             | 2034-07-20      | Floating      | 10.23%                | Yes           |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                     | Signal Peak CLO 5 Ltd.                                        | CUSIP: 82666VAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1012820.30   | 0.09%             | 2037-04-25      | Floating      | 8.52%                 | Yes           |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                     | Signal Peak CLO 4 Ltd.                                        | CUSIP: 82667EAQ4<br>LEI: 635400L44OLNOBHFTO08 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2034-10-26      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                    | Silver Point CLO 2 Ltd.                                       | CUSIP: 82808EAY7<br>LEI: 549300ODF186WFGMDH65 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1521715.80   | 0.14%             | 2038-04-20      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                    | Silver Point CLO 12 Ltd.                                      | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500000.00   | 0.14%             | 2038-10-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                    | Silver Point CLO 11 Ltd.                                      | CUSIP: 82809XAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1511024.25   | 0.14%             | 2038-07-15      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                    | Sixth Street CLO XXII Ltd.                                    | CUSIP: 83011LAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2350000 | PA      | $2362862.02   | 0.22%             | 2038-04-21      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                      | Sound Point CLO XVIII Ltd.                                    | CUSIP: 83609TAG2<br>LEI: 549300G09B8CGBRMLL31 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002523.10   | 0.09%             | 2031-01-21      | Floating      | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                      | Sound Point Clo XX Ltd.                                       | CUSIP: 83611JAG0<br>LEI: 549300RTEBF0FW35D815 | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1356827.49   | 0.13%             | 2031-07-26      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve           | Structured Asset Mortgage Investments II Trust 2004-AR5       | CUSIP: 86359LEG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427404 | PA      | $370973.27    | 0.03%             | 2034-10-19      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                         | Symphony CLO 39 Ltd.                                          | CUSIP: 87169TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1004935.90   | 0.09%             | 2038-01-25      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                       | THL Credit Wind River 2015-1 CLO Ltd.                         | CUSIP: 87246LAG9<br>LEI: 549300H4V7OE3OL7II20 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1962319.80   | 0.18%             | 2030-10-20      | Floating      | 10.39%                | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                    | Toorak Mortgage Trust 2024-RRTL2                              | CUSIP: 89055JAF2<br>LEI: 254900AXFPBUQ16CX921 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1504114.50   | 0.14%             | 2039-09-25      | Variable      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                    | Toorak Mortgage Trust 2024-2                                  | CUSIP: 89055KAB8<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |   2365000 | PA      | $2391696.12   | 0.22%             | 2031-10-25      | Variable      | 8.65%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2017-4                              | CUSIP: 89173UAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1588332.00   | 0.15%             | 2057-06-25      | Variable      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                            | CUSIP: 89180LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167000 | PA      | $1051955.62   | 0.10%             | 2061-12-25      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                            | CUSIP: 89180LAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1218620 | PA      | $956101.22    | 0.09%             | 2061-12-25      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                            | CUSIP: 89180LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242926 | PA      | $728821.98    | 0.07%             | 2061-12-25      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                            | CUSIP: 89180LCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15651781 | PA      | $181341.54    | 0.02%             | 2061-12-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                | Towd Point Mortgage Trust 2021-SJ2                            | CUSIP: 89180LCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15651781 | PA      | $384767.73    | 0.04%             | 2061-12-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Trestles CLO LTD                         | Trestles CLO VI Ltd.                                          | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2256180.98   | 0.21%             | 2038-04-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Trestles CLO LTD                         | Trestles CLO VIII Ltd.                                        | CUSIP: 89533DAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999571.10    | 0.09%             | 2035-06-11      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XXV Ltd.                                         | CUSIP: 89640BAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1003217.70   | 0.09%             | 2037-01-23      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| SPX 12/31/25 P7000 12/25 7000.0 PUT   /  | SPX 12/31/25 P7000 12/25 7000.0 PUT   /                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |      2894 | NC      | $94908730.00  | 8.83%             |  |  |  | No            |                  1 | On Loan: No      |
| SPX 09/30/25 P6140 09/25 6140.0 PUT   /  | SPX 09/30/25 P6140 09/25 6140.0 PUT   /                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |       303 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LHOME Mortgage Trust                     | LHOME Mortgage Trust 2025-RTL1                                | CUSIP: 50205UAD3<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1026129.00   | 0.10%             | 2040-01-25      | Variable      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                     | LHOME Mortgage Trust 2024-RTL5                                | CUSIP: 50205WAD9<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1789383.60   | 0.17%             | 2039-09-25      | Variable      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                     | LHOME Mortgage Trust 2025-RTL3                                | CUSIP: 50205YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2116329.60   | 0.20%             | 2040-08-25      | Variable      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                 | Madison Park Funding XIV Ltd.                                 | CUSIP: 55818RBQ8<br>LEI: 254900Q2IOW6JYPYIV98 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751229.55    | 0.07%             | 2030-10-22      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXVII Ltd.                                          | CUSIP: 55955EBC1<br>LEI: 5493003N6WY184N72D84 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $750000.00    | 0.07%             | 2038-10-20      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXV Ltd.                                            | CUSIP: 55955HAA9<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1107472.52   | 0.10%             | 2032-01-25      | Floating      | 10.93%                | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXVIII Ltd.                                         | CUSIP: 55955LBA9<br>LEI: 54930077HHZ1QV5CPQ30 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1008375.40   | 0.09%             | 2038-01-15      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XLIV Ltd.                                           | CUSIP: 55955UAJ1<br>LEI: 529900QN6D2QU338OD40 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1256111.75   | 0.12%             | 2037-10-15      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Marble Point CLO Ltd.                    | Marble Point CLO XV Ltd.                                      | CUSIP: 56606YBA2<br>LEI: 549300CO8XB55W8SS394 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001453.30   | 0.09%             | 2032-07-23      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                   | Marlette Funding Trust 2023-2                                 | CUSIP: 57109L103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3806 | PA      | $310379.30    | 0.03%             | 2033-06-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                   | Marlette Funding Trust 2023-1                                 | CUSIP: 57110P101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1352 | PA      | $82472.00     | 0.01%             | 2033-04-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MENLO CLO                                | Menlo Clo III Ltd.                                            | CUSIP: 58682NAG7<br>LEI: 254900SSGUF4LVDEDB34 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2038-10-16      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MENLO CLO                                | Menlo CLO I Ltd.                                              | CUSIP: 586915AG5<br>LEI: 2549005RHPY3C68SIP61 | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1402552.25   | 0.13%             | 2038-01-20      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| MENLO CLO                                | Menlo Clo II Ltd.                                             | CUSIP: 586916AE8<br>LEI: 254900584QQ9TE467R16 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1530610.35   | 0.14%             | 2038-04-20      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Trust                 | Mill City Mortgage Loan Trust 2019-GS2                        | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3025000 | PA      | $2233840.90   | 0.21%             | 2059-08-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| SPX 09/30/25 P6790 09/25 6790.0 PUT   /  | SPX 09/30/25 P6790 09/25 6790.0 PUT   /                       | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |      -303 | NC      | $-3076662.00  | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 10/31/25 P7025 10/25 7025.0 PUT   /  | SPX 10/31/25 P7025 10/25 7025.0 PUT   /                       | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |      -299 | NC      | $-9958195.00  | -0.93%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 10/31/25 P6355 10/25 6355.0 PUT   /  | SPX 10/31/25 P6355 10/25 6355.0 PUT   /                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |       299 | NC      | $922415.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Mortgage Loan T           | Morgan Stanley Mortgage Loan Trust 2005-2AR                   | CUSIP: 61745M4G5<br>LEI: 549300M91PFQR7JLJ570 | Long             | ABS-MBS          | CORP              | US        |   1865382 | PA      | $1619718.50   | 0.15%             | 2035-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO           | Morgan Stanley Eaton Vance CLO 2021-1 Ltd.                    | CUSIP: 61773LAE0<br>LEI: 549300IR0OSEGDTMK223 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1011199.70   | 0.09%             | 2037-10-23      | Floating      | 10.00%                | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor           | Morgan Stanley Residential Mortgage Loan Trust 2024-INV3      | CUSIP: 61776GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050944 | PA      | $2095493.05   | 0.19%             | 2054-06-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO           | Morgan Stanley Eaton Vance CLO 2022-18 Ltd.                   | CUSIP: 617924AU9<br>LEI: 549300O0I1STG733YG49 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $998926.60    | 0.09%             | 2037-10-20      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO           | Morgan Stanley Eaton Vance CLO 2023-19 Ltd.                   | CUSIP: 617934AU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1011720.70   | 0.09%             | 2038-07-15      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor           | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1      | CUSIP: 617946AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1360000 | PA      | $1192404.48   | 0.11%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                        | Mountain View Clo XV Ltd.                                     | CUSIP: 62432PBC5<br>LEI: 254900VKL64PZVEG4F33 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004930.50   | 0.09%             | 2037-07-15      | Floating      | 8.92%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                         | NMEF Funding 2025-B LLC                                       | CUSIP: 62919WAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010495.00   | 0.09%             | 2033-01-18      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 36R Ltd.                   | CUSIP: 64090EAG1<br>LEI: 254900RBT2LAQQHMHG60 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1511260.80   | 0.14%             | 2039-07-20      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 60 Ltd.                    | CUSIP: 640974AA9<br>LEI: 254900LV0LNHKC2KQJ62 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1018135.10   | 0.09%             | 2039-04-22      | Floating      | 10.81%                | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 28 Ltd.                    | CUSIP: 64130PAU7<br>LEI: 5493008C5LSWKG3UQ392 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003689.70   | 0.09%             | 2038-10-20      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman CLO XXII Ltd.                                | CUSIP: 64131CAG6<br>LEI: 549300FFV1EYI8ON7P41 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1024181.30   | 0.10%             | 2038-04-15      | Floating      | 11.15%                | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman CLO XVI-S Ltd.                               | CUSIP: 64131TAY0<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3507009.45   | 0.33%             | 2039-04-15      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman CLO XVI-S Ltd.                               | CUSIP: 64131TBG8<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2016374.40   | 0.19%             | 2039-04-15      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 27 Ltd.                    | CUSIP: 64131WAY3<br>LEI: 549300IWMW28G8CR9G28 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003929.20   | 0.09%             | 2038-07-15      | Floating      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 31 Ltd.                    | CUSIP: 64132JAW5<br>LEI: 5493007OZE2103TZO049 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2508640.00   | 0.23%             | 2039-01-20      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman Loan Advisers CLO 33 Ltd.                    | CUSIP: 64132TBC6<br>LEI: 549300RVE5T2OYI2H743 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001684.10   | 0.09%             | 2039-04-16      | Floating      | 8.47%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                 | Neuberger Berman CLO 32R Ltd.                                 | CUSIP: 64135XAG6<br>LEI: 25490093SHVBS5BLDZ40 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2014931.80   | 0.19%             | 2039-07-20      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| New Mountain CLO Ltd                     | New Mountain CLO 4 Ltd.                                       | CUSIP: 64754PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1010071.80   | 0.09%             | 2038-03-20      | Floating      | 11.24%                | Yes           |                  2 | On Loan: No      |
| New Mountain CLO 1 Ltd                   | New Mountain CLO 1 Ltd.                                       | CUSIP: 64755RBJ1<br>LEI: 5493000BYT2KQ1EMLL07 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1008344.60   | 0.09%             | 2038-01-15      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2021-NQM1R                | CUSIP: 64828BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1292000 | PA      | $1160276.72   | 0.11%             | 2055-07-25      | Variable      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2024-NQM1                 | CUSIP: 64828DAF4<br>LEI: 213800TFYSB4XLW7QW74 | Long             | ABS-MBS          | CORP              | US        |   1315000 | PA      | $1332818.25   | 0.12%             | 2064-03-25      | Variable      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2014-3                    | CUSIP: 64829DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568307 | PA      | $554830.90    | 0.05%             | 2054-11-25      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2018-1                    | CUSIP: 64830GCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2243858 | PA      | $1847590.64   | 0.17%             | 2057-12-25      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2019-RPL3                 | CUSIP: 64830NAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $407955.00    | 0.04%             | 2059-07-25      | Variable      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan            | New Residential Mortgage Loan Trust 2024-RTL1                 | CUSIP: 64831PAC9<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $191700.69    | 0.02%             | 2039-03-25      | Variable      | 9.30%                 | Yes           |                  2 | On Loan: No      |
| Newark BSL CLO 2 Ltd.                    | Newark BSL CLO 2 Ltd.                                         | CUSIP: 65023QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003909.10   | 0.09%             | 2030-07-25      | Floating      | 10.88%                | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2020-20 Ltd.                                          | CUSIP: 670859AU1<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003209.70   | 0.09%             | 2037-04-18      | Floating      | 7.93%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2014-5 Ltd.                                           | CUSIP: 67102SAQ7<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001671.70   | 0.09%             | 2031-04-26      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2023-30 Ltd.                                          | CUSIP: 67578RAJ0<br>LEI: 2138008RM9AHM8ZQ8119 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1014949.60   | 0.09%             | 2037-01-24      | Floating      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| Oak Hill Credit                          | OHA Credit Funding 8 Ltd.                                     | CUSIP: 67707GBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010792.40   | 0.19%             | 2038-01-20      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| PRP Advisors, LLC                        | PRPM 2024-RCF1 LLC                                            | CUSIP: 693581AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1871348.00   | 0.17%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRP Advisors, LLC                        | PRPM 2024-NQM3                                                | CUSIP: 69381FAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $506693.50    | 0.05%             | 2069-08-25      | Variable      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                  | Regatta VII Funding Ltd.                                      | CUSIP: 75887TAN6<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1250000.00   | 0.12%             | 2034-06-20      | Floating      | 10.66%                | Yes           |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                  | Regatta VII Funding Ltd.                                      | CUSIP: 75887TBA3<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500000.00   | 0.14%             | 2034-06-20      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                  | Regatta VII Funding Ltd.                                      | CUSIP: 75888ABE5<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2034-06-20      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                  | Regatta VII Funding Ltd.                                      | CUSIP: 75888ABQ8<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.19%             | 2034-06-20      | Floating      | 10.38%                | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2024-INV2                          | CUSIP: 92540NAF0<br>LEI: 2138002Y4WGHSN8NFF24 | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2335006.00   | 0.22%             | 2069-08-26      | Variable      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2025-4                             | CUSIP: 92540UAH0<br>LEI: 2138009ZO3B2B5MAHZ49 | Long             | ABS-MBS          | CORP              | US        |   1784000 | PA      | $1778196.65   | 0.17%             | 2070-05-25      | Variable      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2025-2                             | CUSIP: 92540VAG0<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1008588.00   | 0.09%             | 2070-03-25      | Fixed         | 6.97%                 | Yes           |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust            | VTR Commercial Mortgage Trust 2025-STEM                       | CUSIP: 92890YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2005000.00   | 0.19%             | 2041-10-13      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2015-3 Ltd.                                          | CUSIP: 92913UBS4<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2031-10-20      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2016-1 Ltd.                                          | CUSIP: 92915CAW4<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |   1325000 | PA      | $1320923.64   | 0.12%             | 2031-01-20      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2017-3 Ltd.                                          | CUSIP: 92915QBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5012808.00   | 0.47%             | 2034-04-20      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2017-1 Ltd.                                          | CUSIP: 92916MAD3<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753758.18    | 0.07%             | 2030-04-17      | Floating      | 7.91%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2013-3 Ltd.                                          | CUSIP: 92916XAQ0<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002830.00   | 0.09%             | 2031-10-18      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2018-1 Ltd.                                          | CUSIP: 92917AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2127000 | PA      | $2139797.73   | 0.20%             | 2031-04-19      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2013-1 Ltd.                                          | CUSIP: 92917CAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    716000 | PA      | $717986.18    | 0.07%             | 2030-10-15      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2018-2 Ltd.                                          | CUSIP: 92917JAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1254741.50   | 0.12%             | 2031-07-15      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2018-3 Ltd.                                          | CUSIP: 92917KAE4<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |   2075000 | PA      | $2075000.00   | 0.19%             | 2031-10-15      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2019-1 Ltd.                                          | CUSIP: 92917NAW8<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002856.90   | 0.09%             | 2037-10-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2019-1 Ltd.                                          | CUSIP: 92917NBC1<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006191.50   | 0.09%             | 2037-10-15      | Floating      | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2020-2 Ltd.                                          | CUSIP: 92918HBD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000470.60   | 0.09%             | 2038-01-20      | Floating      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2020-3 Ltd.                                          | CUSIP: 92918NAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1505173.35   | 0.14%             | 2038-01-20      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2020-3 Ltd.                                          | CUSIP: 92918NBE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1008369.60   | 0.09%             | 2038-01-20      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2020-3 Ltd.                                          | CUSIP: 92918NBG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $995356.10    | 0.09%             | 2038-01-20      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                             | Voya CLO 2022-4 Ltd.                                          | CUSIP: 92920MAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1012053.50   | 0.09%             | 2037-04-20      | Floating      | 11.03%                | Yes           |                  2 | On Loan: No      |
| Whitebox CLO Ltd                         | Whitebox CLO IV Ltd.                                          | CUSIP: 96467KAU3<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1504221.15   | 0.14%             | 2036-04-20      | Floating      | 8.23%                 | Yes           |                  2 | On Loan: No      |
| Whitebox CLO Ltd                         | Whitebox CLO IV Ltd.                                          | CUSIP: 96467LAE7<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1019844.50   | 0.09%             | 2036-04-20      | Floating      | 10.81%                | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                       | THL Credit Wind River 2019-3 Clo Ltd.                         | CUSIP: 97314JAJ4<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    888996 | PA      | $889572.46    | 0.08%             | 2031-04-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                       | THL Credit Wind River 2019-3 Clo Ltd.                         | CUSIP: 97314JAQ8<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753485.70    | 0.07%             | 2031-04-15      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Generate CLO Ltd.                        | Generate CLO 3 Ltd.                                           | CUSIP: 98625UBJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2014617.00   | 0.19%             | 2036-10-20      | Floating      | 9.23%                 | Yes           |                  2 | On Loan: No      |
| Zayo Issuer LLC                          | Zayo Issuer LLC                                               | CUSIP: 98919WAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2576055.00   | 0.24%             | 2055-10-20      | Fixed         | 8.44%                 | Yes           |                  2 | On Loan: No      |
| Artius II Acquisition Inc                | Artius II Acquisition, Inc. - Class A                         | CUSIP: G0509J115<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     64205 | NS      | $650396.65    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Armada Acquisition Corp II               | Armada Acquisition Corp. II - Class A                         | CUSIP: G0R38G104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     80108 | NS      | $836327.52    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| AA Mission Acquisition Corp              | AA Mission Acquisition Corp. - Class A                        | CUSIP: G1000R101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    268812 | NS      | $2827902.24   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| ABIOMED, Inc. CONTINGENT VALUE RHT   /   | ABIOMED, Inc. CONTINGENT VALUE RHT   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1014 | NC      | $1034.28      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| American Exceptionalism Acquis           | American Exceptionalism Acquisition Corp. A - Class A         | CUSIP: G0273J101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6676 | NS      | $72968.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Aimei Health Technology Co Ltd           | Aimei Health Technology Co., Ltd.                             | CUSIP: G01341109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26484 | NS      | $299798.88    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Ai Transportation Acquisition            | Ai Transportation Acquisition Corp.                           | CUSIP: G01490112<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     30393 | NS      | $334323.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Centurion Acquisition Corp               | Centurion Acquisition Corp.                                   | CUSIP: G20315100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    249562 | NS      | $2632879.10   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTURION CL A CL A   /                  | CENTURION CL A CL A   /                                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     16280 | NS      | $0.16         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CENTURION CL B CL B   /                  | CENTURION CL B CL B   /                                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     20349 | NS      | $0.20         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Agriculture & Natural Solution           | Agriculture & Natural Solutions Acquisition Corp.             | CUSIP: G0131Y100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    273953 | NS      | $2991566.76   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Aris Water Solutions Inc                 | Aris Water Solutions, Inc. - Class A                          | CUSIP: 04041L106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    247526 | NS      | $6103991.16   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| AvidXchange Holdings Inc                 | AvidXchange Holdings, Inc.                                    | CUSIP: 05368X102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    472137 | NS      | $4697763.15   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Axiom Intelligence Acquisition           | Axiom Intelligence Acquisition Corp. 1 - Class A              | CUSIP: G0750N104<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |    109960 | NS      | $1094102.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Blue Acquisition Corp                    | Blue Acquisition Corp. - Class A                              | CUSIP: G1331A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     35754 | NS      | $357361.23    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Bleichroeder Acquisition Corp            | Bleichroeder Acquisition Corp. I                              | CUSIP: G1169T104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    275458 | NS      | $2862008.62   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayview Acquisition Corp                 | Bayview Acquisition Corp. - Class A                           | CUSIP: 07323B100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4303 | NS      | $47892.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BTC Development Corp                     | BTC Development Corp.                                         | CUSIP: G0701G125<br>LEI: N/A                  | Long             |  | CORP              | US        |    100056 | NS      | $1010565.60   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Blue Water Acquisition Corp II           | Blue Water Acquisition Corp. III - Class A                    | CUSIP: G1368E106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     42218 | NS      | $420491.28    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BLUE WATER ACQUISITION C-A               | Blue Water Acquisition Corp. III                              | CUSIP: G1368E114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     21109 | NC      | $2957.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Cayson Acquisition Corp                  | Cayson Acquisition Corp.                                      | CUSIP: G1993W109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7821 | NS      | $81807.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Churchill Capital Corp X                 | Churchill Capital Corp. X - Class A                           | CUSIP: G2130T108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     27123 | NS      | $348801.78    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Cohen Circle Acquisition Corp            | Cohen Circle Acquisition Corp. II - Class A                   | CUSIP: G2254C121<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     34184 | NS      | $346967.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Cantor Equity Partners IV Inc            | Cantor Equity Partners IV, Inc. - Class A                     | CUSIP: G1828E100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    134266 | NS      | $1368170.54   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Cantor Equity Partners II Inc            | Cantor Equity Partners II, Inc. - Class A                     | CUSIP: G1827P106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     31660 | NS      | $334013.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Crane Harbor Acquisition Corp            | Crane Harbor Acquisition Corp. - Class A                      | CUSIP: G24979109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     71088 | NS      | $720121.44    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Charlton Aria Acquisition Corp           | Charlton Aria Acquisition Corp. - Class A                     | CUSIP: G9877L107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    107263 | NS      | $1113389.94   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ChampionsGate Acquisition Corp           | ChampionsGate Acquisition Corp. - Class A                     | CUSIP: G2124S108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     83205 | NS      | $835378.20    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Mr Cooper Group Inc                      | Mr Cooper Group, Inc.                                         | CUSIP: 62482R107<br>LEI: 549300KD8C6DPXYC2M26 | Long             | EC               | CORP              | US        |     46906 | NS      | $9887315.74   | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Cal Redwood Acquisition Corp             | Cal Redwood Acquisition Corp. - Class A                       | CUSIP: G17564108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     64140 | NS      | $641400.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Lionheart Holdings                       | Lionheart Holdings - Class A                                  | CUSIP: G5501C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    194016 | NS      | $2039108.16   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CyberArk Software Ltd                    | CyberArk Software Ltd.                                        | CUSIP: M2682V108<br>LEI: 529900YEXNDM894PWS93 | Long             | EC               | CORP              | IL        |     16203 | NS      | $7828479.45   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Digital Asset Acquisition Corp           | Digital Asset Acquisition Corp. - Class A                     | CUSIP: G2868C103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    138477 | NS      | $1415234.94   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Drugs Made In America Acquisit           | Drugs Made In America Acquisition Corp.                       | CUSIP: G2847J104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    299907 | NS      | $3080044.89   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Drugs Made In America Acquisit           | Drugs Made In America Acquisition II Corp.                    | CUSIP: G2851K120<br>LEI: N/A                  | Long             |  | CORP              | US        |    251233 | NS      | $2498512.19   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Roman DBDR Acquisition Corp II           | Roman DBDR Acquisition Corp. II                               | CUSIP: G7633M104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     72229 | NS      | $744680.99    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Electronic Arts Inc                      | Electronic Arts, Inc.                                         | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |     33400 | NS      | $6736780.00   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| EMBRACE CHANGE ACQUI TENDERED SHARES   / | EMBRACE CHANGE ACQUI TENDERED SHARES   /                      | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     20000 | NS      | $241600.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Dynamix Corp                             | Dynamix Corp.                                                 | CUSIP: G2949D104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     22256 | NS      | $231684.96    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EQV Ventures Acquisition Corp            | EQV Ventures Acquisition Corp. II - Class A                   | CUSIP: G3106Q102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    108144 | NS      | $1076032.80   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| EQV VENTURES ACQUISITION C-A             | EQV Ventures Acquisition Corp. II                             | CUSIP: G3106Q128<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     36048 | NC      | $8651.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FutureCrest Acquisition Corp             | FutureCrest Acquisition Corp.                                 | CUSIP: G3730U123<br>LEI: N/A                  | Long             |  | CORP              | US        |     53408 | NS      | $566124.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fifth Era Acquisition Corp I             | Fifth Era Acquisition Corp. I - Class A                       | CUSIP: G3415K101<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     75045 | NS      | $762457.20    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FIGX Capital Acquisition Corp            | FIGX Capital Acquisition Corp. - Class A                      | CUSIP: G3473K100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     39098 | NS      | $390589.02    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Guess? Inc                               | Guess?, Inc.                                                  | CUSIP: 401617105<br>LEI: 549300QVH3ZK2DW0KP86 | Long             | EC               | CORP              | CH        |      9240 | NS      | $154400.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Guild Holdings Co                        | Guild Holdings Co.                                            | CUSIP: 40172N107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2991 | NS      | $59640.54     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GigCapital7 Corp                         | GigCapital7 Corp. - Class A                                   | CUSIP: G38648104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     52516 | NS      | $553518.64    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GP-Act III Acquisition Corp              | GP-Act III Acquisition Corp. - Class A                        | CUSIP: G4035N103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    181350 | NS      | $1922310.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| GP-ACT III ACQ CORP. CLASS A UNITS   /   | GP-ACT III ACQ CORP. CLASS A UNITS   /                        | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     13765 | NS      | $0.14         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GP-ACT III ACQ Corp. CLASS B UNITS   /   | GP-ACT III ACQ Corp. CLASS B UNITS   /                        | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     17206 | NS      | $0.17         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Graf Global Corp                         | Graf Global Corp. - Class A                                   | CUSIP: G4036C106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    195186 | NS      | $2057260.44   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Gesher Acquisition Corp II               | Gesher Acquisition Corp. II - Class A                         | CUSIP: G3852D107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     74894 | NS      | $760174.10    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR IV Acquisition Corp                  | GSR IV Acquisition Corp.                                      | CUSIP: G4R12K123<br>LEI: N/A                  | Long             |  | CORP              | US        |    126451 | NS      | $1281580.89   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Gores Holdings X Inc                     | Gores Holdings X, Inc. - Class A                              | CUSIP: G4002F109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     91898 | NS      | $939197.56    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Globa Terra Acquisition Corp             | Globa Terra Acquisition Corp. - Class A                       | CUSIP: G3933N116<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     63335 | NS      | $632083.30    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Bancshares Inc/OH             | Huntington Bancshares, Inc.                                   | CUSIP: 446150104<br>LEI: 549300XTVCVV9I7B5T19 | Short            | EC               | CORP              | US        |   -681757 | NS      | $-11773943.39 | -1.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Horizon Space Acquisition I Co           | Horizon Space Acquisition I Corp.                             | CUSIP: G4619M109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     15590 | NS      | $192068.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Highview Merger Corp                     | Highview Merger Corp.                                         | CUSIP: G4569C127<br>LEI: N/A                  | Long             |  | CORP              | US        |     33650 | NS      | $340538.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Haymaker Acquisition Corp 4              | Haymaker Acquisition Corp. 4                                  | CUSIP: G4375F108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     78262 | NS      | $887491.08    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Integral Ad Science Holding Co           | Integral Ad Science Holding Corp.                             | CUSIP: 45828L108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    279057 | NS      | $2838009.69   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Dune Acquisition Corp II                 | Dune Acquisition Corp. II                                     | CUSIP: G2867S109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    111160 | NS      | $1124939.20   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Jackson Acquisition Co II                | Jackson Acquisition Co. II - Class A                          | CUSIP: G4992A110<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     80351 | NS      | $834043.38    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Jena Acquisition Corp II                 | Jena Acquisition Corp. II - Class A                           | CUSIP: G5093B105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     37263 | NS      | $378219.45    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Kellanova                                | Kellanova                                                     | CUSIP: 487836108<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | EC               | CORP              | US        |     61964 | NS      | $5082287.28   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| K&F Growth Acquisition Corp II           | K&F Growth Acquisition Corp. II - Class A                     | CUSIP: G52258111<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16167 | NS      | $165226.74    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CSLM Digital Asset Acquisition           | CSLM Digital Asset Acquisition Corp. III Ltd. - Class A       | CUSIP: G2584S101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     53648 | NS      | $532456.40    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Keen Vision Acquisition Corp             | Keen Vision Acquisition Corp.                                 | CUSIP: G52443119<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13635 | NS      | $158166.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Legato Merger Corp III                   | Legato Merger Corp. III                                       | CUSIP: G5451A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    192642 | NS      | $2068975.08   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Launch One Acquisition Corp              | Launch One Acquisition Corp.                                  | CUSIP: G5S86M100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    191384 | NS      | $2013359.68   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Melar Acquisition Corp I                 | Melar Acquisition Corp. I - Class A                           | CUSIP: G6004G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    116287 | NS      | $1222176.37   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| M3-Brigade Acquisition V Corp            | M3-Brigade Acquisition V Corp. - Class A                      | CUSIP: G63212107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     50847 | NS      | $536435.85    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| M3-Brigade Acquisition VI Corp           | M3-Brigade Acquisition VI Corp.                               | CUSIP: G63221124<br>LEI: 529900K3KULJYPOBI946 | Long             |  | CORP              | US        |     53649 | NS      | $542927.88    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Yorkville Acquisition Corp               | Yorkville Acquisition Corp. - Class A                         | CUSIP: G98659116<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41477 | NS      | $442144.82    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| YORKVILLE ACQUISITION CORP-A             | Yorkville Acquisition Corp.                                   | CUSIP: G98659124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     10255 | NC      | $12203.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mountain Lake Acquisition Corp           | Mountain Lake Acquisition Corp. - Class A                     | CUSIP: G6301B101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    131763 | NS      | $1357158.90   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Merus NV                                 | Merus N.V.                                                    | CUSIP: N5749R100<br>LEI: 549300W8GPUWU8QNU293 | Long             | EC               | CORP              | NL        |     32753 | NS      | $3083694.95   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| MSILF Government Portfolio               | MSILF Government Portfolio - Class Institutional              | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  24585444 | PA      | $24585444.29  | 2.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Nabors Energy Transition Corp            | Nabors Energy Transition Corp. II - Class A                   | CUSIP: G6363K106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     60995 | NS      | $683753.95    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| NewHold Investment Corp III              | NewHold Investment Corp. III - Class A                        | CUSIP: G6486E102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    156973 | NS      | $1597985.14   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Newbury Street II Acquisition            | Newbury Street II Acquisition Corp. - Class A                 | CUSIP: G6439S109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7999 | NS      | $82829.65     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OAK WOODS ACQUISITIO TENDERED SHARES   / | OAK WOODS ACQUISITIO TENDERED SHARES   /                      | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     17357 | NS      | $209498.99    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| 1RT Acquisition Corp                     | 1RT Acquisition Corp. - Class A                               | CUSIP: G6757R105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     51740 | NS      | $540683.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Oyster Enterprises II Acquisit           | Oyster Enterprises II Acquisition Corp. - Class A             | CUSIP: G6861F104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     24044 | NS      | $240920.88    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Pioneer Acquisition I Corp               | Pioneer Acquisition I Corp. - Class A                         | CUSIP: G7117W107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     84600 | NS      | $840924.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Pyrophyte Acquisition Corp II            | Pyrophyte Acquisition Corp. II - Class A                      | CUSIP: G7309T102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     33936 | NS      | $338002.56    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Palo Alto Networks Inc                   | Palo Alto Networks, Inc.                                      | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Short            | EC               | CORP              | US        |    -35653 | NS      | $-7259663.86  | -0.68%            |  |  |  | No            |                  1 | On Loan: No      |
| Potbelly Corp                            | Potbelly Corp.                                                | CUSIP: 73754Y100<br>LEI: 54930027NUULUR2P5W11 | Long             | EC               | CORP              | US        |    114492 | NS      | $1950943.68   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| ProCap Acquisition Corp                  | ProCap Acquisition Corp. - Class A                            | CUSIP: G7257A105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     75156 | NS      | $771852.12    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Performant Healthcare Inc                | Performant Healthcare, Inc.                                   | CUSIP: 71377E105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    303426 | NS      | $2345482.98   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Pyrophyte Acquisition Corp               | Pyrophyte Acquisition Corp. - Class A                         | CUSIP: G7308P101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     31324 | NS      | $369936.44    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Patria Latin American Opportun           | Patria Latin American Opportunity Acquisition Corp.           | CUSIP: G69454109<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     17691 | NS      | $218483.85    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Plum Acquisition Corp IV                 | Plum Acquisition Corp. IV                                     | CUSIP: G7134A104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     87688 | NS      | $905817.04    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Andretti Acquisition Corp II             | Andretti Acquisition Corp. II - Class A                       | CUSIP: G26745102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    121469 | NS      | $1271780.43   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| PROS Holdings Inc                        | PROS Holdings, Inc.                                           | CUSIP: 74346Y103<br>LEI: 549300LPE1KNL5RWKQ48 | Long             | EC               | CORP              | US        |    119364 | NS      | $2734629.24   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Real Asset Acquisition Corp              | Real Asset Acquisition Corp. - Class A                        | CUSIP: G73944103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    147032 | NS      | $1490904.48   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Rithm Acquisition Corp                   | Rithm Acquisition Corp. - Class A                             | CUSIP: G75751100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    193908 | NS      | $1987557.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Range Capital Acquisition Corp           | Range Capital Acquisition Corp.                               | CUSIP: G7375C108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    101200 | NS      | $1043372.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic Digital Acquisition C           | Republic Digital Acquisition Co. - Class A                    | CUSIP: G7515A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     55418 | NS      | $565817.78    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CARTESIAN GROWTH CORP II                 | CARTESIAN GROWTH Corp. II                                     | CUSIP: G19305112<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     19063 | NS      | $230662.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RF Acquisition Corp II                   | RF Acquisition Corp. II                                       | CUSIP: G75389109<br>LEI: N/A                  | Long             | EC               | CORP              | SG        |     83783 | NS      | $893964.61    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Rocket Cos Inc                           | Rocket Cos., Inc. - Class A                                   | CUSIP: 77311W101<br>LEI: N/A                  | Short            | EC               | CORP              | US        |   -515970 | NS      | $-9999498.60  | -0.93%            |  |  |  | No            |                  1 | On Loan: No      |
| Renatus Tactical Acquisition C           | Renatus Tactical Acquisition Corp. I - Class A                | CUSIP: G7490F101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     55109 | NS      | $601239.19    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Silverbox Corp IV                        | Silverbox Corp. IV - Class A                                  | CUSIP: G81354105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     69880 | NS      | $731643.60    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Siddhi Acquisition Corp                  | Siddhi Acquisition Corp. - Class A                            | CUSIP: G8118C124<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    261726 | NS      | $2656518.90   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| SIM Acquisition Corp I                   | SIM Acquisition Corp. I - Class A                             | CUSIP: G8431T101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    163953 | NS      | $1721506.50   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| UMB MONEY MARKET II SPECIAL   /          | UMB MONEY MARKET II SPECIAL   /                               | CUSIP: SF8888628<br>LEI: N/A                  | Long             | STIV             | CORP              | US        | 100638327 | PA      | $100638327.25 | 9.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Solarius Capital Acquisition C           | Solarius Capital Acquisition Corp. - Class A                  | CUSIP: G82617104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13594 | NS      | $135396.24    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Soulpower Acquisition Corp               | Soulpower Acquisition Corp. - Class A                         | CUSIP: G82745103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    122274 | NS      | $1232521.92   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Mercer Park Opportunities Corp           | Mercer Park Opportunities Corp.                               | CUSIP: G6002A196<br>LEI: N/A                  | N/A              | DE               | CORP              | KY        |     71590 | NC      | $715.90       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCER PARK OPPORTUNITIES CO             | Mercer Park Opportunities Corp.                               | CUSIP: G6002A162<br>LEI: N/A                  | N/A              | DE               | CORP              | CA        |     71590 | NC      | $715.90       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Sapiens International Corp NV            | Sapiens International Corp. N.V.                              | CUSIP: G7T16G103<br>LEI: 2549009P4ZS02GC5QV68 | Long             | EC               | CORP              | IL        |     54689 | NS      | $2351627.00   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Spring Valley Acquisition Corp           | Spring Valley Acquisition Corp. III - Class A                 | CUSIP: G8377R101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     45885 | NS      | $463438.50    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Spring Valley Acquisition Corp           | Spring Valley Acquisition Corp. III                           | CUSIP: G8377R127<br>LEI: N/A                  | Long             |  | CORP              | US        |         2 | NS      | $20.80        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPRING VALLEY ACQUISITION-A              | Spring Valley Acquisition Corp. III                           | CUSIP: G8377R119<br>LEI: N/A                  | N/A              | DE               | CORP              | KY        |     15295 | NC      | $10706.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Spring Valley Acquisition Corp           | Spring Valley Acquisition Corp. II - Class A                  | CUSIP: G83752108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     29845 | NS      | $373360.95    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Sizzle Acquisition Corp II               | Sizzle Acquisition Corp. II - Class A                         | CUSIP: G8193F109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     64122 | NS      | $648914.64    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Titan Acquisition Corp                   | Titan Acquisition Corp. - Class A                             | CUSIP: G8901A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    117866 | NS      | $1192803.92   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BERTO ACQUISITION CORP                   | BERTO ACQUISITION Corp.                                       | CUSIP: G1051H101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    158406 | NS      | $1649006.46   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Tavia Acquisition Corp                   | Tavia Acquisition Corp.                                       | CUSIP: G86880104<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |     64961 | NS      | $672346.35    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Translational Development Acqu           | Translational Development Acquisition Corp.                   | CUSIP: G9008W105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     87682 | NS      | $906631.88    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Tourmaline Bio Inc                       | Tourmaline Bio, Inc.                                          | CUSIP: 89157D105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     92925 | NS      | $4444602.75   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Texas Ventures Acquisition III           | Texas Ventures Acquisition III Corp. - Class A                | CUSIP: G8772L105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    222246 | NS      | $2380254.66   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Voyager Acquisition Corp                 | Voyager Acquisition Corp.                                     | CUSIP: G93A7H104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    139013 | NS      | $1454075.98   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Veritex Holdings Inc                     | Veritex Holdings, Inc.                                        | CUSIP: 923451108<br>LEI: 549300F3SMOML02SC814 | Long             | EC               | CORP              | US        |    349619 | NS      | $11722725.07  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Vine Hill Capital Investment C           | Vine Hill Capital Investment Corp. - Class A                  | CUSIP: G93Y09107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    162487 | NS      | $1740235.77   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Vendome Acquisition Corp I               | Vendome Acquisition Corp. I - Class A                         | CUSIP: G9580A109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    319062 | NS      | $3168285.66   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Verona Pharma PLC                        | Verona Pharma PLC - ADR                                       | CUSIP: 925050106<br>LEI: 213800EVI6O6J3TIAL06 | Long             |  | CORP              | GB        |    128131 | NS      | $13672859.01  | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Verint Systems Inc                       | Verint Systems, Inc.                                          | CUSIP: 92343X100<br>LEI: 549300KEQJS5FRVUCO94 | Long             | EC               | CORP              | US        |      1700 | NS      | $34425.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wen Acquisition Corp                     | Wen Acquisition Corp. - Class A                               | CUSIP: G9R39C103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     39762 | NS      | $402789.06    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Western Midstream Partners LP            | Western Midstream Partners LP                                 | CUSIP: 958669103<br>LEI: N/A                  | Short            |  | CORP              | US        |   -111386 | NS      | $-4376355.94  | -0.41%            |  |  |  | No            |                  1 | On Loan: No      |
| WNS Holdings Ltd                         | WNS Holdings Ltd.                                             | CUSIP: G98196101<br>LEI: 529900RM7QHUD3W9DM42 | Long             | EC               | CORP              | IN        |    182046 | NS      | $13884648.42  | 1.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Zimvie Inc                               | Zimvie, Inc.                                                  | CUSIP: 98888T107<br>LEI: 549300GFKURT1J6XR665 | Long             | EC               | CORP              | US        |     85047 | NS      | $1610790.18   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 40 Senior Loan Fund                                    | CUSIP: 26244GAL9<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502021.80    | 0.05%             | 2031-08-15      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 41 Senior Loan Fund                                    | CUSIP: 26244KAU0<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005127.10   | 0.09%             | 2031-04-15      | Floating      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 45 Senior Loan Fund                                    | CUSIP: 26244MAW2<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |   1925419 | PA      | $1926722.35   | 0.18%             | 2030-10-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 45 Senior Loan Fund                                    | CUSIP: 26244MBE1<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $955700.00    | 0.09%             | 2030-10-15      | Floating      | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 54 Senior Loan Fund                                    | CUSIP: 26244RAD3<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004014.30   | 0.09%             | 2029-10-19      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 80 CLO Ltd.                                            | CUSIP: 26245JAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $994249.80    | 0.09%             | 2033-01-17      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2023-1 Ltd.                                       | CUSIP: 29244CAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3060311.10   | 0.28%             | 2038-04-25      | Floating      | 8.17%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2023-1 Ltd.                                       | CUSIP: 29244NAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1022417.30   | 0.10%             | 2038-04-25      | Floating      | 11.66%                | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2022-1 Ltd.                                       | CUSIP: 29246AAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502608.05   | 0.14%             | 2037-10-20      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2023-2 Ltd.                                       | CUSIP: 29247BAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2513402.50   | 0.23%             | 2038-10-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                    | Aimco CLO 11 Ltd.                                             | CUSIP: 00140NBE9<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502812.20   | 0.14%             | 2037-07-17      | Floating      | 8.52%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                               | AMSR 2023-SFR2 Trust                                          | CUSIP: 00178YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2554823.70   | 0.24%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| AG Trust                                 | AG Trust 2024-NLP                                             | CUSIP: 00792MAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $804412.80    | 0.07%             | 2041-07-15      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| AG Trust                                 | AG Trust 2024-NLP                                             | CUSIP: 00792MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1064000 | PA      | $1070939.41   | 0.10%             | 2041-07-15      | Floating      | 8.80%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                    | AIMCO CLO 10 Ltd.                                             | CUSIP: 00900UAG9<br>LEI: 5493004I93856WYBB035 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $510136.00    | 0.05%             | 2037-07-22      | Floating      | 9.98%                 | Yes           |                  2 | On Loan: No      |
| Alinea CLO LTD                           | Alinea CLO 2018-1 Ltd.                                        | CUSIP: 016268AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1253063.88   | 0.12%             | 2031-07-20      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| Alinea CLO LTD                           | Alinea CLO 2018-1 Ltd.                                        | CUSIP: 016269AL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503676.65   | 0.14%             | 2031-07-20      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Annisa CLO Ltd                           | Annisa CLO Ltd. 2016-2                                        | CUSIP: 036011AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003362.40   | 0.09%             | 2031-07-20      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO Ltd                           | Apidos CLO XXIV                                               | CUSIP: 03762XAD1<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1156155.95   | 0.11%             | 2030-10-20      | Floating      | 10.39%                | Yes           |                  2 | On Loan: No      |
| Apidos CLO Ltd                           | Apidos CLO XXIII                                              | CUSIP: 03765YBN3<br>LEI: 635400C39IXGGYE6DH05 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1988153.00   | 0.18%             | 2033-04-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO Ltd                           | Apidos CLO XXVIII                                             | CUSIP: 03767CAU4<br>LEI: 549300QCAOUF4OXOI275 | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1360750.46   | 0.13%             | 2038-10-20      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO Ltd                           | Apidos CLO XXIX                                               | CUSIP: 03767MAY4<br>LEI: 549300AVJUID3QNR9M59 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1517473.20   | 0.14%             | 2038-07-25      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO Ltd                           | Apidos CLO XXXI                                               | CUSIP: 03767XAC8<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $757534.05    | 0.07%             | 2031-04-15      | Floating      | 11.18%                | Yes           |                  2 | On Loan: No      |
| Apidos CLO Ltd                           | Apidos CLO XXX                                                | CUSIP: 03768CAW9<br>LEI: 2549001XBZ4DU4T7EC48 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507375.80   | 0.14%             | 2031-10-18      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO Ltd                           | Apidos Clo LIV                                                | CUSIP: 03771RAA9<br>LEI: 254900SXYQWBYZA9L226 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007978.40   | 0.19%             | 2038-10-20      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                             | Ares LXIII CLO Ltd.                                           | CUSIP: 039937BC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999469.50    | 0.09%             | 2038-10-15      | Floating      | 8.63%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                             | Ares XXXIX CLO Ltd.                                           | CUSIP: 04015WBL7<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4012980.00   | 0.37%             | 2037-07-18      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                             | Ares LIV CLO Ltd.                                             | CUSIP: 04017XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1010396.90   | 0.09%             | 2038-07-15      | Floating      | 10.31%                | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                             | Ares LXXVI CLO Ltd.                                           | CUSIP: 04021KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1018682.40   | 0.09%             | 2038-05-27      | Floating      | 11.49%                | Yes           |                  2 | On Loan: No      |
| Arini US CLO Limited                     | Arini U.S. CLO I Ltd.                                         | CUSIP: 04039AAG9<br>LEI: 2549005XY5NLS2UWEM64 | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1984107.84   | 0.18%             | 2038-04-15      | Floating      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| ATLANTIC UNION BANKSHARE                 | Atlantic Union Bankshares Corp.                               | CUSIP: 04911AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $888633.00    | 0.08%             | 2031-12-15      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust             | Atrium Hotel Portfolio Trust 2025-ATRM                        | CUSIP: 049917AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2004124.00   | 0.19%             | 2042-08-15      | Floating      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust             | Atrium Hotel Portfolio Trust 2025-ATRM                        | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004665.00   | 0.09%             | 2042-08-15      | Floating      | 10.90%                | Yes           |                  2 | On Loan: No      |
| The BAHA Trust                           | BAHA Trust 2024-MAR                                           | CUSIP: 05493XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2105240.00   | 0.20%             | 2041-12-10      | Variable      | 9.20%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2022-2 Ltd.                           | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1502996.85   | 0.14%             | 2035-04-22      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2018-2                                | CUSIP: 05682VAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1506882.90   | 0.14%             | 2031-07-19      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO XXXVI Ltd.                        | CUSIP: 081922AJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1008306.00   | 0.09%             | 2038-01-25      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                     | Birch Grove CLO 8 Ltd.                                        | CUSIP: 09077UAA0<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $513222.15    | 0.05%             | 2037-04-20      | Floating      | 11.43%                | Yes           |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                     | BlueMountain Fuji U.S. Clo II Ltd.                            | CUSIP: 09629EAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1904693.76   | 0.18%             | 2030-10-20      | Floating      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                     | BlueMountain CLO XXX Ltd.                                     | CUSIP: 09630QAS0<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002504.00   | 0.09%             | 2035-04-15      | Floating      | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2024-23 Ltd.                              | CUSIP: 11765DAA1<br>LEI: 391200W7QGMU3U2OCV81 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1009606.90   | 0.09%             | 2037-05-15      | Floating      | 10.94%                | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2023-21 Ltd.                              | CUSIP: 11766BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2038-10-18      | Floating      | 9.16%                 | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2021-17R Ltd.                             | CUSIP: 11766LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1009952.70   | 0.09%             | 2038-01-20      | Floating      | 11.26%                | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2021-17R Ltd.                             | CUSIP: 11766MAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1011176.80   | 0.09%             | 2038-01-20      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                  | Bryant Park Funding 2023-20 Ltd.                              | CUSIP: 117919AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2041612.20   | 0.19%             | 2038-04-15      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| CBAMR Ltd                                | CBAMR 2017-4 Ltd.                                             | CUSIP: 12516EAG6<br>LEI: 635400U9D8ZDLM1G7T76 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004620.40   | 0.09%             | 2038-03-31      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| CBAMR Ltd                                | CBAMR 2018-5 Ltd.                                             | CUSIP: 12516LAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2249847.68   | 0.21%             | 2038-10-17      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| CEDR Trust                               | CEDR Commercial Mortgage Trust 2022-SNAI                      | CUSIP: 12524AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1773950.20   | 0.16%             | 2039-02-15      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                         | CIFC Funding 2017-IV Ltd.                                     | CUSIP: 12551KAA1<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503288.00   | 0.14%             | 2030-10-24      | Floating      | 10.68%                | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                         | CIFC Funding 2013-III-R Ltd.                                  | CUSIP: 12552MAS7<br>LEI: 549300JZARV9CBLL1S14 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502829.90   | 0.14%             | 2031-04-24      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                         | CIFC Funding 2013-III-R Ltd.                                  | CUSIP: 12552NAA4<br>LEI: 549300JZARV9CBLL1S14 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1497882.60   | 0.14%             | 2031-04-24      | Floating      | 10.48%                | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                      | COMM 2013-CCRE12 Mortgage Trust                               | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |   3675679 | PA      | $3492240.46   | 0.32%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                                            | CUSIP: 3137HJSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1444724 | PA      | $1468759.81   | 0.14%             | 2055-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fidelis Mortgage Trust                   | Fidelis Mortgage Trust 2025-RTL1                              | CUSIP: 31575LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182000 | PA      | $182931.66    | 0.02%             | 2040-02-27      | Variable      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                         | Flatiron CLO 24 Ltd.                                          | CUSIP: 33882HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    750000 | PA      | $767310.23    | 0.07%             | 2037-01-15      | Floating      | 12.15%                | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                         | Flatiron CLO 20 Ltd.                                          | CUSIP: 33883MBE3<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2038-11-20      | Floating      | 9.27%                 | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                         | Flatiron CLO 20 Ltd.                                          | CUSIP: 33883NAE2<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2036-05-20      | Floating      | 10.65%                | Yes           |                  2 | On Loan: No      |
| Invesco CLO Ltd                          | Invesco U.S. CLO 2025-2 Ltd.                                  | CUSIP: 46151RAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1016772.40   | 0.09%             | 2038-07-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2025-CCM1                            | CUSIP: 46593MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2755121 | PA      | $2771040.38   | 0.26%             | 2055-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust                                      | CUSIP: 46593VAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1022800.30   | 0.10%             | 2055-11-25      | Variable      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2024-CCM1                            | CUSIP: 46658NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2594224 | PA      | $2606100.04   | 0.24%             | 2055-04-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                 | Madison Park Funding XXXIV Ltd.                               | CUSIP: 55819GBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1814533.92   | 0.17%             | 2037-10-16      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                 | Madison Park Funding XXVII Ltd.                               | CUSIP: 55820YAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001500.00   | 0.09%             | 2038-04-20      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXXV Ltd.                                           | CUSIP: 55954UAE3<br>LEI: 549300WIDF28MGY5Q843 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1261551.63   | 0.12%             | 2036-10-25      | Floating      | 11.57%                | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                        | Magnetite XXVI Ltd.                                           | CUSIP: 55954YBC8<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | KY        |   5955000 | PA      | $5966849.26   | 0.55%             | 2038-01-25      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO           | Morgan Stanley Eaton Vance CLO 2023-19 Ltd.                   | CUSIP: 617934AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001660.90   | 0.09%             | 2038-07-15      | Floating      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor           | Morgan Stanley Residential Mortgage Loan Trust 2025-1         | CUSIP: 617944AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2430155 | PA      | $2463931.71   | 0.23%             | 2055-03-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor           | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1      | CUSIP: 617946AF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    620000 | PA      | $575200.66    | 0.05%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2014-5 Ltd.                                           | CUSIP: 67102SAS3<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005372.70   | 0.09%             | 2031-04-26      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                 | OZLM XXII Ltd.                                                | CUSIP: 67111VAJ5<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005367.90   | 0.09%             | 2031-01-17      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                 | OZLM XXI Ltd.                                                 | CUSIP: 67112AAG6<br>LEI: 5493002HF6D1C4B1AK86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004532.50   | 0.09%             | 2031-01-20      | Floating      | 7.26%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                 | OZLM XVIII Ltd.                                               | CUSIP: 67112GAG3<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004975.30   | 0.09%             | 2031-04-15      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                 | OZLM XX Ltd.                                                  | CUSIP: 67112MAG0<br>LEI: 549300ROA1URR67W0G46 | Long             | ABS-CBDO         | CORP              | KY        |   1120000 | PA      | $1124593.23   | 0.10%             | 2031-04-20      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                 | OBX 2019-EXP2 Trust                                           | CUSIP: 67113KAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342771 | PA      | $326445.13    | 0.03%             | 2059-06-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2023-30 Ltd.                                          | CUSIP: 67117QAA9<br>LEI: 2138008RM9AHM8ZQ8119 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1028257.30   | 0.10%             | 2037-01-24      | Floating      | 11.41%                | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2021-22 Ltd.                                          | CUSIP: 67117TAU9<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1008141.90   | 0.09%             | 2037-10-20      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                  | NYMT Loan Trust Series 2025-R1                                | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1385398 | PA      | $1389096.78   | 0.13%             | 2030-02-25      | Variable      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                  | NYMT Loan Trust 2025-INV1                                     | CUSIP: 67120YAG4<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1804203.00   | 0.17%             | 2060-04-25      | Variable      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| OWS Real Estate Finance LLC              | OWS Real Estate Finance LLC                                   | CUSIP: 67121XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $726183.20    | 0.07%             | 2034-08-15      | Floating      | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2023-2 Ltd.                                       | CUSIP: 67401QAL0<br>LEI: 254900E6646RC82IR359 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2009345.20   | 0.19%             | 2038-07-20      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2023-2 Ltd.                                       | CUSIP: 67401QAU0<br>LEI: 254900E6646RC82IR359 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2023405.40   | 0.19%             | 2038-07-20      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2023-2 Ltd.                                       | CUSIP: 67402AAE0<br>LEI: 254900E6646RC82IR359 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1010387.90   | 0.09%             | 2038-07-20      | Floating      | 10.33%                | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2022-1 Ltd.                                       | CUSIP: 67402LAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1008580.80   | 0.09%             | 2038-07-15      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                          | Oaktree CLO 2022-1 Ltd.                                       | CUSIP: 67402NAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1494110.25   | 0.14%             | 2038-07-15      | Floating      | 10.34%                | Yes           |                  2 | On Loan: No      |
| OCEANFIRST FINANCIAL CP                  | OceanFirst Financial Corp.                                    | CUSIP: 675234AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3011577.00   | 0.28%             | 2030-05-15      | Variable      | 9.31%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                              | OCP CLO 2019-16 Ltd.                                          | CUSIP: 67570QAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002494.50   | 0.09%             | 2033-04-10      | Floating      | 7.74%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners Lt           | Octagon Investment Partners 18-R Ltd.                         | CUSIP: 67576FAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007626.40   | 0.19%             | 2031-04-16      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| PRP Advisors, LLC                        | PRPM 2025-RCF4 LLC                                            | CUSIP: 69382WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1048871.53   | 0.10%             | 2055-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| PRP Advisors, LLC                        | PRPM 2025-7 LLC                                               | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996456 | PA      | $1000038.74   | 0.09%             | 2030-08-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PRP Advisors, LLC                        | PRPM 2025-7 LLC                                               | CUSIP: 69382YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1255323.75   | 0.12%             | 2030-08-25      | Variable      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| PRP Advisors, LLC                        | PRPM 2025-7 LLC                                               | CUSIP: 69382YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2139000 | PA      | $2160695.88   | 0.20%             | 2030-08-25      | Variable      | 10.55%                | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | PRET 2025-NPL8 LLC                                            | CUSIP: 69392EAB6<br>LEI: 254900EZKI569P0YE486 | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $2160702.70   | 0.20%             | 2055-08-25      | Variable      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| PRP Advisors, LLC                        | PRPM 2025-RPL3 LLC                                            | CUSIP: 69392NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2468697.00   | 0.23%             | 2055-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| PRP Advisors, LLC                        | PRPM 2025-6 LLC                                               | CUSIP: 69395KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2989000 | PA      | $3030478.35   | 0.28%             | 2028-08-25      | Variable      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd           | Palmer Square Loan Funding 2020-1 Ltd.                        | CUSIP: 69701DAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $0.00         | 0.00%             | 2028-02-20      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Point Securitization Trust               | Point Securitization Trust 2023-1                             | CUSIP: 73071JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1016868.60   | 0.09%             | 2053-11-25      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO 2021-1 Ltd.                                          | CUSIP: 73742FAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $749130.83    | 0.07%             | 2034-10-15      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO 2023-1 Ltd.                                          | CUSIP: 73743CAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1205000 | PA      | $1209357.88   | 0.11%             | 2036-04-20      | Floating      | 9.58%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                             | Post CLO 2024-1 Ltd.                                          | CUSIP: 73743FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1013735.00   | 0.09%             | 2037-04-20      | Floating      | 11.13%                | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | PRET 2025-NPL9 LLC                                            | CUSIP: 740937AB3<br>LEI: 254900IWII23Q41Y2V47 | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2105812.80   | 0.20%             | 2055-08-25      | Variable      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne           | PRET 2025-RPL4 Trust                                          | CUSIP: 740943AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2014156.00   | 0.19%             | 2065-03-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RR 36 LTD                                | RR 36 Ltd.                                                    | CUSIP: 74989AAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2018897.40   | 0.19%             | 2040-01-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Rad CLO Ltd                              | Rad CLO 15 Ltd.                                               | CUSIP: 750103AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010402.80   | 0.19%             | 2040-07-20      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                 | Redwood Funding Trust 2025-3                                  | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925761 | PA      | $932838.54    | 0.09%             | 2056-12-27      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                 | Redwood Funding Trust 2025-3                                  | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1146000 | PA      | $1153827.18   | 0.11%             | 2056-12-27      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Regatta 32 Funding Ltd.                  | Regatta 32 Funding Ltd.                                       | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010061.40   | 0.19%             | 2038-07-25      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                         | Flatiron CLO 20 Ltd.                                          | CUSIP: 33883NAG7<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1750000.00   | 0.16%             | 2038-11-20      | Floating      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| FLUSHING FINANCIAL CORP                  | Flushing Financial Corp.                                      | CUSIP: 343873AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $843385.00    | 0.08%             | 2031-12-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                       | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1 | CUSIP: 35563PC80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $928236.00    | 0.09%             | 2061-11-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                      | Freddie Mac STACR REMIC Trust 2021-HQA4                       | CUSIP: 35564KNK1<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   1631885 | PA      | $1632980.30   | 0.15%             | 2041-12-25      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                      | Freddie Mac STACR REMIC Trust 2022-DNA5                       | CUSIP: 35564KZY8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |   1760017 | PA      | $2059549.01   | 0.19%             | 2042-06-25      | Floating      | 17.26%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                      | Freddie Mac Stacr Remic Trust 2025-Dna3                       | CUSIP: 35564UAQ0<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001865.00   | 0.09%             | 2045-09-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust             | GS Mortgage Securities Corp. Trust 2020-DUNE                  | CUSIP: 36258BAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322750 | PA      | $316439.06    | 0.03%             | 2036-12-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust             | GS Mortgage Securities Corp. Trust 2020-DUNE                  | CUSIP: 36258BAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92214 | PA      | $89487.82     | 0.01%             | 2036-12-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities            | GS Mortgage-Backed Securities Trust 2022-LTV2                 | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1808302.50   | 0.17%             | 2052-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities            | GS Mortgage-Backed Securities Trust 2023-PJ6                  | CUSIP: 36268FAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1909778 | PA      | $1943821.64   | 0.18%             | 2054-04-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities            | GS Mortgage-Backed Securities Trust 2025-PJ5                  | CUSIP: 36272DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2801261 | PA      | $2817587.23   | 0.26%             | 2055-10-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Galaxy CLO Ltd                           | Galaxy Xxiv Clo Ltd.                                          | CUSIP: 36321BAG6<br>LEI: 6354006LLTU5DRVJLQ86 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1505352.90   | 0.14%             | 2037-04-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Galaxy CLO Ltd                           | Galaxy XXVI CLO Ltd.                                          | CUSIP: 36321MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005005.00   | 0.09%             | 2031-11-22      | Floating      | 10.32%                | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A           | Government National Mortgage Association                      | CUSIP: 38385CCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485297 | PA      | $490274.07    | 0.05%             | 2055-01-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A           | Government National Mortgage Association                      | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1583601 | PA      | $1564380.38   | 0.15%             | 2055-06-20      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust           | HLTN Commercial Mortgage Trust 2024-DPLO                      | CUSIP: 40424UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004511.00   | 0.09%             | 2041-06-15      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| HOMES Trust                              | HOMES 2025-NQM3 Trust                                         | CUSIP: 40446GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1726122.20   | 0.16%             | 2070-02-25      | Variable      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Home Re Ltd                              | Home RE 2021-1 Ltd.                                           | CUSIP: 437307AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2659060 | PA      | $2667265.40   | 0.25%             | 2033-07-25      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                  | HomeBanc Mortgage Trust 2006-1                                | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213195 | PA      | $192224.22    | 0.02%             | 2037-04-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I            | Homeward Opportunities Fund Trust 2022-1                      | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718053 | PA      | $717481.69    | 0.07%             | 2067-07-25      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I            | Homeward Opportunities Fund Trust 2025-RRTL2                  | CUSIP: 437923AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2271255.75   | 0.21%             | 2040-09-25      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Invesco CLO Ltd                          | Invesco U.S. CLO 2023-3 Ltd.                                  | CUSIP: 46091RAS2<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1517553.75   | 0.14%             | 2038-07-15      | Floating      | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Invesco CLO Ltd                          | Invesco U.S. CLO 2023-2 Ltd.                                  | CUSIP: 46147LAE0<br>LEI: 2549000VWIHWVWECHQ22 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1030620.20   | 0.10%             | 2038-04-21      | Floating      | 12.21%                | Yes           |                  2 | On Loan: No      |
| Invesco CLO Ltd                          | INVESCO U.S. CLO 2025-1 Ltd.                                  | CUSIP: 46151MAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.19%             | 2038-07-15      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Invesco CLO Ltd                          | INVESCO U.S. CLO 2025-1 Ltd.                                  | CUSIP: 46151PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $756667.95    | 0.07%             | 2038-07-15      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2024-INV1                            | CUSIP: 46658PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2909572 | PA      | $2926528.59   | 0.27%             | 2055-04-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2024-12                              | CUSIP: 46658TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642822 | PA      | $1665655.66   | 0.15%             | 2055-06-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Jamestown CLO Ltd                        | Jamestown CLO XI Ltd.                                         | CUSIP: 47049AAA9<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $988458.40    | 0.09%             | 2031-07-14      | Floating      | 10.60%                | Yes           |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                    | KKR CLO 44 Ltd.                                               | CUSIP: 481950AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004032.30   | 0.09%             | 2036-01-20      | Floating      | 9.33%                 | Yes           |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                    | KKR CLO 18 Ltd.                                               | CUSIP: 48251JAS2<br>LEI: 54930088PYF0FHKY5C94 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000685.80   | 0.09%             | 2035-10-18      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| SPX 09/30/25 P6500 09/25 6500.0 PUT   /  | SPX 09/30/25 P6500 09/25 6500.0 PUT   /                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |      2745 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPX 09/30/25 P5500 09/25 5500.0 PUT   /  | SPX 09/30/25 P5500 09/25 5500.0 PUT   /                       | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |     -2745 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPX 09/30/25 C5500 09/25 5500.0 CAL   /  | SPX 09/30/25 C5500 09/25 5500.0 CAL   /                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |      2745 | NC      | $326232270.00 | 30.34%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 09/30/25 C6500 09/25 6500.0 CAL   /  | SPX 09/30/25 C6500 09/25 6500.0 CAL   /                       | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |     -2745 | NC      | $-51732270.00 | -4.81%            |  |  |  | No            |                  1 | On Loan: No      |
| Electronic Arts, Inc.                    | Electronic Arts, Inc.                                         | CUSIP: 999999999<br>LEI: 549300O7A67PUEYKDL45 | N/A              | DE               |  | US        |      -334 | NC      | $-88510.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 12/31/25 C6000 12/25 6000.0 CAL   /  | SPX 12/31/25 C6000 12/25 6000.0 CAL   /                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | DE               |  | US        |      2894 | NC      | $224487580.00 | 20.88%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 12/31/25 C7000 12/25 7000.0 CAL   /  | SPX 12/31/25 C7000 12/25 7000.0 CAL   /                       | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |     -2894 | NC      | $-19013580.00 | -1.77%            |  |  |  | No            |                  1 | On Loan: No      |
| SPX 12/31/25 P6000 12/25 6000.0 PUT   /  | SPX 12/31/25 P6000 12/25 6000.0 PUT   /                       | CUSIP: 999999999<br>LEI: N/A                  | Short            | DE               |  | US        |     -2894 | NC      | $-14672580.00 | -1.36%            |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                      | COMM 2014-UBS4 Mortgage Trust                                 | CUSIP: 12591QAT9<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   1957370 | PA      | $1869705.44   | 0.17%             | 2047-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust             | CSMC 2019-RPL1 Trust                                          | CUSIP: 12596MAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $1724807.76   | 0.16%             | 2058-07-25      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust             | CSMC 2021-RPL4 Trust                                          | CUSIP: 12662GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269626 | PA      | $269696.45    | 0.03%             | 2060-12-27      | Variable      | 7.56%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan T           | Alternative Loan Trust 2005-61                                | CUSIP: 12668AVR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205666 | PA      | $1052932.58   | 0.10%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T           | Alternative Loan Trust 2006-HY10                              | CUSIP: 12668BA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3717063 | PA      | $69635.46     | 0.01%             | 2036-05-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                   | CHL Mortgage Pass-Through Trust 2005-HYB2                     | CUSIP: 12669GWW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435387 | PA      | $1189208.09   | 0.11%             | 2035-05-20      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi           | Carlyle Global Market Strategies CLO 2015-4 Ltd.              | CUSIP: 14311NAS3<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003402.80   | 0.09%             | 2032-07-20      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategi           | Carlyle Global Market Strategies CLO 2015-4 Ltd.              | CUSIP: 14311NBL7<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2032-07-20      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategi           | Carlyle Global Market Strategies CLO 2014-2R Ltd.             | CUSIP: 14314LAL9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1508298.90   | 0.14%             | 2031-05-15      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategi           | Carlyle U.S. CLO 2023-5 Ltd.                                  | CUSIP: 14318QAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1014706.60   | 0.09%             | 2036-01-27      | Floating      | 9.41%                 | Yes           |                  2 | On Loan: No      |
| Zimvie, Inc.                             | Zimvie, Inc.                                                  | CUSIP: 999999999<br>LEI: 549300GFKURT1J6XR665 | N/A              | DE               |  | US        |       -26 | NC      | $-325.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding IV CLO Ltd.                                     | CUSIP: 150323BS1<br>LEI: 549300PPJP6KEORGHQ85 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1020027.40   | 0.09%             | 2038-01-23      | Floating      | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding V CLO Ltd.                                      | CUSIP: 15032AAW7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004773.40   | 0.09%             | 2031-07-17      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding VI CLO Ltd.                                     | CUSIP: 15032DAX9<br>LEI: 549300PQ60B57EBTK013 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1253228.13   | 0.12%             | 2034-04-20      | Floating      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding VII Clo Ltd.                                    | CUSIP: 15032FAP1<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003977.90   | 0.09%             | 2031-01-20      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding XIX CLO Ltd.                                    | CUSIP: 15033CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507407.75   | 0.14%             | 2038-01-23      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                        | Cedar Funding XVII CLO Ltd.                                   | CUSIP: 15033PAY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2023405.40   | 0.19%             | 2038-07-20      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora           | Chase Home Lending Mortgage Trust Series 2024-5               | CUSIP: 16159QAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389230 | PA      | $395873.07    | 0.04%             | 2055-04-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora           | Chase Home Lending Mortgage Trust 2025-8                      | CUSIP: 16162UAD5<br>LEI: 529900CHSDEA1SX67419 | Long             | ABS-MBS          | CORP              | US        |   2861517 | PA      | $2900879.90   | 0.27%             | 2056-06-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2023-1 Ltd.                           | CUSIP: 05685NAN0<br>LEI: 549300OV3LSQ8RJ1DY13 | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1508625.00   | 0.14%             | 2038-07-16      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2023-1 Ltd.                           | CUSIP: 05685NAW0<br>LEI: 549300OV3LSQ8RJ1DY13 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1011625.90   | 0.09%             | 2038-07-16      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora           | Chase Mortgage Finance Trust Series 2007-A1                   | CUSIP: 161630CP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2558847 | PA      | $2112061.92   | 0.20%             | 2037-02-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust              | Cherry Securitization Trust 2024-1                            | CUSIP: 164737AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1021571.00   | 0.10%             | 2032-04-15      | Fixed         | 9.31%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit           | Bain Capital Credit CLO 2023-1 Ltd.                           | CUSIP: 05685NAY6<br>LEI: 549300OV3LSQ8RJ1DY13 | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1502333.85   | 0.14%             | 2038-07-16      | Floating      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                            | Ballyrock CLO 2019-2 Ltd.                                     | CUSIP: 05875MBK7<br>LEI: 254900IF22Z7SA13VI60 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500000.00   | 0.14%             | 2038-10-25      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                            | Ballyrock CLO 2019-2 Ltd.                                     | CUSIP: 05875MBM3<br>LEI: 254900IF22Z7SA13VI60 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.09%             | 2038-10-25      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                            | Ballyrock CLO 24 Ltd.                                         | CUSIP: 05875VAE2<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |   1250000 | PA      | $1266487.13   | 0.12%             | 2038-07-15      | Floating      | 10.33%                | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                         | CIFC Funding 2018-II Ltd.                                     | CUSIP: 17180WAS4<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001312.70   | 0.09%             | 2037-10-20      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage            | Citigroup Commercial Mortgage Trust 2015-GC35                 | CUSIP: 17324KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $925292.00    | 0.09%             | 2048-11-10      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Bank                                     | BANK 2018-BNK14                                               | CUSIP: 06035RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    827497 | PA      | $823211.71    | 0.08%             | 2060-09-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                           | Barings Clo Ltd. 2023-I                                       | CUSIP: 06762HAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1020407.50   | 0.09%             | 2038-04-20      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust            | Citigroup Mortgage Loan Trust 2022-A                          | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642811 | PA      | $644885.29    | 0.06%             | 2062-09-25      | Variable      | 9.17%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                         | COLT 2025-7 Mortgage Loan Trust                               | CUSIP: 19689CAE1<br>LEI: 213800DOQUYA3TO33M98 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1008404.00   | 0.09%             | 2070-06-25      | Variable      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                           | Barings Clo Ltd. 2023-I                                       | CUSIP: 06762HAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006597.90   | 0.09%             | 2038-04-20      | Floating      | 9.33%                 | Yes           |                  2 | On Loan: No      |
| BasePoint MCA Securitization L           | Basepoint Mca Securitization II LLC                           | CUSIP: 06983XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3010950.00   | 0.28%             | 2031-08-15      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2022-R04                  | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1774688.51   | 0.17%             | 2042-03-25      | Floating      | 13.86%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2022-R05                  | CUSIP: 20754DAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1612041.00   | 0.15%             | 2042-04-25      | Floating      | 11.36%                | Yes           |                  2 | On Loan: No      |
| Battalion CLO LTD                        | Battalion Clo XV Ltd.                                         | CUSIP: 07131AAM6<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   1837534 | PA      | $1838909.89   | 0.17%             | 2033-01-17      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Battalion CLO LTD                        | Battalion Clo XV Ltd.                                         | CUSIP: 07131AAR5<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500187.50   | 0.14%             | 2033-01-17      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2021-R02                  | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $2033976.75   | 0.19%             | 2041-11-25      | Floating      | 10.56%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2022-R01                  | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1776918.20   | 0.17%             | 2041-12-25      | Floating      | 10.36%                | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu           | Bear Stearns Asset Backed Securities Trust                    | CUSIP: 073879CH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675706 | PA      | $615145.79    | 0.06%             | 2034-07-25      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO IV Ltd.                           | CUSIP: 08180FCG4<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002716.80   | 0.09%             | 2038-10-20      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO Ltd.                              | CUSIP: 08182DAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3526066.25   | 0.33%             | 2038-04-20      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners Clo XXXVII Ltd.                       | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2009861.40   | 0.19%             | 2038-01-25      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                         | Connecticut Avenue Securities Trust 2021-R01                  | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1869318.00   | 0.17%             | 2041-10-25      | Floating      | 10.36%                | Yes           |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                       | Cook Park CLO Ltd.                                            | CUSIP: 21623RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003863.50   | 0.09%             | 2030-04-17      | Floating      | 9.98%                 | Yes           |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO            | Creeksource 2024-1 Dunes Creek Clo Ltd.                       | CUSIP: 225914AJ9<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1516847.70   | 0.14%             | 2038-01-15      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO            | Creeksource 2024-1 Dunes Creek Clo Ltd.                       | CUSIP: 225917AA1<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $764087.40    | 0.07%             | 2038-01-15      | Floating      | 10.47%                | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO XXIII Ltd.                        | CUSIP: 08186VAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1010418.80   | 0.09%             | 2034-04-25      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO XXIII Ltd.                        | CUSIP: 08186XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005664.40   | 0.09%             | 2034-04-25      | Floating      | 9.57%                 | Yes           |                  2 | On Loan: No      |
| Cross Mortgage Trust                     | Cross 2025-H6 Mortgage Trust                                  | CUSIP: 22758TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646000 | PA      | $1645027.21   | 0.15%             | 2070-07-25      | Variable      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                     | Dewolf Park CLO Ltd.                                          | CUSIP: 25211AAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003507.50   | 0.09%             | 2030-10-15      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt           | Benefit Street Partners CLO 42 Ltd.                           | CUSIP: 08187LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.19%             | 2038-10-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Regatta VIII Funding Ltd                 | Regatta VIII Funding Ltd.                                     | CUSIP: 75888KAU8<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1512237.30   | 0.14%             | 2037-04-17      | Floating      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                     | Dewolf Park CLO Ltd.                                          | CUSIP: 25211CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005032.80   | 0.09%             | 2030-10-15      | Floating      | 10.78%                | Yes           |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                 | Dividend Solar Loans 2018-2 LLC                               | CUSIP: 255387AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1467803 | PA      | $1352237.16   | 0.13%             | 2038-12-20      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Regatta VIII Funding Ltd                 | Regatta VIII Funding Ltd.                                     | CUSIP: 75888KAW4<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501782.95    | 0.05%             | 2037-04-17      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                 | Regatta XVI Funding Ltd.                                      | CUSIP: 75888QAL5<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007747.00   | 0.09%             | 2033-01-15      | Floating      | 11.42%                | Yes           |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                | Regatta XXIV Funding Ltd.                                     | CUSIP: 75889HAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751914.75    | 0.07%             | 2038-01-20      | Floating      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XXI Ltd.                                         | CUSIP: 89640JAW7<br>LEI: 254900S6ZHFKMFCQD992 | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1016245.60   | 0.09%             | 2038-04-20      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XV Ltd.                                          | CUSIP: 89642BAA0<br>LEI: 254900ZVDNHQAUJNHH42 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $987500.00    | 0.09%             | 2034-04-24      | Floating      | 12.04%                | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XXXIV Ltd.                                       | CUSIP: 89643KAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2039862.60   | 0.19%             | 2038-04-22      | Floating      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                         | Trinitas CLO XXXIV Ltd.                                       | CUSIP: 89643LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1020445.10   | 0.09%             | 2038-04-22      | Floating      | 11.49%                | Yes           |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked           | Truist Bank Auto Credit-Linked Notes Series 2025-1            | CUSIP: 897926CE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $752140.50    | 0.07%             | 2033-09-26      | Fixed         | 9.69%                 | Yes           |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                         | Unlock HEA Trust 2024-2                                       | CUSIP: 91528AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2765959 | PA      | $2763456.12   | 0.26%             | 2039-10-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Upland CLO Ltd                           | Upland CLO Ltd.                                               | CUSIP: 915328AU2<br>LEI: 54930052JF7HYEE5CO91 | Long             | ABS-CBDO         | CORP              | KY        |    431185 | PA      | $431518.07    | 0.04%             | 2031-04-20      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Upland CLO Ltd                           | Upland CLO Ltd.                                               | CUSIP: 915328BA5<br>LEI: 54930052JF7HYEE5CO91 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753928.73    | 0.07%             | 2031-04-20      | Floating      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust              | UPX HIL 2025-1 Issuer Trust                                   | CUSIP: 916925AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $252006.50    | 0.02%             | 2047-01-25      | Fixed         | 7.67%                 | Yes           |                  2 | On Loan: No      |
| VALLEY NATIONAL BANCORP                  | Valley National Bancorp                                       | CUSIP: 919794AE7<br>LEI: 549300ET52S1UBIB9762 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $931603.00    | 0.09%             | 2031-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                          | Venture 38 CLO Ltd.                                           | CUSIP: 92332NBC8<br>LEI: 549300EM6DS6KQH1HN07 | Long             | ABS-CBDO         | CORP              | KY        |   1140349 | PA      | $1137723.18   | 0.11%             | 2032-07-30      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                 | Verdelite Static CLO 2024-1 Ltd.                              | CUSIP: 92338VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1002748.20   | 0.09%             | 2032-07-20      | Floating      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2024-7                             | CUSIP: 924925AH3<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $1015144.94   | 0.09%             | 2069-09-25      | Variable      | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2023-INV1                          | CUSIP: 92539FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1434467.52   | 0.13%             | 2068-02-25      | Variable      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust               | Verus Securitization Trust 2024-INV1                          | CUSIP: 92540FAF7<br>LEI: 9845000FE754F4AE7E70 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1777396.25   | 0.17%             | 2069-03-25      | Variable      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Trailblazer Acquisition Corp             | Trailblazer Acquisition Corp.                                 | CUSIP: G9009S129<br>LEI: N/A                  | Long             |  | CORP              | US        |     26712 | NS      | $273798.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Columbus Circle Capital Corp I           | Columbus Circle Capital Corp. I - Class A                     | CUSIP: G2296A109<br>LEI: 5299006WPUCKP6KOIM37 | Long             | EC               | CORP              | US        |    104438 | NS      | $1056912.56   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN DOLLARS  /                      | CANADIAN DOLLARS  /                                           | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | CA        |     -7446 | OU      | $-5350.17     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Cantor Equity Partners III Inc           | Cantor Equity Partners III, Inc. - Class A                    | CUSIP: G1828A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     17093 | NS      | $176399.76    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 30 Senior Loan Fund                                    | CUSIP: 26249BAW1<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005730.60   | 0.09%             | 2028-11-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 30 Senior Loan Fund                                    | CUSIP: 26249BAY7<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $996007.00    | 0.09%             | 2028-11-15      | Floating      | 10.22%                | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 61 Clo Ltd.                                            | CUSIP: 26251CAY0<br>LEI: 549300JHVVT1NJ057H42 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1201916.04   | 0.11%             | 2032-01-17      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 102 CLO Ltd.                                           | CUSIP: 26253TAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999972.90    | 0.09%             | 2038-10-15      | Floating      | 9.06%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                  | Dryden 102 CLO Ltd.                                           | CUSIP: 26253UAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999972.90    | 0.09%             | 2038-10-15      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage T           | EFMT 2024-NQM1                                                | CUSIP: 26845DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1811338.20   | 0.17%             | 2069-11-25      | Variable      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                      | Eaton Vance CLO 2020-1 Ltd.                                   | CUSIP: 278301AG1<br>LEI: 5493004NKU3QU5G6QW39 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $995417.10    | 0.09%             | 2037-10-15      | Floating      | 10.57%                | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                      | Eaton Vance CLO 2013-1 Ltd.                                   | CUSIP: 27830BBY9<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2009243.20   | 0.19%             | 2038-10-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                      | Eaton Vance CLO 2013-1 Ltd.                                   | CUSIP: 27830BCG7<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1011425.10   | 0.09%             | 2038-10-15      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                      | Eaton Vance Clo 2015-1 Ltd.                                   | CUSIP: 27830KBA1<br>LEI: 5493008YP5U5LTXAO749 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004012.90   | 0.09%             | 2030-01-20      | Floating      | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Elevation CLO Ltd                        | Elevation CLO 2018-10 Ltd.                                    | CUSIP: 28623CAL5<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |    703775 | PA      | $704590.63    | 0.07%             | 2031-10-20      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 22 Ltd                       | Elmwood CLO 22 Ltd.                                           | CUSIP: 29001YAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751081.13    | 0.07%             | 2038-04-17      | Floating      | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                       | Elmwood CLO IV Ltd.                                           | CUSIP: 29002GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2006244.20   | 0.19%             | 2037-04-18      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                        | Elmwood CLO X Ltd.                                            | CUSIP: 29002VBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2529234.25   | 0.24%             | 2038-07-20      | Floating      | 7.31%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                        | Elmwood CLO X Ltd.                                            | CUSIP: 29002WAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1515570.60   | 0.14%             | 2038-07-20      | Floating      | 10.21%                | Yes           |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd                       | Elmwood CLO IX Ltd.                                           | CUSIP: 29003UAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2513687.50   | 0.23%             | 2038-04-20      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 14 Ltd                       | Elmwood CLO 14 Ltd.                                           | CUSIP: 29003WAL9<br>LEI: 254900OL3XXZ9LCM4Q21 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1508036.25   | 0.14%             | 2038-10-20      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 19 Ltd                       | Elmwood CLO 19 Ltd.                                           | CUSIP: 29004JBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1750000.00   | 0.16%             | 2038-10-17      | Floating      | 9.06%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 19 Ltd                       | Elmwood CLO 19 Ltd.                                           | CUSIP: 29004YAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1250000.00   | 0.12%             | 2038-10-17      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2025-1 Ltd.                                       | CUSIP: 29249DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2017129.60   | 0.19%             | 2038-07-20      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Empower CLO Ltd.                         | Empower CLO 2025-1 Ltd.                                       | CUSIP: 29249DAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004787.90   | 0.09%             | 2038-07-20      | Floating      | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC           | Enterprise Fleet Financing 2024-3 LLC                         | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3563000 | PA      | $3619772.84   | 0.34%             | 2028-08-21      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| EVERBANK FINANCIAL CORP                  | EverBank Financial Corp.                                      | CUSIP: 29977GAE2<br>LEI: 549300ZSQX8IP0RAE826 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2050046.00   | 0.19%             | 2035-09-01      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables            | Exeter Automobile Receivables Trust 2024-3                    | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2096682.00   | 0.20%             | 2031-10-15      | Fixed         | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E           | FARM 2023-1 Mortgage Trust                                    | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2923083 | PA      | $2196410.08   | 0.20%             | 2052-03-25      | Variable      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E           | FARM 21-1 Mortgage Trust                                      | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1366366 | PA      | $1037548.40   | 0.10%             | 2051-07-25      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                             | CUSIP: 3136BQPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185013 | PA      | $1037873.82   | 0.10%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                             | CUSIP: 3136BUVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450285 | PA      | $1474415.24   | 0.14%             | 2055-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae REMICS                                             | CUSIP: 3136BWAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1735315 | PA      | $1724941.32   | 0.16%             | 2055-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac REMICS                                            | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1476385 | PA      | $1390186.65   | 0.13%             | 2054-07-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-22

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

**Signature:** /s/ Scott Schulenburg

**Name of Signer:** Scott Schulenburg

**Title:** President