# EDGAR Filing Document

**Accession Number:** 0001560672
**File Stem:** 0000894189-26-007473
**Filing Date:** 2026-3
**Character Count:** 249462
**Document Hash:** 8a3ce888c887a78553cb2f76e781c749
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-26-007473.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0000894189-26-007473

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Ellington Credit Co
- **CENTRAL INDEX KEY:** 0001560672
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]

**ORGANIZATION NAME:**
- **EIN:** 460687599
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-24071
- **FILM NUMBER:** 26709530

**BUSINESS ADDRESS:**
- **STREET 1:** 53 FOREST AVENUE
- **CITY:** OLD GREENWICH
- **STATE:** CT
- **ZIP:** 06870
- **BUSINESS PHONE:** (203) 698-1200

**MAIL ADDRESS:**
- **STREET 1:** 53 FOREST AVENUE
- **CITY:** OLD GREENWICH
- **STATE:** CT
- **ZIP:** 06870

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Ellington Residential Mortgage REIT
- **DATE OF NAME CHANGE:** 20121018

## Nport-Ex

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| *($ in thousands)* |  |  |  |  |  |  |
| **Collateralized Loan Obligations—Debt** | **Collateralized Loan Obligations—Debt** | **Collateralized Loan Obligations—Debt** | **Collateralized Loan Obligations—Debt** | **Collateralized Loan Obligations—Debt** | **Collateralized Loan Obligations—Debt** | **Collateralized Loan Obligations—Debt** |
| &nbsp;&nbsp;**United States** | &nbsp;&nbsp;**United States** | &nbsp;&nbsp;**United States** | &nbsp;&nbsp;**United States** | &nbsp;&nbsp;**United States** | &nbsp;&nbsp;**United States** | &nbsp;&nbsp;**United States** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** | &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** | &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** | &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** | &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** | &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** | &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 Capital CLO 1, Ltd. (5)(7) | Secured Note - Class E, 11.37% (SOFR + 7.46% due October 15, 2034) | 08/05/25 | $1670 | $1670 | $1647 | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Atlas Senior Loan Fund X, Ltd. (5)(7) | Secured Note - Class E, 9.87% (SOFR + 5.96% due January 15, 2031) | 07/22/25 | 1850 | 1771 | 1634 | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Atlas Senior Loan Fund XIV, Ltd. (5)(6)(7) | Secured Note - Class E, 11.09% (SOFR + 7.20% due July 20, 2032) | 05/16/24 | 1250 | 1047 | 957 | 0.49% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Atlas Static Senior Loan Fund I, Ltd. (5)(7) | Secured Note - Class E, 12.41% (SOFR + 8.51% due July 15, 2030) | 04/07/25 | 2970 | 2957 | 2979 | 1.53% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bain Capital Credit CLO 2017-2, Limited (5)(7) | Secured Note - Class ER3, 11.20% (SOFR + 7.34% due July 25, 2037) | 06/24/25 | 6560 | 6560 | 6440 | 3.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bain Capital Credit CLO 2022-2, Limited (5)(7) | Secured Note - Class ER, 11.21% (SOFR + 7.35% due April 22, 2035) | 06/13/25 | 1620 | 1620 | 1570 | 0.81% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ballyrock CLO 19 Ltd. (5)(7) | Secured Note - Class D, 10.99% (SOFR + 7.11% due April 20, 2035) | 08/20/25 | 2130 | 2130 | 2108 | 1.08% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Canyon CLO 2016-1, Ltd. (7) | Secured Note - Class ER, 9.92% (SOFR + 6.01% due July 15, 2031) | 07/15/25 | 1500 | 1485 | 1423 | 0.73% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Canyon CLO 2016-2, Ltd. (5)(7) | Secured Note - Class ER, 10.17% (SOFR + 6.26% due October 15, 2031) | 10/28/25 | 2250 | 2142 | 2093 | 1.07% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Canyon CLO 2019-1, Ltd. (5)(7) | Secured Note - Class ERR, 11.40% (SOFR + 7.50% due July 15, 2037) | 07/24/25 | 650 | 645 | 642 | 0.33% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlyle Global Market Strategies CLO 2015-1, Ltd. (5)(7) | Secured Note - Class ER, 11.09% (SOFR + 7.20% due July 20, 2031) | 10/28/25 | 1120 | 1122 | 1113 | 0.57% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlyle Global Market Strategies CLO 2015-5, Ltd. (5)(7) | Secured Note - Class DR, 10.85% (SOFR + 6.96% due January 20, 2032) | 11/25/25 | 3800 | 3754 | 3734 | 1.91% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CIFC Funding 2014, Ltd. (5)(7) | Secured Note - Class ER2, 10.00% (SOFR + 6.11% due January 18, 2031) | 11/25/25 | 1880 | 1878 | 1877 | 0.96% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crestline Denali CLO XV, Ltd (5)(7) | Secured Note - Class E1, 10.50% (SOFR + 6.61% due April 20, 2030) | 03/28/25 | 1500 | 1484 | 1500 | 0.77% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crown City CLO III (5)(7) | Secured Note - Class D, 10.90% (SOFR + 7.01% due July 20, 2034) | 05/08/25 | 2000 | 1919 | 1922 | 0.99% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crown Point CLO 10, Ltd. (5)(7) | Secured Note - Class E, 11.00% (SOFR + 7.11% due July 20, 2034) | 07/01/25 | 1700 | 1686 | 1662 | 0.85% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crown Point CLO 9 Ltd. (5)(7) | Secured Note - Class ER, 10.93% (SOFR + 7.02% due July 14, 2034) | 05/06/25 | 2500 | 2469 | 2479 | 1.27% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dryden 54 Senior Loan Fund LLC (5)(7) | Secured Note - Class E, 10.35% (SOFR + 6.46% due October 19, 2029) | 08/20/24 | 1750 | 1645 | 1660 | 0.85% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Elevation CLO 2013-1, Ltd. (5)(6)(7) | Secured Note - Class ER3, 11.97% (SOFR + 7.75% due July 25, 2038) | 08/11/25 | 3600 | 3418 | 3550 | 1.82% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Eagle BSL CLO 2019-1 Ltd. (5)(7) | Secured Note - Class D, 11.85% (SOFR + 7.96% due January 20, 2033) | 05/16/25 | 5590 | 5501 | 5379 | 2.76% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fortress Credit BSL IX Limited (5)(7) | Secured Note - Class ER, 11.53% (SOFR + 7.60% due October 20, 2033) | 10/24/25 | 4950 | 4950 | 4916 | 2.52% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fortress Credit BSL VI Limited (5)(7) | Secured Note - Class ER, 10.57% (SOFR + 6.71% due July 23, 2031) | 07/30/25 | 1000 | 1001 | 960 | 0.49% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fortress Credit BSL VIII Limited (5)(6)(7) | Secured Note - Class E, 11.16% (SOFR + 7.27% due October 20, 2032) | 03/06/24 | 3000 | 2937 | 2760 | 1.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fortress Credit BSL XII Limited (5)(7) | Secured Note - Class E, 11.30% (SOFR + 7.39% due October 15, 2034) | 06/26/25 | 1000 | 966 | 937 | 0.48% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fortress Credit BSL XVII Limited (5)(7) | Secured Note - Class E, 12.01% (SOFR + 8.15% due October 23, 2034) | 06/10/24 | 2750 | 2751 | 2754 | 1.41% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Greywolf CLO II, Ltd. (5)(7) | Secured Note - Class DRR, 11.22% (SOFR + 7.31% due April 15, 2034) | 02/20/25 | 2000 | 1951 | 1974 | 1.01% |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HalseyPoint CLO 3, Ltd. (5)(7) | Secured Note - Class ER, 11.95% (SOFR + 8.11% due July 30, 2037) | 08/23/24 | $860 | $860 | $862 | 0.44% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HalseyPoint CLO 4, Ltd. (5)(7) | Secured Note - Class E, 10.86% (SOFR + 6.97% due April 20, 2034) | 09/09/25 | 1250 | 1250 | 1216 | 0.62% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICG US CLO 2014-1, Ltd. (5)(7) | Secured Note - Class DR2, 12.50% (SOFR + 8.61% due October 20, 2034) | 05/22/24 | 4000 | 3593 | 3836 | 1.97% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICG US CLO 2014-2, Ltd. (5)(7) | Secured Note - Class ERR, 9.37% (SOFR + 5.46% due January 15, 2031) | 01/15/25 | 1750 | 1538 | 1535 | 0.79% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICG US CLO 2017-1, Ltd. (5)(7) | Secured Note - Class ERR, 11.48% (SOFR + 7.62% due July 28, 2034) | 05/16/25 | 2500 | 2379 | 2342 | 1.20% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jamestown CLO IX Ltd. (5)(7) | Secured Note - Class DR3, 10.36% (SOFR + 6.50% due July 25, 2034) | 07/25/25 | 1895 | 1895 | 1860 | 0.95% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jamestown CLO XI Ltd. (5)(7) | Secured Note - Class D, 10.19% (SOFR + 6.28% due July 14, 2031) | 10/23/25 | 2000 | 2000 | 1982 | 1.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Madison Park Funding XXIV, Ltd. (5)(7) | Secured Note - Class ER2, 10.93% (SOFR + 7.05% due October 20, 2029) | 05/14/24 | 4100 | 4021 | 4048 | 2.08% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Madison Park Funding XXXV, Ltd. (5)(7) | Secured Note - Class ER, 10.25% (SOFR + 6.36% due April 20, 2032) | 10/29/25 | 1650 | 1651 | 1641 | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Marathon CLO 2021-16 Ltd. (5)(7) | Secured Note - Class DR, 10.75% (SOFR + 6.85% due April 15, 2034) | 06/25/25 | 2500 | 2500 | 2425 | 1.24% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Marathon CLO VI Ltd. (6) | Secured Note - Class DRR, 10.25% (SOFR + 6.41% due May 13, 2028) | 11/29/23 | 360 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Marble Point CLO XV Ltd. (5)(7) | Secured Note - Class E, 10.95% (SOFR + 7.09% due July 23, 2032) | 10/24/25 | 900 | 851 | 838 | 0.43% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Northwoods Capital 27, Limited (5)(7) | Secured Note - Class E, 11.18% (SOFR + 7.30% due October 17, 2034) | 02/20/25 | 1150 | 1087 | 1105 | 0.57% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Octagon Investment Partners 39, Ltd. (5)(7) | Secured Note - Class E, 9.90% (SOFR + 6.01% due October 20, 2030) | 10/23/25 | 1609 | 1606 | 1609 | 0.82% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Octagon Investment Partners 44, Ltd. (5)(7) | Secured Note - Class ER, 10.92% (SOFR + 7.01% due October 15, 2034) | 07/23/25 | 3920 | 3611 | 3293 | 1.69% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Octagon Investment Partners 50, Ltd. (5)(7) | Secured Note - Class ER, 10.97% (SOFR + 7.06% due January 15, 2035) | 07/18/25 | 1500 | 1447 | 1349 | 0.69% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OFSI BSL CLO XI, Ltd. (5)(7) | Secured Note - Class ERR, 11.95% (SOFR + 8.15% due March 31, 2038) | 11/21/25 | 1630 | 1549 | 1591 | 0.82% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OZLM XIX, Ltd. (5)(7) | Secured Note - Class DR, 11.80% (SOFR + 7.89% due January 15, 2035) | 09/11/25 | 1500 | 1500 | 1460 | 0.75% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OZLM XXIV, LTD. (5)(6)(7) | Secured Note - Class D, 11.20% (SOFR + 7.31% due July 20, 2032) | 10/25/24 | 2600 | 2169 | 2372 | 1.22% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Parallel 2020-1 Ltd. (5)(7) | Secured Note - Class DR, 10.65% (SOFR + 6.76% due July 20, 2034) | 06/30/25 | 1000 | 986 | 981 | 0.50% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Park Avenue Institutional Advisers CLO Ltd 2017-1 (5)(7) | Secured Note - Class DR2, 10.60% (SOFR + 6.75% due February 14, 2034) | 09/24/25 | 1670 | 1670 | 1634 | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Park Avenue Institutional Advisers CLO Ltd 2021-2 (5)(7) | Secured Note - Class E, 11.18% (SOFR + 7.27% due July 15, 2034) | 05/15/25 | 3000 | 2900 | 2881 | 1.48% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Park Blue CLO 2025-VIII, Ltd. (5)(6)(13) | Secured Note - Class F, 12.11% (SOFR + 8.14% due October 25, 2038) | 08/21/25 | 100 | 88 | 95 | 0.05% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rockford Tower CLO 2021-3, Ltd. (5)(7) | Secured Note - Class ER, 11.32% (SOFR + 7.42% due January 15, 2038) | 11/22/24 | 1950 | 1928 | 1891 | 0.97% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Saratoga Investment Corp. CLO 2013-1, Ltd. (5)(6)(7) | Secured Note - Class ER3, 11.65% (SOFR + 7.76% due April 20, 2033) | 09/13/24 | 2000 | 1427 | 1249 | 0.64% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Symphony CLO XV, Ltd. (5)(6)(7) | Secured Note - Class ER2, 10.47% (SOFR + 6.59% due January 17, 2032) | 10/24/24 | 2084 | 1730 | 1895 | 0.97% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Symphony CLO XVI, Ltd. (5)(7) | Secured Note - Class ER, 10.27% (SOFR + 6.36% due October 15, 2031) | 09/19/24 | 2255 | 1922 | 1927 | 0.99% |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tralee CLO V, Ltd. (5)(6) | Secured Note - Class FR, 13.04% (SOFR + 9.15% due October 20, 2034) | 03/28/24 | $410 | $310 | $328 | 0.17% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trinitas CLO IX, Ltd. (5)(7) | Secured Note - Class E, 10.40% (SOFR + 6.51% due January 20, 2032) | 02/06/25 | 1330 | 1169 | 1213 | 0.62% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trinitas CLO IX, Ltd. (7) | Secured Note - Class E, 10.40% (SOFR + 6.51% due January 20, 2032) | 01/17/24 | 2250 | 1977 | 2053 | 1.05% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trinitas CLO VI, Ltd. (5)(6)(7) | Secured Note - Class F, 12.83% (SOFR + 8.98% due January 25, 2034) | 04/04/24 | 1600 | 1237 | 1286 | 0.66% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trinitas CLO VI, Ltd. (5)(7) | Secured Note - Class ER, 10.94% (SOFR + 7.08% due January 25, 2034) | 07/16/25 | 1000 | 977 | 919 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trinitas CLO XII, Ltd. (5)(7) | Secured Note - Class E, 11.52% (SOFR + 7.66% due April 25, 2033) | 12/11/24 | 1890 | 1831 | 1889 | 0.97% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trinitas CLO XVI, Ltd. (5)(7) | Secured Note - Class E, 11.15% (SOFR + 7.26% due July 20, 2034) | 09/16/25 | 1375 | 1355 | 1354 | 0.69% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Venture 36 CLO Limited (5)(6)(7) | Secured Note - Class E, 11.07% (SOFR + 7.18% due April 20, 2032) | 05/12/25 | 3500 | 1881 | 1400 | 0.72% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Venture XV CLO, Limited (5)(6)(7) | Secured Note - Class ER2, 11.36% (SOFR + 7.45% due July 15, 2032) | 04/02/24 | 1500 | 1017 | 525 | 0.27% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Venture XVIII CLO, Limited (5)(6)(7) | Secured Note - Class ER, 10.76% (SOFR + 6.85% due October 15, 2029) | 03/28/24 | 2056 | 1072 | 1159 | 0.59% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Venture XXII CLO, Limited (5)(6) | Secured Note - Class ER, 9.82% (SOFR + 5.91% due January 15, 2031) | 04/30/24 | 520 | 273 | 198 | 0.10% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Venture XXVI CLO, Limited (5)(6)(7) | Secured Note - Class E, 10.95% (SOFR + 7.06% due January 20, 2029) | 12/17/24 | 1614 | 778 | 801 | 0.41% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Venture XXVII CLO, Limited (5)(6) | Secured Note - Class E, 10.50% (SOFR + 6.61% due July 20, 2030) | 06/20/24 | 450 | 209 | 194 | 0.10% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Venture XXX CLO, Limited (5)(6)(7) | Secured Note - Class E, 10.47% (SOFR + 6.56% due January 15, 2031) | 07/24/24 | 1345 | 717 | 404 | 0.21% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vibrant CLO III, Ltd. (5)(6) | Secured Note - Class DRR, 10.50% (SOFR + 6.61% due October 20, 2031) | 08/29/24 | 250 | 220 | 230 | 0.12% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wellfleet CLO 2019-1, Ltd. (5)(7) | Secured Note - Class D, 11.05% (SOFR + 7.16% due July 20, 2032) | 11/29/23 | 1220 | 1064 | 1106 | 0.57% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wellfleet CLO 2021-3, Ltd. (5)(7) | Secured Note - Class E, 11.27% (SOFR + 7.36% due January 15, 2035) | 06/10/25 | 1250 | 1203 | 1194 | 0.61% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;WhiteHorse X, Ltd. (6) | Secured Note - Class F, 10.39% (SOFR + 6.51% due April 17, 2027) | 01/23/24 | 287 | 64 |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wind River 2019-3 CLO Ltd. (5)(7)(13) | Secured Note - Class ER3, 12.29% (SOFR + 8.50% due January 15, 2038) | 10/24/25 | 1550 | 1550 | 1550 | 0.79% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wind River 2022-1 CLO Ltd. (5)(7) | Secured Note - Class E, 12.00% (SOFR + 8.12% due July 20, 2035) | 08/21/25 | 2500 | 2455 | 2428 | 1.24% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Woodmont 2022-9 Trust (5)(7) | Secured Note - Class ER, 11.63% (SOFR + 7.77% due October 25, 2036) | 12/03/25 | 1000 | 1009 | 1014 | 0.52% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ZAIS CLO 13, Limited (5)(7) | Secured Note - Class E, 12.82% (SOFR + 8.91% due July 15, 2032) | 01/08/25 | 6520 | 6103 | 5506 | 2.82% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ZAIS CLO 3, Limited (5)(6)(7) | Secured Note - Class DR, 11.08% (SOFR + 7.17% due July 15, 2031) | 05/30/25 | 1430 | 858 | 549 | 0.28% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ZAIS CLO 6, Limited (5)(6) | Secured Note - Class E, 11.17% (SOFR + 7.26% due July 15, 2029) | 12/18/24 | 469 | 351 | 328 | 0.17% |
| **Total Collateralized Loan Obligations—Debt, United States** | **Total Collateralized Loan Obligations—Debt, United States** | **Total Collateralized Loan Obligations—Debt, United States** | **Total Collateralized Loan Obligations—Debt, United States** | $**139295** | $**136212** | **69.84%** |
| &nbsp;&nbsp;**European Union—Various** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Aqueduct European CLO 7-2022 DAC (7) | Secured Note - Class FR, 10.42% (EURIBOR + 8.41% due August 15, 2037) | 07/10/25 | $1779 | $1760 | $1726 | 0.88% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bosphorus CLO V DAC (7) | Secured Note - Class F, 11.57% (EURIBOR + 9.54% due December 12, 2032) | 11/07/25 | 1996 | 1965 | 1999 | 1.02% |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlyle Global Market Strategies Euro CLO 2014-2 DAC (7) | Secured Note - Class DRR, 7.76% (EURIBOR + 5.70% due November 17, 2031) | 04/03/25 | $1828 | $1741 | $1815 | 0.93% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carysfort Park CLO DAC (7) | Secured Note - Class E, 10.46% (EURIBOR + 8.39% due July 28, 2034) | 09/04/24 | 2348 | 2139 | 2343 | 1.20% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dryden 69 Euro CLO 2019 B.V. (7) | Secured Note - Class ER, 8.37% (EURIBOR + 6.37% due October 18, 2034) | 07/30/25 | 2348 | 2287 | 2325 | 1.19% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dryden 73 Euro CLO 2018 B.V. (7) | Secured Note - Class E, 8.85% (EURIBOR + 6.82% due January 15, 2034) | 09/23/25 | 2348 | 2355 | 2308 | 1.18% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Harvest CLO XXIX DAC (7) | Secured Note - Class FR, 10.63% (EURIBOR + 8.62% due July 15, 2037) | 06/25/25 | 3522 | 3469 | 3364 | 1.72% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hayfin Emerald VI CLO DAC (7) | Secured Note - Class ER, 7.91% (EURIBOR + 5.90% due October 15, 2038) | 11/21/25 | 986 | 947 | 967 | 0.50% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Henley CLO XIII DAC (7) | Secured Note - Class F, 10.44% (EURIBOR + 8.42% due October 15, 2038) | 07/03/25 | 1174 | 1153 | 1162 | 0.60% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Invesco Euro CLO IV DAC (6)(7) | Secured Note - Class E, 7.36% (EURIBOR + 5.35% due April 15, 2033) | 06/26/25 | 1551 | 1486 | 1411 | 0.72% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Invesco Euro CLO XIV DAC (5)(6) | Secured Note - Class F, 10.57% (EURIBOR + 8.56% due January 15, 2039) | 09/08/25 | 294 | 280 | 269 | 0.14% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jubilee CLO 2013-X B.V. (7) | Secured Note - Class FRR, 10.56% (EURIBOR + 8.55% due July 15, 2034) | 04/23/24 | 881 | 766 | 839 | 0.43% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jubilee CLO 2017-XIX DAC (5)(7) | Secured Note - Class FR, 10.77% (EURIBOR + 8.70% due April 25, 2038) | 07/01/25 | 3522 | 3469 | 3438 | 1.76% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Madison Park Euro Funding XIV DAC (5)(7) | Secured Note - Class FR, 10.85% (EURIBOR + 8.82% due July 15, 2032) | 07/16/24 | 1761 | 1604 | 1751 | 0.90% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MAN EURO CLO 2023-1 DAC (5)(7) | Secured Note - Class F, 12.16% (EURIBOR + 10.13% due October 15, 2036) | 04/15/24 | 1761 | 1622 | 1764 | 0.90% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nassau Euro CLO I DAC (7) | Secured Note - Class F, 11.40% (EURIBOR + 9.39% due December 15, 2034) | 11/26/25 | 1209 | 1195 | 1210 | 0.62% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nassau Euro CLO III DAC (7) | Secured Note - Class FR, 10.18% (EURIBOR + 8.17% due October 15, 2039) | 09/03/25 | 1250 | 1222 | 1224 | 0.63% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OCP EURO CLO 2022-6 DAC (7) | Secured Note - Class FRR, 10.62% (EURIBOR + 8.62% due July 20, 2036) | 07/03/25 | 2465 | 2467 | 2398 | 1.23% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OZLME B.V. (7) | Secured Note - Class FR, 10.41% (EURIBOR + 8.41% due April 18, 2034) | 04/23/24 | 881 | 759 | 870 | 0.45% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ravensdale Park CLO DAC (7) | Secured Note - Class F, 9.42% (EURIBOR + 7.35% due April 25, 2038) | 02/27/25 | 2348 | 2081 | 2242 | 1.15% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rockford Tower Europe CLO 2021-2 DAC (7) | Secured Note - Class F, 10.97% (EURIBOR + 8.90% due January 24, 2035) | 11/12/24 | 1174 | 1060 | 1171 | 0.60% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;St. Paul's CLO IV DAC (6)(7) | Secured Note - Class ERR, 8.65% (EURIBOR + 6.58% due April 25, 2030) | 03/27/25 | 1174 | 1008 | 822 | 0.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;St. Paul's CLO IX DAC (6)(7) | Secured Note - Class FR, 11.93% (EURIBOR + 9.93% due July 20, 2035) | 08/28/25 | 1702 | 1677 | 936 | 0.48% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;St. Paul's CLO V DAC (5)(6)(7) | Secured Note - Class FR, 8.63% (EURIBOR + 6.60% due August 20, 2030) | 07/11/24 | 1937 | 1686 | 1065 | 0.55% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Toro European CLO 6 DAC (5)(6)(7) | Secured Note - Class F, 10.52% (EURIBOR + 8.49% due January 12, 2032) | 06/05/25 | 1761 | 1632 | 1281 | 0.66% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total Collateralized Loan Obligations - Debt, European Union - Various** | &nbsp;&nbsp;&nbsp;&nbsp;**Total Collateralized Loan Obligations - Debt, European Union - Various** | &nbsp;&nbsp;&nbsp;&nbsp;**Total Collateralized Loan Obligations - Debt, European Union - Various** | &nbsp;&nbsp;&nbsp;&nbsp;**Total Collateralized Loan Obligations - Debt, European Union - Various** | $**41831** | $**40700** | **20.87%** |
| &nbsp;&nbsp;**Total Collateralized Loan Obligations - Debt** | &nbsp;&nbsp;**Total Collateralized Loan Obligations - Debt** | &nbsp;&nbsp;**Total Collateralized Loan Obligations - Debt** | &nbsp;&nbsp;**Total Collateralized Loan Obligations - Debt** | $**181126** | $**176912** | **90.71%** |
| **Collateralized Loan Obligations - Equity** | **Collateralized Loan Obligations - Equity** | **Collateralized Loan Obligations - Equity** | **Collateralized Loan Obligations - Equity** |  |  |  |
| &nbsp;&nbsp;**United States** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522 Funding CLO 2019-5, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 15, 2035) | 03/24/25 | $4200 | $861 | $544 | 0.28% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AB BSL CLO 1 Ltd. (5)(6)(7) | Subordinated Note, (effective yield 14.37%, maturity October 15, 2038) | 10/23/25 | 14500 | 5554 | 5760 | 2.95% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AG CC Funding II, Ltd. (6) | Subordinated Note, (effective yield 13.19%, maturity November 17, 2036) | 11/05/25 | 27 | 3190 | 3467 | 1.78% |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AIMCO CLO, Series 2018-A (5)(7) | Subordinated Note, (effective yield 15.11%, maturity October 17, 2037) | 08/06/25 | $3690 | $2135 | $1632 | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Allegro CLO VII, Ltd (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity June 13, 2031) | 05/16/24 | 4120 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Allegro CLO XI, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 19, 2033) | 07/29/25 | 3074 | 647 | 461 | 0.24% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Anchorage Credit Funding 6, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 25, 2036) | 06/17/24 | 1670 |  | 67 | 0.03% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apidos CLO L (5)(6)(7) | Subordinated Note, (effective yield 12.15%, maturity January 20, 2038) | 11/01/24 | 6600 | 4526 | 4455 | 2.28% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apidos CLO XLII Ltd (5)(7) | Subordinated Note, (effective yield 11.54%, maturity April 20, 2038) | 05/06/25 | 1070 | 828 | 794 | 0.41% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apidos CLO XVIII-R (5)(7) | Subordinated Note, (effective yield 9.22%, maturity January 22, 2038) | 07/28/25 | 4171 | 1850 | 1571 | 0.81% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apidos CLO XXXIV (5)(13) | Subordinated Note, (effective yield 12.18%, maturity January 20, 2039) | 12/05/25 | 14822 | 7472 | 7203 | 3.69% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ares Loan Funding IX, Ltd. (5)(7) | Subordinated Note, (effective yield 12.24%, maturity March 31, 2038) | 11/10/25 | 3600 | 2744 | 2691 | 1.38% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ares XLIII CLO Ltd. (5)(6) | Subordinated Note, (effective yield 10.74%, maturity January 15, 2038) | 04/01/25 | 7519 | 2000 | 1774 | 0.91% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ares XXXIX CLO Ltd. (5)(6)(7) | Subordinated Note, (effective yield 11.95%, maturity April 18, 2031) | 07/24/24 | 15000 | 4666 | 4200 | 2.15% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Atlas Senior Loan Fund XXIII, Ltd. (6)(7) | Subordinated Note, (effective yield 17.88%, maturity July 20, 2037) | 01/13/25 | 4475 | 1927 | 1872 | 0.96% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Atlas Senior Loan Fund XXIV, Ltd. (5)(6) | Subordinated Note, (effective yield 13.52%, maturity January 20, 2038) | 01/31/25 | 3010 | 1562 | 1709 | 0.88% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bain Capital Credit CLO 2024-3, Limited (5)(6)(7) | Subordinated Note, (effective yield 11.95%, maturity July 16, 2037) | 05/29/24 | 4490 | 2726 | 2559 | 1.31% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Balboa Bay Loan Funding 2024-2 Ltd (5)(6)(7)(8) | Subordinated Note, (effective yield 13.64%, maturity January 20, 2038) | 12/11/24 | 7000 | 4743 | 4478 | 2.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Battalion CLO IV Ltd. (5)(6)(9) | Income Note, (effective yield 0.00%, maturity July 15, 2031) | 09/24/24 | 2500 | 79 | 13 | 0.01% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Battalion CLO XV Ltd. (5)(6) | Subordinated Note, (effective yield 13.98%, maturity January 17, 2033) | 11/21/24 | 2000 | 578 | 390 | 0.20% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Battalion CLO XV Ltd. (6)(8) | Subordinated Note, (effective yield 13.19%, maturity January 17, 2033) | 09/24/24 | 4100 | 1184 | 800 | 0.41% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Battalion CLO XX Ltd. (5)(6) | Subordinated Note, (effective yield 12.1%, maturity April 15, 2038) | 10/19/23 | 3140 | 867 | 816 | 0.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Benefit Street Partners CLO XIV Ltd. (5)(6) | Subordinated Note, (effective yield 17.35%, maturity October 20, 2037) | 12/21/23 | 830 | 163 | 185 | 0.09% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Blue Owl BSL CLO 2025-1, Ltd. (5)(6)(9)(13) | Subordinated Note, (effective yield 14.78%, maturity January 20, 2039) | 12/11/25 | 2740 | 1967 | 1913 | 0.98% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlueMountain CLO XXV Ltd. (5)(7) | Subordinated Note, (effective yield 17.23%, maturity January 15, 2038) | 11/12/25 | 7215 | 2558 | 2597 | 1.33% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Boyce Park CLO, Ltd (5)(6) | Subordinated Note, (effective yield 8.56%, maturity April 21, 2035) | 08/15/24 | 840 | 406 | 328 | 0.17% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bridge Street CLO I Ltd. (5)(7)(8) | Subordinated Note, (effective yield 12.12%, maturity July 20, 2037) | 02/19/25 | 3500 | 1879 | 1711 | 0.88% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bridge Street CLO III Ltd. (5)(6)(7) | Subordinated Note, (effective yield 12.96%, maturity October 20, 2034) | 01/31/25 | 1680 | 987 | 966 | 0.50% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bridge Street CLO V Ltd. (5)(7) | Subordinated Note, (effective yield 13.51%, maturity April 20, 2038) | 02/21/25 | 20500 | 15116 | 14145 | 7.25% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Canyon CLO 2019-1, Ltd. (5)(7) | Subordinated Note, (effective yield 8.26%, maturity July 15, 2037) | 09/20/24 | 14423 | 6032 | 5120 | 2.63% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CarVal CLO IV Ltd. (5)(6) | Subordinated Note, (effective yield 18.43%, maturity July 20, 2034) | 10/24/25 | 3508 | 977 | 982 | 0.50% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cedar Funding IX CLO, Ltd. (5)(6) | Subordinated Note, (effective yield 10.87%, maturity July 20, 2037) | 01/17/25 | 3950 | 1206 | 1067 | 0.55% |

---

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---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CIFC Funding 2014-II-R, Ltd. (5)(6) | Subordinated Note, (effective yield 17.61%, maturity April 24, 2030) | 04/02/25 | $6200 | $1056 | $772 | 0.40% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CIFC Funding 2018-IV, Ltd. (5)(6) | Subordinated Note, (effective yield 14.10%, maturity October 17, 2031) | 06/11/25 | 2220 | 811 | 710 | 0.36% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crown City CLO I (5)(6) | Subordinated Note, (effective yield 13.29%, maturity July 20, 2038) | 11/07/23 | 6850 | 2188 | 2055 | 1.05% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crown City CLO II (5)(6)(7) | Subordinated Note, (effective yield 11.53%, maturity April 20, 2035) | 08/21/24 | 5217 | 1783 | 1565 | 0.80% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crown City CLO III (5)(6) | Subordinated Note, (effective yield 7.43%, maturity July 20, 2034) | 03/21/24 | 5580 | 1944 | 1451 | 0.74% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crown Point CLO 11 Ltd. (5)(6) | Subordinated Note, (effective yield 15.82%, maturity February 28, 2038) | 11/13/25 | 1200 | 614 | 624 | 0.32% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eaton Vance CLO 2019-1, Ltd. (5)(6) | Subordinated Note, (effective yield 8.09%, maturity April 15, 2031) | 01/23/25 | 1800 | 609 | 524 | 0.27% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Elmwood CLO 24 Ltd. (5)(6)(7) | Subordinated Note, (effective yield 14.7%, maturity December 11, 2033) | 02/27/25 | 8000 | 5616 | 4343 | 2.23% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Empower CLO 2022-1, LLC (5)(6)(7) | Subordinated Note, (effective yield 16.08%, maturity October 20, 2037) | 10/30/24 | 13620 | 10602 | 8717 | 4.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Generate CLO 2 Ltd. (5)(6) | Subordinated Note, (effective yield 9.36%, maturity October 22, 2037) | 03/18/25 | 7058 | 2229 | 1623 | 0.83% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Generate CLO 9 Ltd. (5)(7) | Subordinated Note, (effective yield 11.45%, maturity October 20, 2034) | 08/04/25 | 5550 | 3166 | 2839 | 1.46% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Greywolf CLO II, Ltd. (5)(6) | Subordinated Note, (effective yield 13.49%, maturity April 15, 2034) | 04/03/24 | 1930 | 391 | 343 | 0.18% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Greywolf CLO II, Ltd. (5)(6) | Subordinated Note, (effective yield 15.54%, maturity April 15, 2034) | 04/03/24 | 1370 | 279 | 261 | 0.13% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Greywolf CLO II, Ltd. (6) | Subordinated Note, (effective yield 15.54%, maturity April 15, 2034) | 11/17/23 | 1130 | 230 | 215 | 0.11% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HPS Loan Management 2025-24, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 12.13%, maturity April 25, 2038) | 02/18/25 | 2000 | 1612 | 1519 | 0.78% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICG US CLO 2021-3, Ltd. (5)(6) | Subordinated Note, (effective yield 15.88%, maturity October 20, 2034) | 05/30/24 | 2600 | 917 | 892 | 0.46% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KKR CLO 14 Ltd. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity August 15, 2031) | 07/22/24 | 1500 | 286 | 158 | 0.08% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LCM 32 Ltd. (5)(6) | Income Note, (effective yield 10.52%, maturity July 20, 2034) | 08/12/24 | 1640 | 335 | 268 | 0.14% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LCM 40 Ltd. (5)(6) | Income Note, (effective yield 8.85%, maturity January 15, 2036) | 07/25/25 | 1000 | 668 | 599 | 0.31% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Madison Park Funding LIX, Ltd. (5)(7) | Subordinated Note, (effective yield 13.64%, maturity April 18, 2037) | 02/11/25 | 2338 | 1407 | 1005 | 0.52% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Madison Park Funding XIX, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 22, 2037) | 11/12/24 | 2285 | 936 | 754 | 0.39% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Magnetite XXX, Limited (5)(7) | Subordinated Note, (effective yield 17.23%, maturity October 25, 2037) | 05/30/24 | 9793 | 6151 | 5451 | 2.80% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Marble Point CLO XX Ltd. (5)(6) | Income Note, (effective yield 7.70%, maturity April 23, 2051) | 07/25/24 | 2000 | 563 | 440 | 0.23% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Marble Point CLO XXII Ltd. (6) | Subordinated Note, (effective yield 8.98%, maturity July 25, 2050) | 05/14/24 | 5400 | 1046 | 810 | 0.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MDPK 2018-28A SUB (5)(6) | Subordinated Note, (effective yield 16.02%, maturity July 15, 2030) | 05/29/25 | 1290 | 554 | 445 | 0.23% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Monroe Capital MML CLO VI, Ltd. (5)(6) | Subordinated Note, (effective yield 51.76%, maturity April 15, 2030) | 12/18/24 | 3000 | 112 | 8 | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mountain View CLO 2017-2 Ltd. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 16, 2031) | 01/23/24 | 3000 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nassau 2018-II Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 15, 2031) | 03/28/24 | 1000 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Neuberger Berman CLO XVII, Ltd. (5)(6) | Subordinated Note, (effective yield 15.54%, maturity July 22, 2037) | 08/21/24 | 6200 | 953 | 1023 | 0.52% |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;New Mountain CLO 2 Ltd (5)(7) | Subordinated Note, (effective yield 17.19%, maturity April 15, 2034) | 12/13/24 | $11960 | $7196 | $6399 | 3.28% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oaktree CLO 2019-3, Ltd. (5)(7) | Subordinated Note, (effective yield 10.78%, maturity January 20, 2038) | 07/31/25 | 1750 | 1015 | 916 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oaktree CLO 2019-4, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 10.17%, maturity July 20, 2037) | 07/02/24 | 3400 | 1993 | 1726 | 0.88% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oaktree CLO 2020-1, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 13.49%, maturity January 15, 2038) | 07/18/24 | 8135 | 4560 | 4491 | 2.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oaktree CLO 2023-1, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 15.27%, maturity April 15, 2038) | 08/14/25 | 7310 | 4478 | 3947 | 2.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ocean Trails CLO V (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 13, 2031) | 08/12/25 | 3779 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Octagon Investment Partners 18-R, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 16, 2031) | 03/15/24 | 3651 |  | 3 | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Octagon Investment Partners 18-R, Ltd. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 16, 2031) | 10/26/23 | 5000 |  | 4 | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Octagon Investment Partners 40, Ltd. (5)(6) | Subordinated Note, (effective yield 11.23%, maturity January 20, 2035) | 09/11/25 | 2830 | 547 | 396 | 0.20% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Octagon Investment Partners 41, Ltd. (5)(6) | Subordinated Note, (effective yield 8.19%, maturity October 15, 2033) | 09/04/24 | 1270 | 348 | 267 | 0.14% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OHA Credit Partners X-R, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 14.76%, maturity April 20, 2038) | 09/09/25 | 7117 | 3178 | 2776 | 1.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OHA Loan Funding 2013-1, Ltd. (6) | Subordinated Note, (effective yield 31.03%, maturity April 23, 2037) | 11/12/24 | 875 | 346 | 236 | 0.12% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OSD CLO 2023-27, Ltd. (5)(7) | Subordinated Note, (effective yield 13.50%, maturity July 15, 2038) | 04/24/24 | 9060 | 5844 | 5843 | 3.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Park Blue CLO 2023-III, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 7.96%, maturity April 20, 2038) | 07/16/25 | 8000 | 4464 | 3680 | 1.89% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Park Blue CLO 2025-VIII, Ltd. (5)(6)(13) | Subordinated Note, (effective yield 10.22%, maturity October 25, 2038) | 08/21/25 | 7700 | 6966 | 6160 | 3.16% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PPM CLO 2 Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 16, 2037) | 04/24/24 | 1260 | 197 | 63 | 0.03% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Regatta 31 Funding Ltd. (5)(6)(7)(8) | Subordinated Note, (effective yield 13.54%, maturity March 25, 2038) | 02/21/25 | 1571 | 1364 | 1260 | 0.65% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Regatta II Funding LP (6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 15, 2029) | 02/27/25 | 5 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Regatta XV Funding Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 25, 2031) | 12/06/23 | 3500 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rockford Tower CLO 2022-3, Ltd. (5)(6) | Subordinated Note, (effective yield 11.43%, maturity July 20, 2037) | 10/24/24 | 1050 | 625 | 578 | 0.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rockford Tower Credit Funding I, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 11.44%, maturity April 20, 2040) | 09/15/25 | 1780 | 1083 | 1049 | 0.54% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;RR 5 LTD (5)(6) | Subordinated Note, (effective yield 14.46%, maturity July 15, 2039) | 04/30/25 | 2250 | 592 | 608 | 0.31% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Symphony CLO XXIII, Ltd. (6) | Subordinated Note, (effective yield 6.68%, maturity January 15, 2048) | 05/14/24 | 3000 | 847 | 510 | 0.26% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Symphony CLO XXVI, Ltd. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 20, 2033) | 01/09/24 | 1620 | 160 | 32 | 0.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TCW CLO 2021-1, Ltd. (5)(7) | Subordinated Note, (effective yield 11.27%, maturity January 20, 2038) | 02/26/25 | 8400 | 3499 | 2856 | 1.46% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TCW CLO 2023-1, Ltd. (5)(6) | Income Note, (effective yield 18.81%, maturity March 31, 2038) | 03/25/25 | 740 | 317 | 361 | 0.19% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TCW CLO 2023-1, LTD. (6) | Income Note, (effective yield 18.81%, maturity March 31, 2038) | 01/31/24 | 1600 | 685 | 780 | 0.40% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TCW CLO 2025-1, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 11.33%, maturity April 20, 2038) | 02/18/25 | 1775 | 1371 | 1305 | 0.67% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tralee CLO VII, Ltd. (5)(6) | Subordinated Note, (effective yield 17.90%, maturity April 25, 2034) | 11/06/25 | 1710 | 646 | 645 | 0.33% |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vibrant CLO XIII, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 11.53%, maturity July 15, 2034) | 05/21/24 | $7880 | $4279 | $3458 | 1.77% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vibrant CLO XV, Ltd. (5) | Subordinated Note, (effective yield 16.63%, maturity January 20, 2035) | 08/29/24 | 1510 | 701 | 664 | 0.34% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Voya CLO 2024-3, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 12.36%, maturity July 20, 2037) | 06/18/24 | 9400 | 6377 | 6228 | 3.19% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Voya CLO 2024-5, Ltd. (5)(7) | Subordinated Note, (effective yield 11.77%, maturity October 15, 2037) | 10/18/24 | 10000 | 6914 | 6250 | 3.20% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Voya CLO 2025-1, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 12.39%, maturity April 20, 2038) | 02/12/25 | 3200 | 2705 | 2640 | 1.35% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wellfleet CLO 2021-3, Ltd. (5)(6)(8) | Subordinated Note, (effective yield 26.56%, maturity January 15, 2035) | 09/11/24 | 7600 | 1987 | 1845 | 0.95% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wind River 2019-3 CLO Ltd. (5)(6) | Subordinated Note, (effective yield 21.98%, maturity January 15, 2038) | 05/30/25 | 12710 | 1429 | 1779 | 0.91% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wind River 2021-1 CLO Ltd. (5)(6)(7)(8) | Subordinated Note, (effective yield 17.7%, maturity July 20, 2037) | 07/12/24 | 4650 | 1780 | 1884 | 0.97% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ZAIS CLO 3, Limited (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 15, 2031) | 10/17/25 | 1530 | 15 |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ZAIS CLO 3, LLC (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 15, 2031) | 10/17/25 | 1723 | 17 |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ZAIS CLO 6, Limited (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 15, 2029) | 07/09/25 | 3387 | 71 |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ZAIS CLO 9, Limited (6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 20, 2031) | 02/08/24 | 720 |  |  | —% |
| **Total Collateralized Loan Obligations - Equity, United States** | **Total Collateralized Loan Obligations - Equity, United States** | **Total Collateralized Loan Obligations - Equity, United States** | **Total Collateralized Loan Obligations - Equity, United States** | $**207087** | $**187323** | **96.05%** |
| &nbsp;&nbsp;**European Union—Various** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Structured Finance** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oak Hill European Credit Partners VII DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 20, 2031) | 05/23/24 | $2348 | $— | $— | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;St. Paul's CLO IV DAC (6) | Subordinated Note, (effective yield 6.92%, maturity April 25, 2030) | 05/31/24 | 1644 | 533 | 419 | 0.21% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;St. Paul's CLO VII DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 18, 2034) | 04/05/24 | 1761 | 563 | 518 | 0.27% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Barings Euro CLO 2021-1 DAC (5)(6) | Subordinated Note, (effective yield 0.25%, maturity April 24, 2034) | 02/12/25 | 1468 | 397 | 294 | 0.15% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlyle Global Market Strategies Euro CLO 2014-2 DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity November 17, 2031) | 01/22/25 | 2348 | 194 | 59 | 0.03% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BNPP IP Euro CLO 2015-1 B.V. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 15, 2030) | 01/21/25 | 1761 | 217 | 9 | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Invesco Euro CLO I DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 15, 2031) | 03/27/24 | 2313 | 361 | 46 | 0.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlyle Euro CLO 2019-2 DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity August 15, 2032) | 03/27/25 | 294 | 50 | 28 | 0.01% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Barings Euro CLO 2020-1 DAC (6)(7) | Subordinated Note, (effective yield 3.70%, maturity October 21, 2034) | 02/13/25 | 3522 | 1351 | 1057 | 0.54% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Invesco Euro CLO V DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 15, 2034) | 03/27/24 | 2019 | 559 | 20 | 0.01% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jubilee CLO 2021-XXV DAC (7)(9) | Subordinated Note, (effective yield 0.00%, maturity October 15, 2035) | 01/27/25 | 2348 | 1084 | 914 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Palmer Square European Loan Funding 2022-1 DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 15, 2031) | 03/27/24 | 2747 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tikehau CLO XIII DAC (6)(7) | Subordinated Note, (effective yield 8.52%, maturity October 15, 2038) | 02/27/25 | 2348 | 1800 | 1867 | 0.96% |
| &nbsp;&nbsp;**Total Collateralized Loan Obligations - Equity, European Union—Various** | &nbsp;&nbsp;**Total Collateralized Loan Obligations - Equity, European Union—Various** | &nbsp;&nbsp;**Total Collateralized Loan Obligations - Equity, European Union—Various** | &nbsp;&nbsp;**Total Collateralized Loan Obligations - Equity, European Union—Various** | $**7111** | $**5231** | **2.68%** |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| **Total Collateralized Loan Obligations - Equity** | **Total Collateralized Loan Obligations - Equity** | **Total Collateralized Loan Obligations - Equity** | **Total Collateralized Loan Obligations - Equity** | $**214198** | $**192554** | **98.73%** |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| **Bank Debt Term Loan** | **Bank Debt Term Loan** | **Bank Debt Term Loan** | **Bank Debt Term Loan** | | | |
| &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | | | |
| &nbsp;&nbsp;&nbsp;&nbsp;**Automotive** | | | | | | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Brands Group LLC (6) | Bank Debt Term Loan, 10.99% (SOFR + 7.11%, maturity March 30, 2027) | 09/29/25 | $50 | $18 | $— | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Brands Group LLC (6) | Bank Debt Term Loan, 13.84% (SOFR + 10.00%, maturity June 29, 2026) | 11/10/25 | 20 | 19 | 4 | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Brands Group LLC (6) | Bank Debt Term Loan, 10.84% (SOFR + 7.00%, maturity June 29, 2026) | 12/03/25 | 57 | 5 | 1 | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Beverage, Food & Tobacco** | &nbsp;&nbsp;&nbsp;&nbsp;**Beverage, Food & Tobacco** | &nbsp;&nbsp;&nbsp;&nbsp;**Beverage, Food & Tobacco** | &nbsp;&nbsp;&nbsp;&nbsp;**Beverage, Food & Tobacco** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Isagenix International LLC (6) | Bank Debt Term Loan, 11.49% (SOFR + 7.60%, maturity September 22, 2027) | 07/31/25 | 102 | 8 | 8 | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Moran Foods LLC (6) | Bank Debt Term Loan, 11.02% (SOFR + 7.35%, maturity June 30, 2026) | 07/31/25 | 242 |  | 29 | 0.01% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Chemicals, Plastics & Rubber** | &nbsp;&nbsp;&nbsp;&nbsp;**Chemicals, Plastics & Rubber** | &nbsp;&nbsp;&nbsp;&nbsp;**Chemicals, Plastics & Rubber** | &nbsp;&nbsp;&nbsp;&nbsp;**Chemicals, Plastics & Rubber** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Flint Group Topco Limited (6) | Bank Debt Term Loan, 11.12% (SOFR + 7.26%, maturity December 31, 2027) | 10/01/24 | 636 | 27 | 45 | 0.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Retail / Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Retail / Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Retail / Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Retail / Consumer Goods: Non-Durable** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Solaray, LLC (6) | Bank Debt Term Loan, 10.55% (SOFR + 6.85%, maturity December 15, 2028) | 09/24/24 | 291 | 252 | 254 | 0.13% |
| **Total Bank Debt Term Loan** | **Total Bank Debt Term Loan** | **Total Bank Debt Term Loan** | **Total Bank Debt Term Loan** | $**330** | $**341** | **0.17%** |
| **Common Stock** | **Common Stock** | **Common Stock** | **Common Stock** |  |  |  |
| &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Aerospace & Defense** | &nbsp;&nbsp;&nbsp;&nbsp;**Aerospace & Defense** | &nbsp;&nbsp;&nbsp;&nbsp;**Aerospace & Defense** | &nbsp;&nbsp;&nbsp;&nbsp;**Aerospace & Defense** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;New Constellis Holdings Inc (6) | Common Stock | 09/19/24 | $7 | $— | $— | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Banking, Finance, Insurance & Real Estate** | &nbsp;&nbsp;&nbsp;&nbsp;**Banking, Finance, Insurance & Real Estate** | &nbsp;&nbsp;&nbsp;&nbsp;**Banking, Finance, Insurance & Real Estate** | &nbsp;&nbsp;&nbsp;&nbsp;**Banking, Finance, Insurance & Real Estate** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Resolute Investment Managers Inc (6) | Common Stock | 09/19/24 | 7 | 32 | 32 | 0.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Chemicals, Plastics & Rubber** | &nbsp;&nbsp;&nbsp;&nbsp;**Chemicals, Plastics & Rubber** | &nbsp;&nbsp;&nbsp;&nbsp;**Chemicals, Plastics & Rubber** | &nbsp;&nbsp;&nbsp;&nbsp;**Chemicals, Plastics & Rubber** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Flint Group Topco Limited (6) | Common Stock | 10/23/24 | 438 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Metals & Mining** | &nbsp;&nbsp;&nbsp;&nbsp;**Metals & Mining** | &nbsp;&nbsp;&nbsp;&nbsp;**Metals & Mining** | &nbsp;&nbsp;&nbsp;&nbsp;**Metals & Mining** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FORESIGHT ENERGY LLC (6) | Common Stock | 05/08/24 | 2 | 10 | 8 | —% |
| **Total Common Stock** | **Total Common Stock** | **Total Common Stock** | **Total Common Stock** | $**42** | $**41** | **0.02%** |
| **Private Corporations** | **Private Corporations** | **Private Corporations** | **Private Corporations** |  |  |  |
| &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Banking, Finance, Insurance & Real Estate** | &nbsp;&nbsp;&nbsp;&nbsp;**Banking, Finance, Insurance & Real Estate** | &nbsp;&nbsp;&nbsp;&nbsp;**Banking, Finance, Insurance & Real Estate** | &nbsp;&nbsp;&nbsp;&nbsp;**Banking, Finance, Insurance & Real Estate** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chief Power Finance LLC (6) | Private Equity Fund | 07/31/25 | $— | $34 | $26 | 0.01% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Beverage, Food & Tobacco** | &nbsp;&nbsp;&nbsp;&nbsp;**Beverage, Food & Tobacco** | &nbsp;&nbsp;&nbsp;&nbsp;**Beverage, Food & Tobacco** | &nbsp;&nbsp;&nbsp;&nbsp;**Beverage, Food & Tobacco** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Moran Foods LLC (6) | Private Corporation | 07/31/25 | 540 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Consumer Goods: Non-Durable** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Isagenix International LLC (6) | Private Corporation | 07/31/25 | 6 |  |  | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Containers, Packaging & Glass** | &nbsp;&nbsp;&nbsp;&nbsp;**Containers, Packaging & Glass** | &nbsp;&nbsp;&nbsp;&nbsp;**Containers, Packaging & Glass** | &nbsp;&nbsp;&nbsp;&nbsp;**Containers, Packaging & Glass** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIBBEY GLASS INC. (6) | Private Corporation | 07/31/25 | 4 | 9 | 9 | —% |
| **Total Private Corporations** | **Total Private Corporations** | **Total Private Corporations** | **Total Private Corporations** | $**44** | $**36** | **0.02%** |
| **Warrants** | **Warrants** | **Warrants** | **Warrants** |  |  |  |
| &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Services: Business** | &nbsp;&nbsp;&nbsp;&nbsp;**Services: Business** | &nbsp;&nbsp;&nbsp;&nbsp;**Services: Business** | &nbsp;&nbsp;&nbsp;&nbsp;**Services: Business** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Careerbuilder, LLC (6)(9) | Warrant | 02/21/25 | $— | $— | $— | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;**Retail / Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Retail / Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Retail / Consumer Goods: Non-Durable** | &nbsp;&nbsp;&nbsp;&nbsp;**Retail / Consumer Goods: Non-Durable** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;New Trojan Parent, Inc. (6)(9) | Warrant | 09/19/24 | 3 |  |  | —% |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Issuer**<sup>(1)</sup> | **Investment Description** | **Acquisition Date**<sup>(2)</sup> | **Principal Amount/Shares** | **Cost** | **Fair Value**<sup>(3)</sup> | **% of Net Assets** |
| **Total Warrants** | **Total Warrants** | **Total Warrants** | **Total Warrants** | $**—** | $**—** | **— %** |
| **Other Investments** | **Other Investments** | **Other Investments** | **Other Investments** |  |  |  |
| &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Mortgage-related—Residential** | &nbsp;&nbsp;&nbsp;&nbsp;**Mortgage-related—Residential** | &nbsp;&nbsp;&nbsp;&nbsp;**Mortgage-related—Residential** | &nbsp;&nbsp;&nbsp;&nbsp;**Mortgage-related—Residential** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Government National Mortgage Association (6)(10) | Secured Note - Class JI, 6.56% (SOFR + 1.21% due December 20, 2060) | 06/06/13 | $28 | $2 | $2 | —% |
| **Total Other Investments** | **Total Other Investments** | **Total Other Investments** | **Total Other Investments** | $**2** | $**2** | **— %** |
| **Total Investments** | **Total Investments** | **Total Investments** | **Total Investments** | $**395742** | $**369885** | **189.65%** |
| **Cash Equivalents** | **Cash Equivalents** | **Cash Equivalents** | **Cash Equivalents** |  |  |  |
| &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** | &nbsp;&nbsp;**United States (4)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Funds** | &nbsp;&nbsp;&nbsp;&nbsp;**Funds** | &nbsp;&nbsp;&nbsp;&nbsp;**Funds** | &nbsp;&nbsp;&nbsp;&nbsp;**Funds** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Government Institutional Class, 3.69% | Money Market Fund |  | $23109 | $23109 | $23109 | 11.85% |
| **Total Cash Equivalents** | **Total Cash Equivalents** | **Total Cash Equivalents** | **Total Cash Equivalents** | $**23109** | $**23109** | 11.85% |
| **Total Investments and Cash Equivalents** | **Total Investments and Cash Equivalents** | **Total Investments and Cash Equivalents** | **Total Investments and Cash Equivalents** | $**418851** | $**392994** | **201.50%** |

---

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| **Counterparty** | **Reference Index** | **Transaction Type** | **Fixed Rate Amount** | **Payment Frequency** | **Termination Date** | **Notional Amount** | **Payments Upfront** | **Unrealized Appreciation/(Depreciation)** | **Fair Value** |
|  |  |  |  |  |  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| J.P. Morgan Chase Bank, N.A. | CDX.NA.HY.S45 | Purchased protection | 5.00% | Quarterly | 12/20/30 | $30000 | $(2282) | $(49) | $(2331) |
| J.P. Morgan Chase Bank, N.A. | ITRX.EUR.XOVER.S36 | Purchased protection | 5.00% | Quarterly | 12/20/26 | 46961 | (3049) | 826 | (2223) |
| J.P. Morgan Chase Bank, N.A. | ITRX.EUR.XOVER.S38 | Purchased protection | 5.00% | Quarterly | 12/20/27 | 11740 | (933) | 27 | (906) |
| **Total Credit Default Swaps** | **Total Credit Default Swaps** | **Total Credit Default Swaps** | **Total Credit Default Swaps** | **Total Credit Default Swaps** | **Total Credit Default Swaps** | **Total Credit Default Swaps** | $**(6264)** | $**804** | $**(5460)** |
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| **Counterparty** | **Reference Index** | **Transaction Type** | **Fixed Rate Amount** | **Payment Frequency** | **Termination Date** | **Notional Amount** | **Payments Upfront** | **Unrealized Appreciation/(Depreciation)** | **Fair Value** |
|  |  |  |  |  |  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| J.P. Morgan Chase Bank, N.A. | SOFR | Receive floating rate / pay fixed rate | 3.39% | Annual | 11/07/28 | $3050 | $— | $(3) | $(3) |
| **Total Interest Rate Swaps** | **Total Interest Rate Swaps** | **Total Interest Rate Swaps** | **Total Interest Rate Swaps** | **Total Interest Rate Swaps** | **Total Interest Rate Swaps** | **Total Interest Rate Swaps** | $**—** | $**(3)** | $**(3)** |
| **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** |
| **Underlying** | **Underlying** | **Transaction Type** | **Number of Contracts** | **Payment Frequency** | **Expiration Date** | **Notional Amount** | **Payments Upfront** | **Unrealized Appreciation/(Depreciation)** | **Fair Value** |
|  |  |  |  |  |  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| Currency-Euro | Currency-Euro | Contract to sell | 131 | Payment on expiration | 03/16/26 | $16375 | $— | $(139) | $(139) |
| **Total Currency Futures Contracts** | **Total Currency Futures Contracts** | **Total Currency Futures Contracts** | **Total Currency Futures Contracts** | **Total Currency Futures Contracts** | **Total Currency Futures Contracts** | **Total Currency Futures Contracts** | $**—** | $**(139)** | $**(139)** |
| **Exchange Traded Options** | **Exchange Traded Options** | **Exchange Traded Options** | **Exchange Traded Options** | **Exchange Traded Options** | **Exchange Traded Options** | **Exchange Traded Options** | **Exchange Traded Options** | **Exchange Traded Options** | **Exchange Traded Options** |
| **Reference Index / Underlying** | **Reference Index / Underlying** | **Transaction Type** | **Strike Price** | **Payment Frequency** | **Expiration Date** | **Notional Amount**<sup>(12)</sup> | **Cost** | **Unrealized Appreciation/(Depreciation)** | **Fair Value** |
|  |  |  |  |  |  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| iShares Russell 2000 ETF | iShares Russell 2000 ETF | Put | 200 | Payment on expiration | 05/15/26 | $20000 | $314 | $(142) | $172 |
| Russell 2000 Index | Russell 2000 Index | Put | 1870 | Payment on expiration | 03/20/26 | 54230 | 658 | (539) | 119 |

---

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** | **ELLINGTON CREDIT COMPANY** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** | **CONSOLIDATED SCHEDULE OF INVESTMENTS** |
| **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** | **DECEMBER 31, 2025** |
| **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** | **(UNAUDITED)** |
| Russell 2000 Index | Russell 2000 Index | Put | 2000 | Payment on expiration | 03/20/26 | 47000 | 330 | (170) | 160 |
| Russell 2000 Index | Russell 2000 Index | Put | 1950 | Payment on expiration | 06/18/26 | 21450 | 197 | 17 | 214 |
| Russell 2000 Index | Russell 2000 Index | Put | 2000 | Payment on expiration | 06/18/26 | 58000 | 715 | (49) | 667 |
| S&P 500 Index | S&P 500 Index | Put | 5250 | Payment on expiration | 06/18/26 | 31500 | 214 | 10 | 224 |
| S&P 500 Index | S&P 500 Index | Put | 5500 | Payment on expiration | 06/18/26 | 33000 | 280 | 11 | 292 |
| State Street Blackstone Senior Loan ETF | State Street Blackstone Senior Loan ETF | Put | 39 | Payment on expiration | 05/15/26 | 3327 | 12 | (2) | 9 |
| **Total Exchange Traded Options** | **Total Exchange Traded Options** | **Total Exchange Traded Options** | **Total Exchange Traded Options** | **Total Exchange Traded Options** | **Total Exchange Traded Options** | **Total Exchange Traded Options** | $**2720** | $**(863)** | $**1856** |
| **Over the Counter Options** | **Over the Counter Options** | **Over the Counter Options** | **Over the Counter Options** | **Over the Counter Options** | **Over the Counter Options** | **Over the Counter Options** | **Over the Counter Options** | **Over the Counter Options** | **Over the Counter Options** |
| **Counterparty** | **Reference Index** | **Transaction Type**<sup>(11)</sup> | **Strike Price** | **Payment Frequency** | **Termination Date** | **Notional Amount**<sup>(12)</sup> | **Cost** | **Unrealized Appreciation/(Depreciation)** | **Fair Value** |
|  |  |  |  |  |  | *(In thousands)* | *(In thousands)* | *(In thousands)* | *(In thousands)* |
| J.P. Morgan Chase Bank, N.A. | CDX.NA.HY.S45 | Put | 85 | Payment on settlement | 02/18/26 | $80000 | $419 | $(339) | $80 |
| **Total Over the Counter Options** | **Total Over the Counter Options** | **Total Over the Counter Options** | **Total Over the Counter Options** | **Total Over the Counter Options** | **Total Over the Counter Options** | **Total Over the Counter Options** | $**419** | $**(339)** | $**80** |

---

&nbsp;&nbsp;&nbsp;&nbsp;(1)The Fund does not "control" and is not an "affiliate" of any of its portfolio companies, each as defined in the 1940 Act. In general, under the 1940 Act, the Fund would be presumed to "control" a portfolio company if it owned more than 25% of the voting securities and would be an "affiliate" of a portfolio company if Fund owned 5% or more of its voting securities.

&nbsp;&nbsp;&nbsp;&nbsp;(2)Acquisition date represents date the investment was initially acquired by the Fund and may be earlier than the date at which the Fund converted to a RIC.

&nbsp;&nbsp;&nbsp;&nbsp;(3)Fair value is determined by the Adviser in accordance with written valuation policies and procedures, subject to oversight by the Fund's Board, in accordance with Rule 2a-5 under the 1940 Act.

&nbsp;&nbsp;&nbsp;&nbsp;(4)Represents the principal country or region of risk where the investment has exposure.

&nbsp;&nbsp;&nbsp;&nbsp;(5)144(a)—Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers.

&nbsp;&nbsp;&nbsp;&nbsp;(6)Investment is categorized as Level 3 per the Fund's fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;(7)All or a portion of the security is pledged as collateral for Reverse Repurchase Agreements.

&nbsp;&nbsp;&nbsp;&nbsp;(8)Fair Value and Amortized Cost includes fee rebates related to the Fund's interest in CLO Subordinated notes.

&nbsp;&nbsp;&nbsp;&nbsp;(9)As of December 31, 2025, this investment is non-income producing.

&nbsp;&nbsp;&nbsp;&nbsp;(10)Principal amount represents the interest-only notional amount.

&nbsp;&nbsp;&nbsp;&nbsp;(11)Represents the option on the part of the Fund to enter into a credit default swap on a corporate bond index whereby the Fund would pay a fixed rate and receive credit protection payments.

&nbsp;&nbsp;&nbsp;&nbsp;(12)Notional value represents the number of underlying index units multiplied by the reference price on the underlying index and the contract size.

&nbsp;&nbsp;&nbsp;&nbsp;(13)Investment is co-invested with certain of the Fund's affiliates.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Ellington Credit Co

- **b. Investment Company Act file number:** 811-24071

- **c. CIK number of Registrant:** 0001560672

- **d. LEI of Registrant:** 549300KA3MR2ZCRGA787

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

  - **Street Address 1:** 53 Forest Avenue

  - **City:** Old Greenwich

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06870

  - **Telephone number:** 203-698-1200

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

- **a. Name of Series:** Ellington Credit Co

- **c. LEI of Series:** 549300KA3MR2ZCRGA787

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

- **a. Date of fiscal year-end:** 2026-03-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $414962172.54

**Total Liabilities:** $219928543.32

**Net Assets:** $195033629.22

**Delayed Delivery Securities:** $5572773.15

**Cash Not Reported:** $1161423.43

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** -402.000000000000 | **1-Year:** 27522.000000000000 | **5-Year:** 91610.000000000000 | **10-Year:** 1961.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -5.06%               | 8.14%                | -1.21%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $38934.84                | $-8993757.14                               |
| Month 2  | $491389.65               | $-10819411.71                              |
| Month 3  | $139473.99               | $-7712905.70                               |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Madison Park Funding Ltd                                                | Madison Park Funding XXVIII Ltd                                         | CUSIP: 55821BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $445159.01    | 0.23%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding LIX Ltd                                            | CUSIP: 55822FAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2337704 | PA      | $1005212.72   | 0.52%             | 2037-04-18      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XIX Ltd                                            | CUSIP: 55819RAE5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |   2285000 | PA      | $754050.00    | 0.39%             | 2037-01-22      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Madison Park Euro Funding                                               | Madison Park Euro Funding XIV DAC                                       | CUSIP: BCC343DN9<br>LEI: 635400XLHN7OVUSEV112 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1750976.10   | 0.90%             | 2032-07-15      | Floating      | 10.85%                | Yes           | 2                  | On Loan: No      |
| LIBBEY GLASS INC EQUITY                                                 | LIBBEY GLASS INC EQUITY                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |      4400 | NS      | $9460.00      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| LCM Ltd Partnership                                                     | LCM 40 Ltd                                                              | CUSIP: 50190RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $599400.00    | 0.31%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| LCM 32 Ltd                                                              | LCM 32 Ltd                                                              | CUSIP: 50204BAA2<br>LEI: 549300PWEMQKJMMXR454 | Long             | ABS-CBDO         | CORP              | KY        |   1640000 | PA      | $268195.91    | 0.14%             | 2034-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown Point CLO Ltd                                                     | Crown Point CLO 10 Ltd                                                  | CUSIP: 22846GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1661750.00   | 0.85%             | 2034-07-20      | Floating      | 11.00%                | Yes           | 2                  | On Loan: No      |
| Crown City CLO                                                          | Crown City CLO III                                                      | CUSIP: 228234AC4<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |   5580000 | PA      | $1450800.00   | 0.74%             | 2034-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown City CLO I                                                        | Crown City CLO I                                                        | CUSIP: 22823TAC9<br>LEI: 549300K60T4GC7BSX929 | Long             | ABS-CBDO         | CORP              | KY        |   6850000 | PA      | $2055000.00   | 1.05%             | 2038-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown City CLO                                                          | Crown City CLO II                                                       | CUSIP: 22823JAC1<br>LEI: 549300TQXORNUWLBOD84 | Long             | ABS-CBDO         | CORP              | KY        |   5217081 | PA      | $1565124.30   | 0.80%             | 2035-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown City CLO                                                          | Crown City CLO III                                                      | CUSIP: 228234AA8<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1922000.00   | 0.99%             | 2034-07-20      | Floating      | 10.90%                | Yes           | 2                  | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                                           | Crestline Denali CLO XV Ltd                                             | CUSIP: 22616BAE5<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500375.00   | 0.77%             | 2030-04-20      | Floating      | 10.50%                | Yes           | 2                  | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2014-II Ltd                                                | CUSIP: BCC26UNI9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $772340.14    | 0.40%             | 2037-10-24      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2018-IV Ltd                                                | CUSIP: 17182HAE6<br>LEI: 254900PA63PFHC11GD90 | Long             | ABS-CBDO         | CORP              | KY        |   2220000 | PA      | $710400.00    | 0.36%             | 2038-01-17      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CHIEF POWER REORG EQUITY                                                | CHIEF POWER REORG EQUITY                                                | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |       200 | NS      | $26000.00     | 0.01%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Cedar Funding Ltd                                                       | Cedar Funding IX CLO Ltd                                                | CUSIP: 15033FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3950000 | PA      | $1066500.00   | 0.55%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CDXHY45_FEB26_P102                                                      | CDXHY45_FEB26_P102                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $79796.51     | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| CDX.NA.HY.45                                                            | CDX.NA.HY.45                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-2330799.08  | -1.20%            |  |  |  | No            | 2                  | On Loan: No      |
| Carlyle Global Market Strategies                                        | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd                    | CUSIP: BCC2I1Y49<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |   1557000 | PA      | $1814722.52   | 0.93%             | 2031-11-15      | Floating      | 7.76%                 | No            | 2                  | On Loan: No      |
| Carlyle Global Market Strategies                                        | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd                    | CUSIP: BCC275SQ0<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $58701.25     | 0.03%             | 2031-11-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Carlyle Global Market Strategi                                          | Carlyle Global Market Strategies CLO 2015-5 Ltd                         | CUSIP: 14311QAN7<br>LEI: 5493007AYUHLOG0AMH17 | Long             | ABS-CBDO         | CORP              | KY        |   3800000 | PA      | $3733913.44   | 1.91%             | 2032-01-20      | Floating      | 10.85%                | Yes           | 2                  | On Loan: No      |
| Carlyle Euro CLO                                                        | Carlyle Euro CLO 2019-2 DAC                                             | CUSIP: BCC2KFRN1<br>LEI: 63540012YBWEYXRWOE16 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $27883.09     | 0.01%             | 2032-08-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Careismatic Brands Warrants                                             | Careismatic Brands Warrants                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      3363 | NS      | $33.63        | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Canyon Capital CLO Ltd                                                  | Canyon Capital CLO 2019-1 Ltd                                           | CUSIP: 13887UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $642352.02    | 0.33%             | 2037-07-15      | Floating      | 11.40%                | Yes           | 2                  | On Loan: No      |
| Canyon Capital CLO Ltd                                                  | Canyon Capital CLO 2019-1 Ltd                                           | CUSIP: 13887UAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14423000 | PA      | $5120165.00   | 2.63%             | 2037-07-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Bridge Street CLO Ltd                                                   | Bridge Street CLO III Ltd                                               | CUSIP: 10806GAC3<br>LEI: 254900PNW8DFFG2S8664 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $966000.00    | 0.50%             | 2034-10-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Bridge Street CLO Ltd                                                   | Bridge Street CLO V Ltd                                                 | CUSIP: 107922AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20500000 | PA      | $14145000.00  | 7.25%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Bridge Street CLO Ltd                                                   | Bridge Street CLO I Ltd                                                 | CUSIP: 10806AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $1645000.00   | 0.84%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| BRDGS-2020-1A-FEE                                                       | BRDGS-2020-1A-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $65541.06     | 0.03%             | 2037-07-20      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Boyce Park CLO, LLC                                                     | Boyce Park Clo Ltd                                                      | CUSIP: 103226AC0<br>LEI: 54930028S3PFXX4SMQ72 | Long             | ABS-CBDO         | CORP              | JE        |    840000 | PA      | $327518.10    | 0.17%             | 2035-04-21      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Bosphorus CLO                                                           | Bosphorus CLO V DAC                                                     | CUSIP: BCC2LZ997<br>LEI: 635400MHW87IZ2JWGW83 | Long             | ABS-CBDO         | CORP              | IE        |   1700000 | PA      | $1998824.63   | 1.02%             | 2032-12-12      | Floating      | 11.57%                | No            | 2                  | On Loan: No      |
| BOBA-2024-2-FEE                                                         | BOBA-2024-2-FEE                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $68258.33     | 0.03%             | 2038-01-20      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| BNPP IP Euro CLO                                                        | BNPP IP Euro CLO 2015-1 DAC                                             | CUSIP: BCC28WY91<br>LEI: 635400BBJ1EYLLVTFD31 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $8805.19      | 0.00%             | 2030-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Bluemountain CLO Ltd                                                    | BlueMountain CLO XXV Ltd                                                | CUSIP: 09630CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7215000 | PA      | $2597400.00   | 1.33%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Blue Owl BSL CLO Ltd                                                    | Blue Owl BSL CLO 2025-1 Ltd                                             | CUSIP: 09580PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $1912520.00   | 0.98%             | 2039-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Benefit Street Partners CLO Ltd                                         | Benefit Street Partners CLO XIV Ltd                                     | CUSIP: 08181NAC7<br>LEI: 5493008E17UEFI73RC63 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $184556.39    | 0.09%             | 2037-10-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                                       | Battalion CLO XX Ltd                                                    | CUSIP: 07134VAC9<br>LEI: 549300CDYR56PY734566 | Long             | ABS-CBDO         | CORP              | KY        |   3140318 | PA      | $816482.68    | 0.42%             | 2038-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                                       | Battalion CLO IX Ltd                                                    | CUSIP: 07132HAA6<br>LEI: 549300JMWGEYZEC6GK98 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $12500.00     | 0.01%             | 2031-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Barings Euro CLO                                                        | Barings Euro CLO 2020-1 DAC                                             | CUSIP: BCC2PIPN2<br>LEI: 5493007R4SFFXIAHHB67 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $1056622.50   | 0.54%             | 2038-10-21      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Ballyrock Ltd                                                           | Ballyrock CLO 19 Ltd                                                    | CUSIP: 05876AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2130000 | PA      | $2108495.52   | 1.08%             | 2035-04-20      | Floating      | 10.99%                | Yes           | 2                  | On Loan: No      |
| Balboa Bay Loan Funding Ltd                                             | Balboa Bay Loan Funding 2024-2 Ltd                                      | CUSIP: 05765BAC3<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $4410000.00   | 2.26%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2022-2 Ltd                                      | CUSIP: 05683XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1620000 | PA      | $1570136.40   | 0.81%             | 2035-04-22      | Floating      | 11.21%                | Yes           | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2017-2 Ltd                                      | CUSIP: 05682TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6560000 | PA      | $6439578.08   | 3.30%             | 2037-07-25      | Floating      | 11.20%                | Yes           | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2024-3 Ltd                                      | CUSIP: 05685UAC8<br>LEI: 254900SOM2S14IE3BZ76 | Long             | ABS-CBDO         | CORP              | KY        |   4490000 | PA      | $2559300.00   | 1.31%             | 2037-07-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Atlas Static Senior Loan Fund                                           | Atlas Static Senior Loan Fund I Ltd                                     | CUSIP: 04942QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2970000 | PA      | $2978910.00   | 1.53%             | 2030-07-15      | Floating      | 12.41%                | Yes           | 2                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XXVII CLO Ltd                                                   | CUSIP: 92331TAA1<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $194098.76    | 0.10%             | 2030-07-20      | Floating      | 10.50%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XXII CLO Ltd                                                    | CUSIP: 92331JAG0<br>LEI: 549300ERIHFJJFMGMG87 | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $197600.00    | 0.10%             | 2031-01-15      | Floating      | 9.82%                 | Yes           | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas Clo IX Ltd                                                     | CUSIP: BCC2I26X4<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2052843.75   | 1.05%             | 2032-01-20      | Floating      | 10.40%                | No            | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO VI Ltd                                                     | CUSIP: 89641BAG8<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1285622.43   | 0.66%             | 2034-01-25      | Floating      | 12.83%                | Yes           | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO VI Ltd                                                     | CUSIP: 89641BAE3<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $918994.34    | 0.47%             | 2034-01-25      | Floating      | 10.94%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO XVI Ltd                                                    | CUSIP: 89642EAA4<br>LEI: 5493004FCKEPFTK2QI86 | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1353884.13   | 0.69%             | 2034-07-20      | Floating      | 11.15%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO XII Ltd                                                    | CUSIP: 89641NAE7<br>LEI: 254900G1XMKSN9WBVL66 | Long             | ABS-CBDO         | CORP              | KY        |   1890000 | PA      | $1888955.78   | 0.97%             | 2033-04-25      | Floating      | 11.52%                | Yes           | 2                  | On Loan: No      |
| Tralee CLO Ltd                                                          | Tralee CLO V Ltd                                                        | CUSIP: 89300GAE4<br>LEI: 54930005YIOSJ9Z81114 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $328000.00    | 0.17%             | 2034-10-20      | Floating      | 13.04%                | Yes           | 3                  | On Loan: No      |
| Toro European CLO                                                       | Toro European CLO 6 DAC                                                 | CUSIP: BCC2KI4H3<br>LEI: 635400SBMZDOVHEFNA56 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1281154.78   | 0.66%             | 2032-01-12      | Floating      | 10.52%                | Yes           | 3                  | On Loan: No      |
| Tikehau                                                                 | Tikehau CLO XIII DAC                                                    | CUSIP: BCC3KTRH2<br>LEI: 6354006QUI9OYIL7LT78 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $1866699.75   | 0.96%             | 2038-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| TCW Ltd                                                                 | TCW CLO 2023-1 Ltd                                                      | CUSIP: BCC38TBP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $780325.60    | 0.40%             | 2038-03-31      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| TCW Ltd                                                                 | TCW CLO 2025-1 LTD                                                      | CUSIP: 872409AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1775000 | PA      | $1304761.68   | 0.67%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| TCW Ltd                                                                 | TCW CLO 2023-1 Ltd                                                      | CUSIP: 871976AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $360900.59    | 0.19%             | 2038-03-31      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| TCW CLO 2021-1, Ltd.                                                    | TCW CLO 2021-1 Ltd                                                      | CUSIP: 87190LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8400000 | PA      | $2856000.00   | 1.46%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XXVI Ltd                                                   | CUSIP: BCC2D1MU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $32400.00     | 0.02%             | 2033-04-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Rockford Tower Europe CLO                                               | Rockford Tower Europe CLO 2021-2 DAC                                    | CUSIP: BCC33CC43<br>LEI: 635400YECCYPH8KGMC48 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1170648.53   | 0.60%             | 2035-01-24      | Floating      | 10.97%                | No            | 2                  | On Loan: No      |
| Rockford Tower Credit Funding                                           | Rockford Tower Credit Funding I Ltd                                     | CUSIP: 77341VAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $1049254.82   | 0.54%             | 2040-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2022-3 Ltd                                           | CUSIP: 77341YAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $577500.00    | 0.30%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Resolute Investment Equity                                              | Resolute Investment Equity                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      7213 | NS      | $32458.50     | 0.02%             |  |  |  | No            | 3                  | On Loan: No      |
| Invesco Euro CLO                                                        | Invesco Euro CLO IV DAC                                                 | CUSIP: BCC2MRWZ0<br>LEI: 549300LLUOZ9GWTWJV80 | Long             | ABS-CBDO         | CORP              | IE        |   1321000 | PA      | $1410531.75   | 0.72%             | 2033-04-15      | Floating      | 7.37%                 | No            | 3                  | On Loan: No      |
| Invesco Euro CLO                                                        | Invesco Euro CLO I DAC                                                  | CUSIP: BCC2I8AE8<br>LEI: 549300GHZE7CYFQDBC40 | Long             | ABS-CBDO         | CORP              | IE        |   1970000 | PA      | $46256.59     | 0.02%             | 2031-07-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Invesco Euro CLO                                                        | Invesco Euro CLO V DAC                                                  | CUSIP: BCC2Q8F53<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |   1720000 | PA      | $20193.23     | 0.01%             | 2034-01-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US Clo 2021-3 Ltd                                                   | CUSIP: 449249AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $891571.80    | 0.46%             | 2034-10-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Apidos CLO Ltd                                                          | Apidos CLO XLII Ltd                                                     | CUSIP: 03770HAE4<br>LEI: 213800XUV3WLXWBKOJ53 | Long             | ABS-CBDO         | CORP              | JE        |   1070000 | PA      | $794389.40    | 0.41%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Apidos CLO Ltd                                                          | Apidos CLO L                                                            | CUSIP: 03771LAE4<br>LEI: 2549007IRDJIM26V8J63 | Long             | ABS-CBDO         | CORP              | KY        |   6600000 | PA      | $4455000.00   | 2.28%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Apidos CLO                                                              | Apidos CLO XXXIV                                                        | CUSIP: 03768XAE3<br>LEI: 5493001VH1Y9SEPJKZ47 | Long             | ABS-CBDO         | CORP              | KY        |  14822000 | PA      | $7202745.86   | 3.69%             | 2039-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Anchorage Credit Funding Ltd.                                           | Anchorage Credit Funding 6 Ltd                                          | CUSIP: 03330MAA4<br>LEI: 5493009BD57D5LVN7Y80 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $66800.00     | 0.03%             | 2036-07-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                                  | Park Avenue Institutional Advisers CLO Ltd 2017-1                       | CUSIP: 70018FAJ8<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $1634127.77   | 0.84%             | 2034-02-14      | Floating      | 10.60%                | Yes           | 2                  | On Loan: No      |
| Parallel Ltd                                                            | Parallel 2020-1 Ltd                                                     | CUSIP: 69917BAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $980872.80    | 0.50%             | 2034-07-20      | Floating      | 10.65%                | Yes           | 2                  | On Loan: No      |
| Octagon Investment Partners 44                                          | Octagon Investment Partners 44 Ltd                                      | CUSIP: 675713AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3920000 | PA      | $3292800.00   | 1.69%             | 2034-10-15      | Floating      | 10.92%                | Yes           | 2                  | On Loan: No      |
| Northwoods Capital Ltd                                                  | Northwoods Capital 27 Ltd                                               | CUSIP: 66860YAA3<br>LEI: 254900WP3D5TE62YH237 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1105407.26   | 0.57%             | 2034-10-17      | Floating      | 11.18%                | Yes           | 2                  | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40                                          | Octagon Investment Partners 40 Ltd                                      | CUSIP: 67592EAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2830000 | PA      | $396200.00    | 0.20%             | 2035-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39                                          | Octagon Investment Partners 39 Ltd                                      | CUSIP: 67592AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1609000 | PA      | $1609000.00   | 0.82%             | 2030-10-20      | Floating      | 9.90%                 | Yes           | 2                  | On Loan: No      |
| OCP Euro CLO                                                            | OCP Euro Clo 2022-6 DAC                                                 | CUSIP: BCC3N7BF8<br>LEI: 635400KHBQOJVEDAGW16 | Long             | ABS-CBDO         | CORP              | IE        |   2100000 | PA      | $2398392.19   | 1.23%             | 2036-07-20      | Floating      | 10.62%                | No            | 2                  | On Loan: No      |
| FIRST BRANDS GROUP LLC DIP PIK TERM  1L SuperP Sr. Secd                 | FIRST BRANDS GROUP LLC DIP PIK TERM  1L SuperP Sr. Secd                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     20000 | PA      | $3950.00      | 0.00%             | 2026-06-29      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Empower CLO Ltd.                                                        | Empower CLO 2022-1 Ltd                                                  | CUSIP: 29246YAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13620000 | PA      | $8716800.00   | 4.47%             | 2037-10-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XXVI CLO Ltd                                                    | CUSIP: 92331HAA7<br>LEI: 549300XGJ8CFTLD6FC04 | Long             | ABS-CBDO         | CORP              | KY        |   1614272 | PA      | $800550.90    | 0.41%             | 2029-01-20      | Floating      | 10.95%                | Yes           | 3                  | On Loan: No      |
| Elmwood CLO 24 Ltd                                                      | Elmwood CLO 24 Ltd                                                      | CUSIP: 29002NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $4342736.00   | 2.23%             | 2038-01-17      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Eaton Vance CDO Ltd                                                     | Eaton Vance CLO 2019-1 Ltd                                              | CUSIP: 27830VAE0<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $524034.46    | 0.27%             | 2037-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 54 Senior Loan Fund                                              | CUSIP: 26244RAE1<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1659767.27   | 0.85%             | 2029-10-19      | Floating      | 10.35%                | Yes           | 2                  | On Loan: No      |
| Dryden Leveraged Loan CDO                                               | Dryden 69 Euro CLO 2018 DAC                                             | CUSIP: BCC334JJ1<br>LEI: 635400AQJGNDIM4VWO36 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2324569.50   | 1.19%             | 2034-10-18      | Floating      | 8.37%                 | No            | 2                  | On Loan: No      |
| Dryden Euro CLO                                                         | Dryden 73 Euro CLO 2018 DAC                                             | CUSIP: BCC2LVQQ9<br>LEI: 635400CVKY7QXAYGH934 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2308133.15   | 1.18%             | 2034-01-15      | Floating      | 8.85%                 | No            | 2                  | On Loan: No      |
| Crown Point CLO Ltd                                                     | Crown Point CLO 9 Ltd                                                   | CUSIP: 22846EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2478798.10   | 1.27%             | 2034-07-14      | Floating      | 10.93%                | Yes           | 2                  | On Loan: No      |
| Crown Point CLO Ltd                                                     | Crown Point CLO 11 Ltd                                                  | CUSIP: 22845KAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $624000.00    | 0.32%             | 2038-02-28      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                              | Atlas Senior Loan Fund XXIV Ltd                                         | CUSIP: 04943QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3010000 | PA      | $1709303.75   | 0.88%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                              | Atlas Senior Loan Fund XIV                                              | CUSIP: 04942DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $956725.00    | 0.49%             | 2032-07-20      | Floating      | 11.09%                | Yes           | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                              | Atlas Senior Loan Fund X Ltd                                            | CUSIP: 04942KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1634204.72   | 0.84%             | 2031-01-15      | Floating      | 9.87%                 | Yes           | 2                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                                              | Atlas Senior Loan Fund XXIII Ltd                                        | CUSIP: BCC3G6BX9<br>LEI: 213800M7WM9TKCR3TF76 | Long             | ABS-CBDO         | CORP              | JE        |   4475000 | PA      | $1871681.51   | 0.96%             | 2037-07-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| ARES CLO Ltd                                                            | Ares Loan Funding IX Ltd                                                | CUSIP: 03990JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $2691000.00   | 1.38%             | 2038-03-31      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| ARES CLO Ltd                                                            | Ares XLIII CLO Ltd                                                      | CUSIP: 04017AAC4<br>LEI: 549300ECLIGB6OZRBA51 | Long             | ABS-CBDO         | CORP              | KY        |   7519000 | PA      | $1774484.00   | 0.91%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| ARES CLO Ltd                                                            | Ares XXXIX CLO Ltd                                                      | CUSIP: 04016BAC3<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $4200000.00   | 2.15%             | 2037-07-18      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Aqueduct European CLO                                                   | Aqueduct European Clo 7-2022 DAC                                        | CUSIP: BCC3GVLJ4<br>LEI: 54930004RGI0BI0FRK80 | Long             | ABS-CBDO         | CORP              | IE        |   1515000 | PA      | $1725890.90   | 0.88%             | 2037-08-15      | Floating      | 10.42%                | No            | 2                  | On Loan: No      |
| Apidos CLO Ltd                                                          | Apidos CLO XVIII-R                                                      | CUSIP: 03767QAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4171300 | PA      | $1571468.41   | 0.81%             | 2038-01-22      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Wind River CLO Ltd                                                      | THL Credit Wind River 2019-3 Clo Ltd                                    | CUSIP: 87249WAC1<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |  12710000 | PA      | $1779400.00   | 0.91%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                      | Wind River 2021-1 CLO Ltd                                               | CUSIP: 97314HAN9<br>LEI: 549300OBHD9JXBHL6R27 | Long             | ABS-CBDO         | CORP              | KY        |   4650000 | PA      | $1883250.00   | 0.97%             | 2034-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Whitehorse Ltd                                                          | WhiteHorse X Ltd                                                        | CUSIP: BCC28WVJ2<br>LEI: 549300UT33WDDDZEYN84 | Long             | ABS-CBDO         | CORP              | KY        |    286788 | PA      | $28.68        | 0.00%             | 2027-04-17      | Floating      | 10.39%                | No            | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                                       | Wellfleet Clo 2019-1 Ltd                                                | CUSIP: 94950QAA3<br>LEI: 254900IGQ7EODCWHCM84 | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1105531.61   | 0.57%             | 2032-07-20      | Floating      | 11.05%                | Yes           | 2                  | On Loan: No      |
| Ocean Trails CLO                                                        | Ocean Trails CLO V                                                      | CUSIP: 67515RAB3<br>LEI: 549300RX29DPTX81VW10 | Long             | ABS-CBDO         | CORP              | KY        |   3779167 | PA      | $377.91       | 0.00%             | 2031-10-13      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2020-1 Ltd                                                  | CUSIP: 67402GAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8135000 | PA      | $4490520.00   | 2.30%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2023-1 Ltd                                                  | CUSIP: 67389EAC3<br>LEI: 254900WZ1Z6PQ6U3P013 | Long             | ABS-CBDO         | CORP              | JE        |   7310000 | PA      | $3947400.00   | 2.02%             | 2038-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2019-4 Ltd                                                  | CUSIP: 67400JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $1725692.64   | 0.88%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XV Ltd                                                     | CUSIP: 87165KAE3<br>LEI: 549300JNP1PJXORD0Y06 | Long             | ABS-CBDO         | CORP              | KY        |   2084213 | PA      | $1895174.88   | 0.97%             | 2032-01-17      | Floating      | 10.47%                | Yes           | 3                  | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XXIII Ltd                                                  | CUSIP: BCC2PT658<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $510000.00    | 0.26%             | 2034-01-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| SWAP25-1678                                                             | SWAP25-1678                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-2841.45     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| State Street Blackstone Senior Loan ETF                                 | State Street Blackstone Senior Loan ETF                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       853 | NC      | $9272.11      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO VII DAC                                                   | CUSIP: BCC2H8F20<br>LEI: 635400XNW8X824E1MY52 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $518209.56    | 0.27%             | 2034-04-30      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO IV DAC                                                    | CUSIP: BCC2H8869<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1400000 | PA      | $419126.93    | 0.21%             | 2030-04-25      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO V DAC                                                     | CUSIP: BCC2DYTI7<br>LEI: 635400LOBVY9OW2EI809 | Long             | ABS-CBDO         | CORP              | IE        |   1650000 | PA      | $1065427.69   | 0.55%             | 2030-02-20      | Floating      | 8.63%                 | No            | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO IV DAC                                                    | CUSIP: BCC2H8851<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $821817.50    | 0.42%             | 2030-04-25      | Floating      | 8.64%                 | No            | 3                  | On Loan: No      |
| St Pauls CLO                                                            | St Paul's CLO IX DAC                                                    | CUSIP: BCC3536K2<br>LEI: 5493005PKRP7MRYF1M95 | Long             | ABS-CBDO         | CORP              | IE        |   1450000 | PA      | $936284.94    | 0.48%             | 2035-07-20      | Floating      | 11.93%                | No            | 3                  | On Loan: No      |
| SPX Index                                                               | SPX US 06/18/26 P5250                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        60 | NC      | $224400.00    | 0.12%             |  |  |  | No            | 1                  | On Loan: No      |
| SOLARAY LLC TERM  1L Sr. Secd                                           | SOLARAY LLC TERM  1L Sr. Secd                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    173034 | PA      | $138426.98    | 0.07%             | 2025-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC DELAYED DRAW TL (Add-On)                                    | SOLARAY LLC DELAYED DRAW TL (Add-On)                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    100055 | PA      | $97428.97     | 0.05%             | 2025-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC DELAYED DRAW TL                                             | SOLARAY LLC DELAYED DRAW TL                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     18271 | PA      | $17790.91     | 0.01%             | 2025-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Saratoga Investment Corp CLO Ltd                                        | Saratoga Investment Corp CLO 2013-1 Ltd                                 | CUSIP: 80349CAQ8<br>LEI: 549300471O2DE0Y4L506 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1249206.60   | 0.64%             | 2033-04-20      | Floating      | 11.65%                | Yes           | 3                  | On Loan: No      |
| RUY Index                                                               | RUT US 06/18/26 P2000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       290 | NC      | $666533.10    | 0.34%             |  |  |  | No            | 1                  | On Loan: No      |
| RUY Index                                                               | RUT US 06/18/26 P1950                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       110 | NC      | $213901.60    | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| RUY Index                                                               | RUT US 03/20/26 P2000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       235 | NC      | $159800.00    | 0.08%             |  |  |  | No            | 1                  | On Loan: No      |
| RUY Index                                                               | RUT US 03/20/26 P1870                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       290 | NC      | $118900.00    | 0.06%             |  |  |  | No            | 1                  | On Loan: No      |
| RR Ltd                                                                  | RR 5 Ltd                                                                | CUSIP: 74979RAC6<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $607500.00    | 0.31%             | 2039-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2019-3 Ltd                                                  | CUSIP: 67400GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $916326.32    | 0.47%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Oak Hill European Credit Partners PLC                                   | OAK Hill European Credit Partners VII DAC                               | CUSIP: BCC2HZRA9<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $234.81       | 0.00%             | 2031-10-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Oak Hill Credit                                                         | Oak Hill Credit Partners X-R Ltd                                        | CUSIP: 67106KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7116961 | PA      | $2775614.79   | 1.42%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| New Mountain CLO Ltd                                                    | New Mountain CLO 2 Ltd                                                  | CUSIP: 64754KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11960000 | PA      | $6398600.00   | 3.28%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| New Constellis Holdings Inc                                             | New Constellis Holdings Inc                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      7104 | NS      | $376.51       | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman CLO XVII Ltd                                           | CUSIP: 64129VAB9<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $1023000.00   | 0.52%             | 2037-07-22      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Nassau Euro CLO DAC                                                     | Nassau Euro CLO I DAC                                                   | CUSIP: BCC33DNP2<br>LEI: 549300PCQLS78GR4NH29 | Long             | ABS-CBDO         | CORP              | IE        |   1030000 | PA      | $1210455.00   | 0.62%             | 2034-12-15      | Floating      | 11.40%                | No            | 2                  | On Loan: No      |
| Nassau Euro CLO DAC                                                     | Nassau Euro CLO III DAC                                                 | CUSIP: BCC3P84S4<br>LEI: 549300EIADBLUQHC0A87 | Long             | ABS-CBDO         | CORP              | IE        |   1065000 | PA      | $1224204.98   | 0.63%             | 2039-10-15      | Floating      | 10.18%                | No            | 2                  | On Loan: No      |
| Nassau 2018-II, LTD                                                     | Nassau 2018-II Ltd                                                      | CUSIP: 63152QAC0<br>LEI: 549300TDGAMJFORBZE92 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $100.00       | 0.00%             | 2031-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| N/A                                                                     | SPX US 06/18/26 P5500                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        60 | NC      | $291600.00    | 0.15%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                     | EURO FX CURR FUT  Mar26                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -131 | NC      | $-138513.02   | -0.07%            |  |  |  | No            | 1                  | On Loan: No      |
| MOUNTAIN VIEW CLO                                                       | Mountain View CLO 2017-2 LLC                                            | CUSIP: BCC2F2R97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $300.00       | 0.00%             | 2031-01-16      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| MORAN FOODS LLC                                                         | MORAN FOODS LLC                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |    539650 | NS      | $0.00         | 0.00%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| MORAN FOODS 1L SECOND OUT PIK                                           | MORAN FOODS 1L SECOND OUT PIK                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     94787 | PA      | $899.07       | 0.00%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| MORAN FOODS 1L FIRST OUT PIK                                            | MORAN FOODS 1L FIRST OUT PIK                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    146879 | PA      | $27716.21     | 0.01%             | 2026-06-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Monroe Capital MML CLO VI LTD                                           | Monroe Capital MML CLO VI Ltd                                           | CUSIP: 61034LAC9<br>LEI: 254900SICWP7QQDX8T50 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $7755.25      | 0.00%             | 2030-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Marble Point CLO                                                        | Marble Point CLO XXII Ltd                                               | CUSIP: BCC31H4Y7<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |   5400000 | PA      | $810000.00    | 0.42%             | 2034-07-25      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Marble Point CLO XX Ltd                                                 | Marble Point CLO XX Ltd                                                 | CUSIP: 56607LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $440000.00    | 0.23%             | 2051-04-23      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Marble Point CLO Ltd.                                                   | Marble Point CLO XV Ltd                                                 | CUSIP: 56606XAA5<br>LEI: 549300CO8XB55W8SS394 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $837825.23    | 0.43%             | 2032-07-23      | Floating      | 10.95%                | Yes           | 2                  | On Loan: No      |
| Marathon CLO LTD                                                        | Marathon CLO VI Ltd                                                     | CUSIP: BCC2GDE70<br>LEI: 5493002F390212ZEF773 | Long             | ABS-CBDO         | CORP              | KY        |    359840 | PA      | $35.98        | 0.00%             | 2028-05-13      | Floating      | 10.25%                | No            | 3                  | On Loan: No      |
| Man Euro CLO                                                            | MAN Euro Clo 2023-1 DAC                                                 | CUSIP: BCC3CJ7S1<br>LEI: 6354003VGPHCJJKCVD96 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1764168.95   | 0.90%             | 2036-10-15      | Floating      | 12.16%                | Yes           | 2                  | On Loan: No      |
| Magnetite CLO Ltd                                                       | Magnetite Xxx Ltd                                                       | CUSIP: 55953VAC6<br>LEI: 549300RI4HRUG7CFWM27 | Long             | ABS-CBDO         | CORP              | KY        |   9793000 | PA      | $5451436.60   | 2.80%             | 2037-10-25      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXXV Ltd                                           | CUSIP: 55819LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1640652.62   | 0.84%             | 2032-04-20      | Floating      | 10.25%                | Yes           | 2                  | On Loan: No      |
| ITRX.EUR.XOVR.36.10-20                                                  | ITRX.EUR.XOVR.36.10-20                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-2222516.62  | -1.14%            |  |  |  | No            | 2                  | On Loan: No      |
| Carysfort Park CLO                                                      | Carysfort Park CLO DAC                                                  | CUSIP: BCC2R5N00<br>LEI: 254900X3LEXBMRCA3Y50 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2342938.69   | 1.20%             | 2034-07-28      | Floating      | 10.46%                | No            | 2                  | On Loan: No      |
| CarVal CLO IV Ltd.                                                      | CarVal CLO IV Ltd.                                                      | CUSIP: 14687FAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3507919 | PA      | $982217.32    | 0.50%             | 2038-03-31      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                                       | Battalion Clo XV Ltd                                                    | CUSIP: BCC2MR200<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $799500.00    | 0.41%             | 2033-01-17      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Battalion CLO LTD                                                       | Battalion Clo XV Ltd                                                    | CUSIP: 07131CAC4<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $390000.00    | 0.20%             | 2033-01-17      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| BATLN-2020-15-FEE                                                       | BATLN-2020-15-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $410.00       | 0.00%             | 2033-01-17      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Babson Euro CLO B.V.                                                    | Barings Euro CLO 2021-1 DAC                                             | CUSIP: BCC2R9ZP4<br>LEI: 549300D83T2O13OUPP03 | Long             | ABS-CBDO         | CORP              | IE        |   1250000 | PA      | $293506.25    | 0.15%             | 2034-04-24      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Regatta XV Funding Ltd.                                                 | Regatta XV Funding Ltd                                                  | CUSIP: 75888PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $0.00         | 0.00%             | 2031-10-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| REGATTA II FUNDING LP                                                   | Regatta II Funding LP                                                   | CUSIP: 75886J208<br>LEI: 549300K4VRY4OIWYX443 | Long             | EP               | CORP              | KY        |      5000 | NS      | $0.50         | 0.00%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Regatta 31 Funding Ltd.                                                 | Regatta 31 Funding Ltd                                                  | CUSIP: 758981AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1571237 | PA      | $1260196.50   | 0.65%             | 2038-03-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Ravensdale Park CLO DAC                                                 | Ravensdale Park CLO DAC                                                 | CUSIP: BCC3KY2J4<br>LEI: 635400MNQH1BW5SAW895 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2242387.75   | 1.15%             | 2038-04-25      | Floating      | 9.41%                 | No            | 2                  | On Loan: No      |
| PPM CLO 2 Ltd.                                                          | PPM CLO 2 Ltd                                                           | CUSIP: 69377RAC4<br>LEI: 549300JBW1DIZLGMSY83 | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $63000.00     | 0.03%             | 2037-04-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Park Blue CLO Ltd                                                       | Park Blue CLO 2025-VIII Ltd                                             | CUSIP: 70019XAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7700000 | PA      | $6160000.00   | 3.16%             | 2038-10-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Park Blue CLO Ltd                                                       | Park Blue CLO 2025-VIII Ltd                                             | CUSIP: 70019XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $95000.00     | 0.05%             | 2038-10-25      | Floating      | 12.11%                | Yes           | 3                  | On Loan: No      |
| KKR Financial CLO Ltd                                                   | KKR CLO 14 Ltd                                                          | CUSIP: BCC2BBF03<br>LEI: 635400KULUKCVCJXZX78 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $157500.00    | 0.08%             | 2028-07-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Generate CLO Ltd.                                                       | Generate CLO 9 LTD                                                      | CUSIP: 37147MAC1<br>LEI: 549300OYEZ11WGJ2SS19 | Long             | ABS-CBDO         | CORP              | KY        |   5550000 | PA      | $2838825.00   | 1.46%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Generate CLO Ltd.                                                       | Generate CLO 2 Ltd                                                      | CUSIP: 98625RAC3<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |   7058000 | PA      | $1623340.00   | 0.83%             | 2037-10-22      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Jubilee CDO BV                                                          | Jubilee CLO 2017-XIX DAC                                                | CUSIP: BCC3LKLV5<br>LEI: 635400EAATDD7VO6VC73 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3437610.18   | 1.76%             | 2038-04-25      | Floating      | 10.77%                | Yes           | 2                  | On Loan: No      |
| Jubilee CDO BV                                                          | Jubilee CLO 2013-X DAC                                                  | CUSIP: BCC3027X0<br>LEI: 635400BEM2JFGBOYIE25 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $838926.08    | 0.43%             | 2034-07-15      | Floating      | 10.57%                | No            | 2                  | On Loan: No      |
| Jubilee CDO BV                                                          | Jubilee CLO 2021-XXV DAC                                                | CUSIP: BCC33DH38<br>LEI: 635400APBYBGXMTWEE61 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $914050.58    | 0.47%             | 2035-10-15      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Jamestown CLO Ltd                                                       | Jamestown CLO IX Ltd                                                    | CUSIP: 47048KAH3<br>LEI: 254900NFTK4YH0WYT485 | Long             | ABS-CBDO         | CORP              | KY        |   1895000 | PA      | $1859562.39   | 0.95%             | 2034-07-25      | Floating      | 10.36%                | Yes           | 2                  | On Loan: No      |
| ITRX.EUR.XOVR.38.10-20                                                  | ITRX.EUR.XOVR.38.10-20                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-906231.41   | -0.46%            |  |  |  | No            | 2                  | On Loan: No      |
| iShares Russell 2000 ETF                                                | IWM US 05/15/26 P200                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      1000 | NC      | $171500.00    | 0.09%             |  |  |  | No            | 1                  | On Loan: No      |
| ISAGENIX_EQUITY                                                         | ISAGENIX_EQUITY                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |      6300 | NS      | $63.00        | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| ISAGENIX INTL TERM  1L SR. SECD 5/3/2023                                | ISAGENIX INTL TERM  1L SR. SECD 5/3/2023                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    102407 | PA      | $8192.54      | 0.00%             | 2027-09-22      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Invesco Euro CLO XIV DAC                                                | Invesco Euro CLO XIV DAC                                                | CUSIP: BCC3J9996<br>LEI: 635400MNIFG73L1C7S65 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $269291.98    | 0.14%             | 2038-01-15      | Floating      | 10.58%                | Yes           | 3                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US CLO 2014-2 Ltd                                                   | CUSIP: 44929CAJ8<br>LEI: 635400O9MVLOIBCDSR77 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1534750.00   | 0.79%             | 2031-01-15      | Floating      | 9.37%                 | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US CLO 2017-1 Ltd                                                   | CUSIP: 449254AD3<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2342250.00   | 1.20%             | 2034-07-28      | Floating      | 11.48%                | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US CLO 2014-1 Ltd                                                   | CUSIP: 44928YAN2<br>LEI: 25490053S2JSJU63Y978 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3836000.00   | 1.97%             | 2034-10-20      | Floating      | 12.50%                | Yes           | 2                  | On Loan: No      |
| HPS Loan Management Ltd                                                 | HPS Loan Management 2025-24 Ltd                                         | CUSIP: 44332YAE2<br>LEI: 213800UJ8Z9IW1VRPP64 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1519000.00   | 0.78%             | 2038-04-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Henley Funding Ltd.                                                     | Henley Clo XIII DAC                                                     | CUSIP: BCC3N3P39<br>LEI: 635400GYWK6CANWU6S92 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1162025.02   | 0.60%             | 2038-10-15      | Floating      | 10.44%                | No            | 2                  | On Loan: No      |
| Hayfin Emerald CLO                                                      | Hayfin Emerald CLO VI DAC                                               | CUSIP: BCC3PLM97<br>LEI: 635400KMHFAB5ZUQED83 | Long             | ABS-CBDO         | CORP              | IE        |    840000 | PA      | $967004.11    | 0.50%             | 2038-10-15      | Floating      | 7.91%                 | No            | 2                  | On Loan: No      |
| Harvest CLO                                                             | Harvest Clo XXIX DAC                                                    | CUSIP: BCC3GDSD0<br>LEI: 635400UTMKWBSVMHDJ97 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3363581.63   | 1.72%             | 2037-07-15      | Floating      | 10.63%                | No            | 2                  | On Loan: No      |
| HalseyPoint CLO Ltd.                                                    | HalseyPoint CLO 4 Ltd                                                   | CUSIP: 40637NAA4<br>LEI: 549300CMJUK1VCINNF57 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1216132.00   | 0.62%             | 2034-04-20      | Floating      | 10.86%                | Yes           | 2                  | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                                 | HalseyPoint CLO 3 Ltd                                                   | CUSIP: 40638VAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    860000 | PA      | $861801.57    | 0.44%             | 2037-07-30      | Floating      | 11.95%                | Yes           | 2                  | On Loan: No      |
| Greywolf CLO Ltd                                                        | Greywolf CLO II Ltd                                                     | CUSIP: BCC2EN471<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1130000 | PA      | $214914.35    | 0.11%             | 2034-04-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                                        | Greywolf CLO II Ltd                                                     | CUSIP: 39808GAL0<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1370000 | PA      | $260559.87    | 0.13%             | 2034-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                                        | Greywolf CLO II Ltd                                                     | CUSIP: 39808GAJ5<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1930000 | PA      | $343133.49    | 0.18%             | 2034-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                | CUSIP: 38375BHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28076 | PA      | $1904.99      | 0.00%             | 2060-12-20      | Variable      | 1.21%                 | No            | 3                  | On Loan: No      |
| Canyon Capital CLO Ltd                                                  | Canyon Capital CLO 2016-1 Ltd                                           | CUSIP: BCC2GGS60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1423125.90   | 0.73%             | 2031-07-15      | Floating      | 9.92%                 | No            | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL XVII Ltd                                            | CUSIP: 34964NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2753575.00   | 1.41%             | 2034-10-23      | Floating      | 12.01%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL VI Ltd                                              | CUSIP: 34959GAA2<br>LEI: 549300QQ2ENLX323MX94 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $959708.20    | 0.49%             | 2031-07-23      | Floating      | 10.57%                | Yes           | 2                  | On Loan: No      |
| FORESIGHT ENERGY EQUITY                                                 | FORESIGHT ENERGY EQUITY                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      2381 | NS      | $7961.47      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| FLINT GROUP TOPCO LTD PIK TERM B 2L Secd                                | FLINT GROUP TOPCO LTD PIK TERM B 2L Secd                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    636096 | PA      | $44924.26     | 0.02%             | 2027-12-31      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Flint Group A Common Shares                                             | Flint Group A Common Shares                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |    438201 | NS      | $0.00         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Allegro CLO Ltd                                                         | Allegro CLO VII Ltd                                                     | CUSIP: 01750DAC5<br>LEI: 635400EBXLHIKFL2MP73 | Long             | ABS-CBDO         | CORP              | KY        |   4120000 | PA      | $4.12         | 0.00%             | 2031-06-13      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Allegro CLO Ltd                                                         | Allegro CLO XI Ltd                                                      | CUSIP: 01750JAC2<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |   3074000 | PA      | $461100.00    | 0.24%             | 2033-01-19      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Aimco                                                                   | AIMCO CLO Series 2018-A                                                 | CUSIP: 00900HAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3690000 | PA      | $1631902.50   | 0.84%             | 2037-10-17      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| AG CC Funding II, Ltd.                                                  | AGCCM 2021-2A SUB                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |     26878 | NS      | $3466626.34   | 1.78%             |  |  |  | No            | 3                  | On Loan: No      |
| AB BSL CLO 1 Ltd.                                                       | AB BSL CLO 1 Ltd.                                                       | CUSIP: 00038JAC8<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-O            | CORP              | KY        |  14500000 | PA      | $5759545.00   | 2.95%             | 2038-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Zais CLO 6 LTD                                                          | Zais Clo 6 Ltd                                                          | CUSIP: 98887UAA3<br>LEI: 549300ZPQFDVEE67IB71 | Long             | ABS-CBDO         | CORP              | KY        |    468809 | PA      | $328166.22    | 0.17%             | 2029-07-15      | Floating      | 11.17%                | Yes           | 3                  | On Loan: No      |
| ZAIS CLO 3, Limited                                                     | ZCLO3 2015-3A INC 07/15/2031                                            | CUSIP: 98887KAA5<br>LEI: 549300SYHU0CNKIXQ691 | Long             | ABS-CBDO         | CORP              | KY        |   1723318 | PA      | $172.33       | 0.00%             | 2031-07-15      | Fixed         | 0.00%                 | Yes           | 3                  | On Loan: No      |
| ZAIS CLO 3, LTD                                                         | Zais CLO 3 Ltd                                                          | CUSIP: 98887JAG5<br>LEI: 549300SYHU0CNKIXQ691 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $548767.51    | 0.28%             | 2031-07-15      | Floating      | 11.08%                | Yes           | 3                  | On Loan: No      |
| Zais CLO 13, Limited                                                    | Zais Clo 13 Ltd                                                         | CUSIP: 98876PAA7<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |   6520000 | PA      | $5506140.00   | 2.82%             | 2032-07-15      | Floating      | 12.82%                | Yes           | 2                  | On Loan: No      |
| Wind River CLO Ltd                                                      | Wind River 2019-3 CLO Ltd                                               | CUSIP: 97314GAG6<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1550000.00   | 0.79%             | 2038-01-15      | Floating      | 12.29%                | Yes           | 2                  | On Loan: No      |
| Wellfleet CLO Ltd                                                       | Wellfleet CLO 2021-3 Ltd                                                | CUSIP: 94951KAC1<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1194375.00   | 0.61%             | 2035-01-15      | Floating      | 11.27%                | Yes           | 2                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture 36 Clo Ltd                                                      | CUSIP: 92332MAA5<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $1400000.00   | 0.72%             | 2032-04-20      | Floating      | 11.07%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XXX CLO Ltd                                                     | CUSIP: 92331PAA9<br>LEI: 5493001R7OPCYBM5NH78 | Long             | ABS-CBDO         | CORP              | KY        |   1345000 | PA      | $403500.00    | 0.21%             | 2031-01-15      | Floating      | 10.47%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XVIII CLO Ltd                                                   | CUSIP: 92329HAH6<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | KY        |   2056329 | PA      | $1158762.51   | 0.59%             | 2029-10-15      | Floating      | 10.76%                | Yes           | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas Clo IX Ltd                                                     | CUSIP: 89641KAA1<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |   1330000 | PA      | $1213458.75   | 0.62%             | 2032-01-20      | Floating      | 10.40%                | Yes           | 2                  | On Loan: No      |
| 37 Capital CLO Ltd                                                      | 37 Capital Clo 1 Ltd                                                    | CUSIP: 88430QAA5<br>LEI: 549300GZ8MP9ZGVMJ424 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $1646787.00   | 0.84%             | 2034-10-15      | Floating      | 11.37%                | Yes           | 2                  | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XVI Ltd                                                    | CUSIP: 87165TAE4<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   2255000 | PA      | $1927005.07   | 0.99%             | 2031-10-15      | Floating      | 10.27%                | Yes           | 2                  | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2021-3 Ltd                                           | CUSIP: 77341PAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1890949.55   | 0.97%             | 2038-01-15      | Floating      | 11.32%                | Yes           | 2                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                                  | Park Avenue Institutional Advisers CLO Ltd 2021-2                       | CUSIP: 70019FAA6<br>LEI: 529900TR2RUYEEXPKF94 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2880716.58   | 1.48%             | 2034-07-15      | Floating      | 11.18%                | Yes           | 2                  | On Loan: No      |
| Marathon CLO LTD                                                        | Marathon CLO 2021-16 Ltd                                                | CUSIP: 56581DAE0<br>LEI: 549300VP041FQCCCOP44 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2425000.00   | 1.24%             | 2034-04-15      | Floating      | 10.75%                | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXIV Ltd                                           | CUSIP: 55820QAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $4048387.15   | 2.08%             | 2029-10-20      | Floating      | 10.93%                | Yes           | 2                  | On Loan: No      |
| 522 Funding CLO LTD                                                     | 522 Funding CLO 2019-5 Ltd                                              | CUSIP: 33830NAC0<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   4200000 | PA      | $543815.65    | 0.28%             | 2035-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Jamestown CLO Ltd,                                                      | Jamestown CLO XI Ltd                                                    | CUSIP: 47049AAA9<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1982200.71   | 1.02%             | 2031-07-14      | Floating      | 10.19%                | Yes           | 2                  | On Loan: No      |
| Greywolf CLO Ltd                                                        | Greywolf CLO II Ltd                                                     | CUSIP: 39808GAN6<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1973860.81   | 1.01%             | 2034-04-15      | Floating      | 11.22%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL XII Ltd                                             | CUSIP: 34963GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $936656.50    | 0.48%             | 2034-10-15      | Floating      | 11.30%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL Ltd                                                 | CUSIP: 34962YAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4950000 | PA      | $4916048.54   | 2.52%             | 2033-10-20      | Floating      | 11.53%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                                             | Fortress Credit BSL VIII Ltd                                            | CUSIP: 34962FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2760000.00   | 1.42%             | 2032-10-20      | Floating      | 11.16%                | Yes           | 3                  | On Loan: No      |
| Elevation CLO Ltd                                                       | Elevation CLO 2013-1 Ltd                                                | CUSIP: 28623GAE2<br>LEI: 549300D7IKXB86IQMC13 | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $3550140.00   | 1.82%             | 2038-07-25      | Floating      | 11.97%                | Yes           | 3                  | On Loan: No      |
| Carlyle Global Market Strategies                                        | Carlyle Global Market Strategies CLO 2015-1 Ltd                         | CUSIP: 14311EAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1120000 | PA      | $1113424.11   | 0.57%             | 2031-07-20      | Floating      | 11.09%                | Yes           | 2                  | On Loan: No      |
| Canyon Capital CLO Ltd                                                  | Canyon Capital CLO 2016-2 Ltd                                           | CUSIP: 13876WAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2092500.00   | 1.07%             | 2031-10-15      | Floating      | 10.17%                | Yes           | 2                  | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2014 Ltd                                                   | CUSIP: 12549LAG1<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |   1880000 | PA      | $1877297.07   | 0.96%             | 2031-01-18      | Floating      | 10.00%                | Yes           | 2                  | On Loan: No      |
| ZAIS6-2017-1A-FEE                                                       | ZAIS6-2017-1A-FEE                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   3387200 | PA      | $0.00         | 0.00%             | 2029-07-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Zais CLO 9, Limited                                                     | Zais Clo 9 Ltd                                                          | CUSIP: BCC2H3QK9<br>LEI: 549300GT2U4OLB9UL559 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $72.00        | 0.00%             | 2031-07-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Zais CLO 6 LTD                                                          | Zais Clo 6 Ltd                                                          | CUSIP: 98887UAB1<br>LEI: 549300ZPQFDVEE67IB71 | Long             | ABS-CBDO         | CORP              | KY        |   3387200 | PA      | $338.72       | 0.00%             | 2029-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| ZAIS CLO 3, Limited                                                     | ZAIS CLO 3, Limited                                                     | CUSIP: 98887JAE0<br>LEI: 549300SYHU0CNKIXQ691 | Long             | ABS-O            | CORP              | KY        |   1529932 | PA      | $152.99       | 0.00%             | 2031-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Woodmont Trust                                                          | Woodmont 2022-9 Trust                                                   | CUSIP: 97988RBL5<br>LEI: 254900XKHBCNXQQ84W37 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1013573.47   | 0.52%             | 2036-10-25      | Floating      | 11.63%                | Yes           | 2                  | On Loan: No      |
| WINDR 2021-1A VAR FEE LETTER                                            | WINDR 2021-1A VAR FEE LETTER                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $465.00       | 0.00%             | 2034-04-20      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Wind River CLO Ltd                                                      | Wind River 2022-1 CLO Ltd                                               | CUSIP: 97316GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2428125.00   | 1.24%             | 2035-07-20      | Floating      | 12.00%                | Yes           | 2                  | On Loan: No      |
| Wellfleet CLO Ltd                                                       | Wellfleet CLO 2021-4 Ltd                                                | CUSIP: 89300KAC9<br>LEI: 254900EH90TKUEDWUZ75 | Long             | ABS-CBDO         | CORP              | KY        |   1709636 | PA      | $645387.59    | 0.33%             | 2038-10-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                                       | Wellfleet CLO 2021-3 Ltd                                                | CUSIP: 94951KAA5<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   7600000 | PA      | $1844550.40   | 0.95%             | 2035-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| WELF-2021-3-FEE                                                         | WELF-2021-3-FEE                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $760.00       | 0.00%             | 2035-01-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Voya CLO Ltd                                                            | Voya CLO 2025-1 Ltd                                                     | CUSIP: 92945LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $2640000.00   | 1.35%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                                            | Voya 2024-3 LTD                                                         | CUSIP: 92944VAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9400000 | PA      | $6227500.00   | 3.19%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                                            | Voya CLO 2024-5 Ltd                                                     | CUSIP: 92891UAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $6250000.00   | 3.20%             | 2037-10-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Vibrant CLO Ltd                                                         | Vibrant Clo III Ltd                                                     | CUSIP: 92557UBE6<br>LEI: 54930073XIEUISQCY218 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $230000.00    | 0.12%             | 2031-10-20      | Floating      | 10.50%                | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                                         | Vibrant Clo XV Ltd                                                      | CUSIP: 92559FAE8<br>LEI: 5493000EZ05NPI8BXY34 | Long             | ABS-CBDO         | CORP              | KY        |   1510000 | PA      | $664400.00    | 0.34%             | 2035-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Vibrant CLO Ltd                                                         | Vibrant CLO XIII Ltd                                                    | CUSIP: 92557CAC1<br>LEI: 5493000EYXBYKZ0XIT83 | Long             | ABS-CBDO         | CORP              | KY        |   7880000 | PA      | $3457625.80   | 1.77%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                                         | Venture XV CLO Ltd                                                      | CUSIP: 92328LAH8<br>LEI: 549300UYHZCJPN3LMT03 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $525000.00    | 0.27%             | 2032-07-15      | Floating      | 11.36%                | Yes           | 3                  | On Loan: No      |
| Park Blue CLO Ltd                                                       | PARK BLUE CLO 2023-III LTD                                              | CUSIP: 70019BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $3680000.00   | 1.89%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Palmer Square European Loan Funding 2022-1 DAC                          | Palmer Square European Loan Funding 2022-1 DAC                          | CUSIP: BCC351L78<br>LEI: 549300OGFKGCPL337N48 | Long             | ABS-CBDO         | CORP              | IE        |   2340000 | PA      | $274.72       | 0.00%             | 2031-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Ozlme                                                                   | Sculptor European CLO I DAC                                             | CUSIP: BCC2R3J75<br>LEI: 635400VVYCGBQEIQI426 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $870239.35    | 0.45%             | 2034-04-18      | Floating      | 10.41%                | No            | 2                  | On Loan: No      |
| OZLM Ltd                                                                | OZLM XXIV Ltd                                                           | CUSIP: 67113EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2372047.60   | 1.22%             | 2032-07-20      | Floating      | 11.20%                | Yes           | 3                  | On Loan: No      |
| OZLM Ltd                                                                | OZLM XIX Ltd                                                            | CUSIP: 67112CAU1<br>LEI: 5493009C40QUU66J8E83 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1459623.12   | 0.75%             | 2035-01-15      | Floating      | 11.80%                | Yes           | 2                  | On Loan: No      |
| OSD CLO 2023-27, Ltd.                                                   | OCP CLO 2023-27 Ltd                                                     | CUSIP: 671024AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9060000 | PA      | $5843237.94   | 3.00%             | 2038-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| OHA Loan Funding Ltd                                                    | OHA Loan Funding 2013-1 Ltd                                             | CUSIP: BCC23IKH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $236250.00    | 0.12%             | 2037-04-23      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| OFSI Fund LTD                                                           | OFSI BSL XI Ltd                                                         | CUSIP: 67115RAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1591401.60   | 0.82%             | 2038-03-31      | Floating      | 11.95%                | Yes           | 2                  | On Loan: No      |
| Octagon Investment Partners Ltd                                         | Octagon Investment Partners 18-R Ltd                                    | CUSIP: BCC2G0YK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $3976.54      | 0.00%             | 2031-04-16      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Octagon Investment Partners Ltd                                         | Octagon Investment Partners 18-R Ltd                                    | CUSIP: 67590KAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3651162 | PA      | $2903.80      | 0.00%             | 2031-04-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners 50                                          | Octagon Investment Partners 50 Ltd                                      | CUSIP: 67592NAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1349250.00   | 0.69%             | 2035-01-15      | Floating      | 10.97%                | Yes           | 2                  | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 41                                          | Octagon Investment Partners 41 Ltd                                      | CUSIP: 67592GAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1270000 | PA      | $266700.00    | 0.14%             | 2033-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| First Eagle BSL CLO LLC                                                 | First Eagle BSL CLO 2019-1 Ltd                                          | CUSIP: 32010GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5590000 | PA      | $5378602.97   | 2.76%             | 2033-01-20      | Floating      | 11.85%                | Yes           | 2                  | On Loan: No      |
| FIRST BRANDS GROUP LLC TERM B 1L GTD SR. SECD                           | FIRST BRANDS GROUP LLC TERM B 1L GTD SR. SECD                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     50070 | PA      | $269.88       | 0.00%             | 2027-03-30      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| FIRST BRANDS GROUP LLC DIP PIK TERM  1L SuperP Sr. Secd (Second Rollup) | FIRST BRANDS GROUP LLC DIP PIK TERM  1L SuperP Sr. Secd (Second Rollup) | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     56750 | PA      | $993.13       | 0.00%             | 2026-06-29      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -448000 | OU      | $-448000.00   | -0.23%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1030000 | OU      | $-1030000.00  | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1352000 | OU      | $-1352000.00  | -0.69%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -791000 | OU      | $-791000.00   | -0.41%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -720000 | OU      | $-720000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -621000 | OU      | $-621000.00   | -0.32%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1506000 | OU      | $-1506000.00  | -0.77%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1177000 | OU      | $-1177000.00  | -0.60%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1042000 | OU      | $-1042000.00  | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -490000 | OU      | $-490000.00   | -0.25%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -635000 | OU      | $-635000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -719000 | OU      | $-719000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1960000 | OU      | $-1960000.00  | -1.00%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -914000 | OU      | $-914000.00   | -0.47%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2248000 | OU      | $-2248000.00  | -1.15%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -148000 | OU      | $-148000.00   | -0.08%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -884000 | OU      | $-884000.00   | -0.45%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1901000 | OU      | $-1901000.00  | -0.97%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1166000 | OU      | $-1166000.00  | -0.60%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1327000 | OU      | $-1327000.00  | -0.68%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -691000 | OU      | $-691000.00   | -0.35%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2135250 | OU      | $-2135250.00  | -1.09%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1325000 | OU      | $-1325000.00  | -0.68%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2705000 | OU      | $-2705000.00  | -1.39%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1553000 | OU      | $-1553000.00  | -0.80%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1303000 | OU      | $-1303000.00  | -0.67%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -462000 | OU      | $-462000.00   | -0.24%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -852000 | OU      | $-852000.00   | -0.44%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1263000 | OU      | $-1263000.00  | -0.65%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3361000 | OU      | $-3361000.00  | -1.72%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1970000 | OU      | $-1970000.00  | -1.01%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1747000 | OU      | $-1747000.00  | -0.90%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1119000 | OU      | $-1119000.00  | -0.57%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1388000 | OU      | $-1388000.00  | -0.71%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -645000 | OU      | $-645000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -730000 | OU      | $-730000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1343000 | OU      | $-1343000.00  | -0.69%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1139000 | OU      | $-1139000.00  | -0.58%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -461000 | OU      | $-461000.00   | -0.24%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -765482 | OU      | $-765481.91   | -0.39%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -397278 | OU      | $-397278.32   | -0.20%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1732861 | OU      | $-1732860.90  | -0.89%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -844124 | OU      | $-844123.98   | -0.43%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -793000 | OU      | $-793000.00   | -0.41%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2827500 | OU      | $-2827500.00  | -1.45%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -725000 | OU      | $-725000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1095000 | OU      | $-1095000.00  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -371000 | OU      | $-371000.00   | -0.19%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4242000 | OU      | $-4242000.00  | -2.18%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1163000 | OU      | $-1163000.00  | -0.60%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -900000 | OU      | $-900000.00   | -0.46%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2144000 | OU      | $-2144000.00  | -1.10%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1429000 | OU      | $-1429000.00  | -0.73%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1217000 | OU      | $-1217000.00  | -0.62%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -527000 | OU      | $-527000.00   | -0.27%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -744000 | OU      | $-744000.00   | -0.38%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -745000 | OU      | $-745000.00   | -0.38%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -896000 | OU      | $-896000.00   | -0.46%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1205000 | OU      | $-1205000.00  | -0.62%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1486000 | OU      | $-1486000.00  | -0.76%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1390000 | OU      | $-1390000.00  | -0.71%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1460000 | OU      | $-1460000.00  | -0.75%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1247889 | OU      | $-1247889.00  | -0.64%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -712000 | OU      | $-712000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1226191 | OU      | $-1226191.00  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2468000 | OU      | $-2468000.00  | -1.27%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2475000 | OU      | $-2475000.00  | -1.27%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -385000 | OU      | $-385000.00   | -0.20%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -923000 | OU      | $-923000.00   | -0.47%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -866000 | OU      | $-866000.00   | -0.44%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -7175000 | OU      | $-7175000.00  | -3.68%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1270000 | OU      | $-1270000.00  | -0.65%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1461000 | OU      | $-1461000.00  | -0.75%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2170000 | OU      | $-2170000.00  | -1.11%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1167000 | OU      | $-1167000.00  | -0.60%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -746366 | OU      | $-746366.44   | -0.38%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -852342 | OU      | $-852342.15   | -0.44%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1690596 | OU      | $-1690596.00  | -0.87%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -819469 | OU      | $-819469.45   | -0.42%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2214258 | OU      | $-2214258.11  | -1.14%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1534932 | OU      | $-1534932.03  | -0.79%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1128238 | OU      | $-1128238.03  | -0.58%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1100618 | OU      | $-1100618.05  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -754798 | OU      | $-754798.28   | -0.39%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1468607 | OU      | $-1468606.93  | -0.75%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1204293 | OU      | $-1204292.89  | -0.62%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1171677 | OU      | $-1171676.95  | -0.60%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1170801 | OU      | $-1170801.06  | -0.60%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -514000 | OU      | $-514000.00   | -0.26%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1403000 | OU      | $-1403000.00  | -0.72%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1276000 | OU      | $-1276000.00  | -0.65%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1394000 | OU      | $-1394000.00  | -0.71%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1414000 | OU      | $-1414000.00  | -0.73%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1610000 | OU      | $-1610000.00  | -0.83%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -785000 | OU      | $-785000.00   | -0.40%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -647000 | OU      | $-647000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -922000 | OU      | $-922000.00   | -0.47%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1304000 | OU      | $-1304000.00  | -0.67%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -917000 | OU      | $-917000.00   | -0.47%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1126000 | OU      | $-1126000.00  | -0.58%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1115000 | OU      | $-1115000.00  | -0.57%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -767000 | OU      | $-767000.00   | -0.39%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2884000 | OU      | $-2884000.00  | -1.48%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1024000 | OU      | $-1024000.00  | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2321000 | OU      | $-2321000.00  | -1.19%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1246000 | OU      | $-1246000.00  | -0.64%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1830000 | OU      | $-1830000.00  | -0.94%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -559574 | OU      | $-559573.59   | -0.29%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1536153 | OU      | $-1536153.01  | -0.79%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -591981 | OU      | $-591980.94   | -0.30%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -658628 | OU      | $-658628.03   | -0.34%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1078992 | OU      | $-1078991.55  | -0.55%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1395916 | OU      | $-1395915.73  | -0.72%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1774069 | OU      | $-1774069.18  | -0.91%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -959809 | OU      | $-959809.46   | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -363505 | OU      | $-363504.56   | -0.19%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -998772 | OU      | $-998772.42   | -0.51%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -655669 | OU      | $-655669.48   | -0.34%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                                | EUR REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1148661 | OU      | $-1148661.33  | -0.59%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1574000 | OU      | $-1574000.00  | -0.81%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -996000 | OU      | $-996000.00   | -0.51%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1698000 | OU      | $-1698000.00  | -0.87%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -944000 | OU      | $-944000.00   | -0.48%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1216000 | OU      | $-1216000.00  | -0.62%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4680000 | OU      | $-4680000.00  | -2.40%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2210000 | OU      | $-2210000.00  | -1.13%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -438000 | OU      | $-438000.00   | -0.22%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2945000 | OU      | $-2945000.00  | -1.51%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -821000 | OU      | $-821000.00   | -0.42%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2990000 | OU      | $-2990000.00  | -1.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1845000 | OU      | $-1845000.00  | -0.95%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2840000 | OU      | $-2840000.00  | -1.46%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2721000 | OU      | $-2721000.00  | -1.40%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1238000 | OU      | $-1238000.00  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1530107 | OU      | $-1530107.00  | -0.78%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1436000 | OU      | $-1436000.00  | -0.74%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -651000 | OU      | $-651000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3758134 | OU      | $-3758134.00  | -1.93%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1086000 | OU      | $-1086000.00  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4358000 | OU      | $-4358000.00  | -2.23%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2401000 | OU      | $-2401000.00  | -1.23%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -540000 | OU      | $-540000.00   | -0.28%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -721000 | OU      | $-721000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2607000 | OU      | $-2607000.00  | -1.34%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                                | USD REPO                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -797975 | OU      | $-797975.00   | -0.41%            |  |  |  | No            | N/A                | On Loan: No      |
| Goldman Sachs Government Institutional Class                            | Goldman Sachs Government Institutional Class                            | CUSIP: 38141W273<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  23108945 | NS      | $23108944.99  | 11.85%            |  |  |  | No            | 1                  | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

**Name of Applicant:** Ellington Credit Co

**Signature:** /s/ Chris Smernoff

**Name of Signer:** Chris Smernoff

**Title:** CFO