# EDGAR Filing Document

**Accession Number:** 0000887991
**File Stem:** 0000940400-25-010803
**Filing Date:** 2025-11
**Character Count:** 242652
**Document Hash:** 1951275479fe451d299a9c248e3972b8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-010803.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0000940400-25-010803

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PRUDENTIAL INVESTMENT PORTFOLIOS 8
- **CENTRAL INDEX KEY:** 0000887991

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06677
- **FILM NUMBER:** 251527135

**BUSINESS ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 6TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102
- **BUSINESS PHONE:** (973) 802-5032

**MAIL ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 6TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DRYDEN INDEX SERIES FUND
- **DATE OF NAME CHANGE:** 20030716

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRUDENTIAL INDEX SERIES FUND
- **DATE OF NAME CHANGE:** 19980123

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRUDENTIAL DRYDEN FUND
- **DATE OF NAME CHANGE:** 19970620

## Series and Classes Contracts Data

### PGIM Securitized Credit Fund (Series ID: S000065752)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000212600 | Class Z      | SCFZX           |
| C000212601 | Class A      | SCFOX           |
| C000212602 | Class C      | SCFVX           |
| C000212603 | Class R6     | SCFQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Prudential Investment Portfolios 8

- **b. Investment Company Act file number:** 811-06677

- **c. CIK number of Registrant:** 0000887991

- **d. LEI of Registrant:** 549300VRUTQ35U0X1D46

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

  - **Street Address 1:** 655 Broad Street

  - **City:** Newark

  - **State:** NJ

  - **Foreign country:** US

  - **Zip / Postal Code:** 07102-4077

  - **Telephone number:** 1-800-225-1852

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

- **a. Name of Series:** PGIM Securitized Credit Fund

- **b. EDGAR series identifier (if any):** S000065752

- **c. LEI of Series:** 549300GWAUUOGWWFGS88

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2525218526.83

**Total Liabilities:** $116768185.01

**Net Assets:** $2408450341.82

**Delayed Delivery Securities:** $85744106.16

**Cash Not Reported:** $4040089.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2995.35573000 | **1-Year:** 111355.74184000 | **5-Year:** 605386.53469000 | **10-Year:** 161592.05767000 | **30-Year:** 364.86369000

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

- **3-Month:** 125.24210000 | **1-Year:** 34797.34003000 | **5-Year:** 60554.87455000 | **10-Year:** 27423.18598000 | **30-Year:** 484.97078000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000212601 | 0.52%                | 0.63%                | 0.40%                |
| Class ID C000212600 | 0.54%                | 0.66%                | 0.42%                |
| Class ID C000212603 | 0.54%                | 0.56%                | 0.53%                |
| Class ID C000212602 | 0.56%                | 0.47%                | 0.34%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1878536.48              | $-15231031.97                              |
| Month 2  | $1787901.24              | $15462272.64                               |
| Month 3  | $1272762.99              | $-258308.57                                |

**Designated Index Information**

- **Index Name:** PGIM Securitized Credit Fund_Ex Derivatives BM

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Invitation Homes Trust                           | Invitation Homes 2024-SFR1 Trust                             | CUSIP: 46188DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2333046.72   | 0.10%             | 2041-09-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TCW Ltd                                          | TCW CLO 2019-2 Ltd                                           | CUSIP: 87242BBL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15075153.00  | 0.63%             | 2038-01-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Cent CLO LP                                      | Columbia Cent CLO 30 Ltd                                     | CUSIP: 19736WAU4<br>LEI: 549300EPPYTG18BLNK44 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3002400.00   | 0.12%             | 2034-01-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-TY                                            | CUSIP: 05592AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3050000 | PA      | $3042455.22   | 0.13%             | 2038-09-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Jubilee CDO BV                                   | Jubilee CLO 2016-XVII DAC                                    | CUSIP: 000000000<br>LEI: 635400JSFGFQPD2VOA16 | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $584917.52    | 0.02%             | 2031-04-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS 2018-CHRS Mortgage Trust                               | CUSIP: 05491VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $909031.10    | 0.04%             | 2038-08-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation Clo 2021-15 Ltd                                    | CUSIP: 28623VAS8<br>LEI: 5493005VN5WX000OV470 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3005160.30   | 0.12%             | 2035-01-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | EUR/USD FORWARD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2096113.73  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2025-8 Mortgage Loan Trust                              | CUSIP: 19689DAD1<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |   3012000 | PA      | $3035077.04   | 0.13%             | 2070-08-25      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Palmer Square European CLO                       | Palmer Square European CLO 2023-2 DAC                        | CUSIP: 000000000<br>LEI: 549300EVQ1VRDUGS6I93 | Long             | ABS-CBDO         | CORP              | IE        |   1250000 | PA      | $1469046.79   | 0.06%             | 2036-10-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Nassau LTD                                       | Nassau 2021-I Ltd                                            | CUSIP: 631704AK9<br>LEI: 5493000NDRKPTT45F149 | Long             | ABS-CBDO         | CORP              | KY        |  14950000 | PA      | $14991112.50  | 0.62%             | 2034-08-26      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                    | UK Logistics 2024-1 DAC                                      | CUSIP: 000000000<br>LEI: 635400H22JMICKOJRJ36 | Long             | ABS-MBS          | CORP              | IE        |   1850000 | PA      | $2500978.06   | 0.10%             | 2034-05-17      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2025-3                              | CUSIP: 03466RAA9<br>LEI: 254900U85BAJNPG0MG65 | Long             | ABS-MBS          | CORP              | US        |   9261429 | PA      | $9322146.52   | 0.39%             | 2070-03-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                   | Pret 2025-NPL2 LLC                                           | CUSIP: 69392JAA7<br>LEI: 254900S0KCA0ULKWBW61 | Long             | ABS-O            | CORP              | US        |   5945658 | PA      | $5970330.36   | 0.25%             | 2055-03-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                             | Signal Peak CLO 12 Ltd                                       | CUSIP: 82671XAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2007080.40   | 0.08%             | 2037-07-18      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2022-AHP                        | CUSIP: 05610FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $1006488.53   | 0.04%             | 2039-01-17      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                             | Cross 2025-H7 Mortgage Trust                                 | CUSIP: 22757JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16178969 | PA      | $16152926.10  | 0.67%             | 2070-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Armada Euro CLO                                  | Armada Euro CLO VII DAC                                      | CUSIP: 000000000<br>LEI: 254900X3N0A6IK91HI28 | Long             | ABS-CBDO         | CORP              | IE        |   5000000 | PA      | $5908600.93   | 0.25%             | 2039-04-15      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                  | Contego Clo V DAC                                            | CUSIP: 000000000<br>LEI: 549300RF10WJ1D9VYK55 | Long             | ABS-CBDO         | CORP              | IE        |   2250000 | PA      | $2633011.41   | 0.11%             | 2037-10-15      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                               | Tricon Residential 2025-SFR1 Trust                           | CUSIP: 895974AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4400000 | PA      | $4406252.40   | 0.18%             | 2042-03-17      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                 | RCO VIII Mortgage LLC 2025-3                                 | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6132411 | PA      | $6146329.42   | 0.26%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2024-PMDW                                          | CUSIP: 05592VAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 149625000 | PA      | $1007484.98   | 0.04%             | 2041-11-05      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                   | ICG US Clo 2020-1 Ltd                                        | CUSIP: 449251AW7<br>LEI: 254900UXTGDH0QOBDH07 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15032703.00  | 0.62%             | 2035-01-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R04                 | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $655593.95    | 0.03%             | 2042-03-25      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                      | Balboa Bay Loan Funding 2024-2 Ltd                           | CUSIP: 05765AAE1<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |   9000000 | PA      | $9034562.70   | 0.38%             | 2038-01-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                                  | Katayma CLO I Ltd                                            | CUSIP: 48585JAA8<br>LEI: 254900I6JJYMZNFX8987 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1003092.30   | 0.04%             | 2036-10-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Aurium CLO                                       | Aurium Clo VIII DAC                                          | CUSIP: 000000000<br>LEI: 549300FEAY35HPC4RS38 | Long             | ABS-CBDO         | CORP              | IE        |   4830000 | PA      | $5670661.50   | 0.24%             | 2038-10-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                   | Carlyle US CLO 2024-3 Ltd                                    | CUSIP: 14319HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9750000 | PA      | $9782755.13   | 0.41%             | 2036-07-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2020-DNA6                      | CUSIP: 35566CBD6<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $801285.60    | 0.03%             | 2050-12-25      | Floating      | 7.36%                 | Yes           |                  2 | On Loan: No      |
| OFSI Fund LTD                                    | OFSI BSL CLO XIII Ltd                                        | CUSIP: 67118VAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1009013.90   | 0.04%             | 2037-04-20      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Hayfin Emerald CLO                               | Hayfin Emerald Clo X DAC                                     | CUSIP: 000000000<br>LEI: 635400QPLMTTI1BZII42 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3522938.96   | 0.15%             | 2038-07-18      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| LV Trust                                         | Fashion Show Mall LLC                                        | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507145.50    | 0.02%             | 2041-10-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXI Ltd.                        | Marble Point CLO XXI Ltd                                     | CUSIP: 56606KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500876.50    | 0.02%             | 2034-10-17      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| SONA FIOS CLO                                    | Sona Fios Clo IV DAC                                         | CUSIP: 000000000<br>LEI: 635400QGIDXZNEITGK95 | Long             | ABS-CBDO         | CORP              | IE        |   4000000 | PA      | $4692049.97   | 0.19%             | 2038-04-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2024-HE2                            | CUSIP: 46593HAB4<br>LEI: 529900ELA1S09AZO9Q54 | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1804748.22   | 0.07%             | 2054-10-20      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                 | Ocean Trails CLO XV Ltd                                      | CUSIP: 67515BAG7<br>LEI: 5493000CJCL8E235WY49 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2020034.40   | 0.08%             | 2037-01-15      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| Crosthwaite Park CLO                             | Crosthwaite Park CLO DAC                                     | CUSIP: 000000000<br>LEI: 54930071G03PWEE1JC86 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1762525.95   | 0.07%             | 2034-03-15      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2024-5C1               | CUSIP: 95003VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13169000 | PA      | $1138557.50   | 0.05%             | 2057-07-15      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                      | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $99213.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64822 | PA      | $47412.97     | 0.00%             | 2063-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                      | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-87664.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-CRM1                          | CUSIP: 891946AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8240830 | PA      | $8334843.97   | 0.35%             | 2065-01-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5079206 | PA      | $4793789.01   | 0.20%             | 2064-01-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    398942 | PA      | $339268.18    | 0.01%             | 2063-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2025-5YR15                                             | CUSIP: 065924BE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16932000 | PA      | $1827120.27   | 0.08%             | 2058-07-15      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2023-R05                 | CUSIP: 207942AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $623250.00    | 0.03%             | 2043-06-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2024-X2                    | CUSIP: 00833QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5200000 | PA      | $5251639.12   | 0.22%             | 2029-12-17      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| ONE Park Mortgage Trust                          | ONE 2021-PARK Mortgage Trust                                 | CUSIP: 682413AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $953393.30    | 0.04%             | 2036-03-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Rockford Tower Europe CLO                        | Rockford Tower Europe CLO 2021-1 DAC                         | CUSIP: 000000000<br>LEI: 635400LBXBN24UFB2Z59 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2331402.66   | 0.10%             | 2034-04-20      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2024-CES8                                | CUSIP: 749421AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4700000 | PA      | $4728319.85   | 0.20%             | 2044-11-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Indigo Credit Management                         | Indigo Credit Management II DAC                              | CUSIP: 000000000<br>LEI: 635400ZBUBZKOZYRMX14 | Long             | ABS-CBDO         | CORP              | IE        |   5250000 | PA      | $6174881.93   | 0.26%             | 2038-07-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2025-VIS3                           | CUSIP: 46594EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3302298.45   | 0.14%             | 2066-02-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                   | PRET 2025-NPL1 Trust                                         | CUSIP: 74143VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6808237 | PA      | $6833665.10   | 0.28%             | 2055-02-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-4 LLC                                              | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6952814 | PA      | $6969153.48   | 0.29%             | 2030-06-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD 2024-WRHS Mortgage Trust                                | CUSIP: 05555HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5218993 | PA      | $5205945.86   | 0.22%             | 2026-08-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2025-CES6                                | CUSIP: 748949AE4<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |   3705000 | PA      | $3746486.00   | 0.16%             | 2055-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                            | Sixth Street CLO XV Ltd                                      | CUSIP: 83012BAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6760000 | PA      | $6780415.20   | 0.28%             | 2037-10-24      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | EUR/USD FORWARD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-142246.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                | EURO-SCHATZ                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $210.41       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2021-R01                 | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $662263.94    | 0.03%             | 2041-10-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GRP LLC- WARRANTS                 | DIAMOND SPORTS GRP LLC- WARRANTS                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5916 | NS      | $0.06         | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2025-INV2 Mortgage Loan Trust                           | CUSIP: 12673UAA2<br>LEI: 213800M5KYYIOHI7KW93 | Long             | ABS-MBS          | CORP              | US        |   6530615 | PA      | $6596412.65   | 0.27%             | 2070-02-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70623 | PA      | $26659.26     | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2024-5C4 Mortgage Trust                                  | CUSIP: 09660SAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $444122.25    | 0.02%             | 2057-05-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-TAIL                                           | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9430000 | PA      | $9426060.15   | 0.39%             | 2035-06-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                      | Capital Street Master Trust                                  | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2707720.65   | 0.11%             | 2028-10-16      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Nassau Euro CLO DAC                              | Nassau Euro CLO II DAC                                       | CUSIP: 000000000<br>LEI: 549300Z3XUKK0APT1D50 | Long             | ABS-CBDO         | CORP              | IE        |  15000000 | PA      | $17598862.74  | 0.73%             | 2039-04-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/CAD FORWARD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $20527.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                           | Rockford Tower CLO 2022-2 Ltd                                | CUSIP: 77340LAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4517730.45   | 0.19%             | 2035-10-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2023-2                      | CUSIP: 68269HAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2582237.25   | 0.11%             | 2036-09-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2025-B33RP             | CUSIP: 95004RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4497043.95   | 0.19%             | 2042-08-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-CES3                          | CUSIP: 891949AB5<br>LEI: 254900XDQGDYHMUKZJ77 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4026380.00   | 0.17%             | 2065-08-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                              | Affirm Master Trust                                          | CUSIP: 00833BAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6000382.80   | 0.25%             | 2033-02-15      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | GBP/USD FORWARD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $56812.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                 | Bayview Opportunity Master Fund VII Trust 2024-CAR1F         | CUSIP: 07336MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351830 | PA      | $351881.16    | 0.01%             | 2032-07-29      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                                 | Invesco Euro CLO VI DAC                                      | CUSIP: 000000000<br>LEI: 549300YQUO4XFJGG1T54 | Long             | ABS-CBDO         | CORP              | IE        |   3250000 | PA      | $3818864.99   | 0.16%             | 2034-07-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                    | GS Mortgage-Backed Securities Trust 2024-HE2                 | CUSIP: 36271AAA1<br>LEI: 254900W4Z6DJOVCWAH28 | Long             | ABS-O            | CORP              | US        |   4365555 | PA      | $4377660.51   | 0.18%             | 2055-01-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Hayfin US XV, Ltd.                               | Hayfin US XV Ltd                                             | CUSIP: 420916AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5030000.00   | 0.21%             | 2037-04-28      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8561 | PA      | $7876.56      | 0.00%             | 2063-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Barrow Hanley CLO LTD                            | Barrow Hanley CLO II Ltd                                     | CUSIP: 06875RAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1150000.00   | 0.05%             | 2035-10-20      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                      | Island Finance Trust 2025-1                                  | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2032205.00   | 0.08%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                   | ELM Trust 2024-ELM                                           | CUSIP: 26860XBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1840265.02   | 0.08%             | 2039-06-10      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                | Trimaran CAVU 2022-1 Ltd                                     | CUSIP: 89623VAL5<br>LEI: 549300UZ4DECMUVOVS09 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5018008.50   | 0.21%             | 2037-10-22      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/GBP FORWARD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $44646.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2025-VIS2                           | CUSIP: 46659RAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   7915803 | PA      | $7981673.85   | 0.33%             | 2063-01-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS Mortgage Trust 2024-C24                                | CUSIP: 07336VBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $461747.00    | 0.02%             | 2057-02-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                 | Bayview Opportunity Master Fund VII Trust 2024-SN1           | CUSIP: 072926AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1024345.80   | 0.04%             | 2029-07-16      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12695584 | PA      | $12842672.40  | 0.53%             | 2070-02-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ROIC                                           | CUSIP: 05593VAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4980575 | PA      | $4968123.56   | 0.21%             | 2030-03-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | WFCM Commercial Mortgage Trust 2024-GRP                      | CUSIP: 95003YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4650000 | PA      | $4654519.34   | 0.19%             | 2041-10-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                   | PMT Credit Risk Transfer Trust 2024-3R                       | CUSIP: 69392AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2039567 | PA      | $2063499.93   | 0.09%             | 2028-09-27      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Palmer Square European CLO                       | Palmer Square European CLO 2022-2 DAC                        | CUSIP: 000000000<br>LEI: 549300NBMUBW6AHGY771 | Long             | ABS-CBDO         | CORP              | IE        |   8000000 | PA      | $9441037.60   | 0.39%             | 2038-01-15      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 10YR ULTRA                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $-24867.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage T                   | EFMT 2025-INV3                                               | CUSIP: 26847NAD3<br>LEI: 254900C1B6ZW3SK54M36 | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10098582.00  | 0.42%             | 2070-07-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2023-5YR4                                              | CUSIP: 06211FAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $417097.35    | 0.02%             | 2056-12-15      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                     | Anchorage Capital Europe CLO 6 DAC                           | CUSIP: 000000000<br>LEI: 635400ZNDJ8ARDAHOM33 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1175481.17   | 0.05%             | 2038-01-22      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ROC Securities Trust                             | Roc Mortgage Trust 2025-RTL1                                 | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8800000 | PA      | $8834565.52   | 0.37%             | 2040-02-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                             | SCG Trust 2025-SNIP                                          | CUSIP: 78398JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2506223.25   | 0.10%             | 2030-09-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RPL1 LLC                                           | CUSIP: 74390WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1987000 | PA      | $1899355.81   | 0.08%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2025-NQM1 Trust                                          | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |   4545470 | PA      | $4569326.15   | 0.19%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                | Trimaran CAVU 2022-1 Ltd                                     | CUSIP: 89623VAN1<br>LEI: 549300UZ4DECMUVOVS09 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005820.40   | 0.08%             | 2037-10-22      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Monument CLO                                     | Monument Clo 3 DAC                                           | CUSIP: 000000000<br>LEI: 254900274MJH69SRXW98 | Long             | ABS-CBDO         | CORP              | IE        |  15000000 | PA      | $17772275.80  | 0.74%             | 2038-04-15      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | CDS CDX.NA.HY.42.V1                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $20059.16     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2025-VIS2                           | CUSIP: 46659RAE7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   4947377 | PA      | $4978234.83   | 0.21%             | 2063-01-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                | Toro European CLO 10 DAC                                     | CUSIP: 000000000<br>LEI: 6354001HJSVF7BJWDP89 | Long             | ABS-CBDO         | CORP              | IE        |  10000000 | PA      | $11738715.44  | 0.49%             | 2038-04-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2024-R05                 | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1757385.00   | 0.07%             | 2044-07-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                   | CarVal CLO XI C Ltd                                          | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |   8250000 | PA      | $8278785.08   | 0.34%             | 2037-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C1  | CUSIP: 61778GBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14216000 | PA      | $1454999.07   | 0.06%             | 2058-03-15      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                           | RR 40 LTD                                                    | CUSIP: 749762AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10046301.00  | 0.42%             | 2038-07-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                      | SREIT Trust 2021-MFP                                         | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218099 | PA      | $217894.32    | 0.01%             | 2038-11-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74293 | PA      | $33191.87     | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Cent CLO LP                                      | Columbia Cent CLO 30 Ltd                                     | CUSIP: 19736WAY6<br>LEI: 549300EPPYTG18BLNK44 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003779.80   | 0.08%             | 2034-01-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS Mortgage Trust 2024-5C25                               | CUSIP: 05554VAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14404000 | PA      | $1309227.09   | 0.05%             | 2057-03-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                 | Trinitas CLO XXIV Ltd                                        | CUSIP: 89642XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   2500000 | PA      | $2501874.75   | 0.10%             | 2037-04-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R07                 | CUSIP: 20754MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5800000 | PA      | $6334702.00   | 0.26%             | 2042-06-25      | Floating      | 11.15%                | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RCF3 LLC                                           | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876000 | PA      | $871124.45    | 0.04%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Palmer Square European CLO                       | Palmer Square European CLO 2025-1 DAC                        | CUSIP: 000000000<br>LEI: 2549005G74H3SLK9WL32 | Long             | ABS-CBDO         | CORP              | IE        |  15000000 | PA      | $17640829.16  | 0.73%             | 2039-10-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                          | NYMT Loan Trust 2025-INV2                                    | CUSIP: 62957JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $7495320.00   | 0.31%             | 2060-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2024-6 LLC                                              | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2342004 | PA      | $2343283.04   | 0.10%             | 2029-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2024-1CHI              | CUSIP: 95003PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3235112.00   | 0.13%             | 2035-07-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                             | Signal Peak CLO 7 Ltd                                        | CUSIP: 82671EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6022749.60   | 0.25%             | 2037-10-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2023-5C2 Mortgage Trust                                  | CUSIP: 05610QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9500000 | PA      | $569694.10    | 0.02%             | 2056-11-15      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1083014.41   | 0.04%             | 2070-02-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                    | Radnor Re 2024-1 Ltd                                         | CUSIP: 75049AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2922367.12   | 0.12%             | 2034-09-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-BCAT                       | CUSIP: 12433HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7666279 | PA      | $7683048.67   | 0.32%             | 2042-08-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123808 | PA      | $83263.99     | 0.00%             | 2064-01-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5930145 | PA      | $593.01       | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                     | Anchorage Capital Europe CLO 6 DAC                           | CUSIP: 000000000<br>LEI: 635400ZNDJ8ARDAHOM33 | Long             | ABS-CBDO         | CORP              | IE        |  14750000 | PA      | $17344233.34  | 0.72%             | 2038-10-22      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2024-PMDW                                          | CUSIP: 05592VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1209394.80   | 0.05%             | 2041-11-05      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                  | Venture 49 CLO Ltd                                           | CUSIP: 922972AE4<br>LEI: 254900CWURXJKKIUGG97 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $803266.32    | 0.03%             | 2037-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3315017 | PA      | $18658.57     | 0.00%             | 2026-08-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                   | US Bank NA                                                   | CUSIP: 90357PBC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14322333 | PA      | $14330862.24  | 0.60%             | 2032-02-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| IP 2025-IP Mortgage Trust                        | IP 2025-IP Mortgage Trust                                    | CUSIP: 449843AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2830000 | PA      | $2872937.61   | 0.12%             | 2042-06-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LUNR                                           | CUSIP: 05594CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1337819 | PA      | $1341581.62   | 0.06%             | 2040-06-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/GBP FORWARD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-56847.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2025-NQM3 Trust                                          | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |   7007244 | PA      | $7078982.56   | 0.29%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2025-NQM4 Trust                                          | CUSIP: 67120QAA4<br>LEI: 254900IAVXYLOCPK6W54 | Long             | ABS-MBS          | CORP              | US        |   7484204 | PA      | $7534353.96   | 0.31%             | 2055-02-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| BCRED BSL Static CLO Ltd                         | BCRED BSL Static CLO 2025-1 Ltd                              | CUSIP: 05556KAC6<br>LEI: 2549001IQYV4NQDSNA79 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10004199.00  | 0.42%             | 2035-07-24      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers CLO 26 Ltd                    | CUSIP: 64131QAQ3<br>LEI: 549300P0MOXZPIM3AS61 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5011100.50   | 0.21%             | 2038-10-18      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                      | Taurus 2025-3 UK Designated Activity Co                      | CUSIP: 000000000<br>LEI: 635400XWNSMBWUUQIW58 | Long             | ABS-MBS          | CORP              | IE        |   1500000 | PA      | $2003906.38   | 0.08%             | 2035-07-20      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| ONE Park Mortgage Trust                          | ONE 2021-PARK Mortgage Trust                                 | CUSIP: 682413AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $801374.31    | 0.03%             | 2036-03-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2025-NQM11 Trust                                         | CUSIP: 67449BAD5<br>LEI: 254900KNWDG7C03UTA13 | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10090957.00  | 0.42%             | 2065-05-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| HERITAGE PWR LLC                                 | HERITAGE PWR LLC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1852 | NS      | $119222.50    | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                    | MHC Commercial Mortgage Trust 2021-MHC                       | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287506 | PA      | $287505.76    | 0.01%             | 2038-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                     | Ares XLI Clo Ltd                                             | CUSIP: 04016DAU9<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001599.90   | 0.04%             | 2034-04-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| VNO Mortgage Trust                               | VNDO Trust 2016-350P                                         | CUSIP: 91831UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3849299.60   | 0.16%             | 2035-01-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Barrow Hanley CLO I Ltd                          | Barrow Hanley CLO I Ltd                                      | CUSIP: 068751AS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10044601.00  | 0.42%             | 2038-01-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Kinbane DAC                                      | Kinbane 2024-Rpl 2 DAC                                       | CUSIP: 000000000<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |   1900000 | PA      | $2223378.32   | 0.09%             | 2063-01-24      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust                                    | CUSIP: 89182FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1112875 | PA      | $1130186.67   | 0.05%             | 2063-10-25      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                              | Cbam 2018-7 Ltd                                              | CUSIP: 12482JAA8<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |    168968 | PA      | $169154.72    | 0.01%             | 2031-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19341394 | PA      | $435181.36    | 0.02%             | 2070-02-25      | Variable      | 0.90%                 | No            |                  3 | On Loan: No      |
| TREASURY BILL                                    | United States Treasury Bill                                  | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $596134.52    | 0.02%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2024-RVR                   | CUSIP: 36272JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8074367.20   | 0.34%             | 2041-08-10      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                             | SCG Trust 2025-SNIP                                          | CUSIP: 78398JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3006558.60   | 0.12%             | 2030-09-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                              | LCM 40 Ltd                                                   | CUSIP: 50190KAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |  28000000 | PA      | $28098246.40  | 1.17%             | 2038-01-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| SONA FIOS CLO                                    | Sona Fios Clo IV DAC                                         | CUSIP: 000000000<br>LEI: 635400QGIDXZNEITGK95 | Long             | ABS-CBDO         | CORP              | IE        |  10000000 | PA      | $11752240.50  | 0.49%             | 2038-04-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-CES1 Trust                                          | CUSIP: 629162AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $4194091.24   | 0.17%             | 2060-08-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US LONG BOND(CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -24 | NC      | $-63909.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HERITAGE PWR LLC                                 | HERITAGE PWR LLC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        81 | NS      | $5214.38      | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                      | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-3005976.61  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS 2018-CHRS Mortgage Trust                               | CUSIP: 05491VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $887319.77    | 0.04%             | 2038-08-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| 20 TSQ GroundCo LLC                              | 20 Times Square Trust 2018-20TS                              | CUSIP: 90137LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $173000.00    | 0.01%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Barings Euro CLO DAC                             | Barings Euro CLO 2015-1 DAC                                  | CUSIP: 000000000<br>LEI: 635400AW6SPWCAGJKI82 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2348708.16   | 0.10%             | 2035-07-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-NQM1 Trust                                         | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6296389 | PA      | $6362955.67   | 0.26%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-FIX1                          | CUSIP: 89183MAA1<br>LEI: 2549009GWN99QN2XSG71 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4997440.00   | 0.21%             | 2045-07-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                        | Anchorage Capital CLO 26 Ltd                                 | CUSIP: 03331TAS9<br>LEI: 5493004K3H2URWHGJT03 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10051300.00  | 0.42%             | 2038-03-19      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-1C                       | CUSIP: 05615EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3850000 | PA      | $3966241.13   | 0.16%             | 2044-06-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-MDHS                       | CUSIP: 12433BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520830 | PA      | $1522731.37   | 0.06%             | 2041-05-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                             | BlueMountain Fuji Eur CLO V DAC                              | CUSIP: 000000000<br>LEI: 635400IYPG2G6NM3OV52 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1762095.90   | 0.07%             | 2033-01-15      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232164 | PA      | $176553.48    | 0.01%             | 2064-01-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $552986.33    | 0.02%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 5YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1477 | NC      | $-155118.42   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PPM Clo, Ltd.                                    | PPM CLO 6-R Ltd                                              | CUSIP: 693975AL8<br>LEI: 2549003CULWUB4AA0151 | Long             | ABS-CBDO         | CORP              | JE        |   4000000 | PA      | $4015683.60   | 0.17%             | 2037-01-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593449 | PA      | $526051.29    | 0.02%             | 2063-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2025-B33RP             | CUSIP: 95004RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9250000 | PA      | $9249951.90   | 0.38%             | 2042-08-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation CLO 2021-14 Ltd                                    | CUSIP: 28623RBG2<br>LEI: 549300JPI8D017HI2768 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6014101.20   | 0.25%             | 2038-01-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Last Mile Logistics Pan Euro F                   | Last Mile Logistics Pan Euro Finance DAC                     | CUSIP: 000000000<br>LEI: 635400NOPX1IKIAX7N90 | Long             | ABS-MBS          | CORP              | IE        |     98186 | PA      | $115402.55    | 0.00%             | 2033-08-17      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                                   | CQS US CLO 2023-3 Ltd                                        | CUSIP: 223929AE0<br>LEI: 254900OIQPM0JE7KVZ52 | Long             | ABS-CBDO         | CORP              | JE        |   2400000 | PA      | $2412960.48   | 0.10%             | 2037-01-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                | Jamestown CLO XVIII Ltd                                      | CUSIP: 47047RAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3007871.70   | 0.12%             | 2035-07-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust 2025-NQM6                    | CUSIP: 10570MAC4<br>LEI: 254900U9H6FFPW4O4S55 | Long             | ABS-MBS          | CORP              | US        |  19008818 | PA      | $19114109.91  | 0.79%             | 2065-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                   | ILPT Commercial Mortgage Trust 2025-LPF2                     | CUSIP: 451955AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3304260.05   | 0.14%             | 2042-07-13      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                            | KKR Clo 32 Ltd                                               | CUSIP: 482937AB5<br>LEI: 5493004Y6G18HN4CQ515 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3015720.30   | 0.13%             | 2037-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-TY                                            | CUSIP: 05592AAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761000 | PA      | $759117.36    | 0.03%             | 2038-09-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2024-5 LLC                                              | CUSIP: 69381KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1753066 | PA      | $1753410.98   | 0.07%             | 2029-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | Onemain Financial Issuance Trust 2025-1                      | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1821021.48   | 0.08%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2025-NQM10 Trust                                         | CUSIP: 67121LAD8<br>LEI: 254900NDJVO62R77II89 | Long             | ABS-MBS          | CORP              | US        |   3800000 | PA      | $3831280.46   | 0.16%             | 2065-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XXXIX Ltd                               | CUSIP: 55821LAL8<br>LEI: 254900K0MU6TXERK4I83 | Long             | ABS-CBDO         | CORP              | KY        |   4750000 | PA      | $4748100.48   | 0.20%             | 2034-10-22      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                             | Cross 2025-H4 Mortgage Trust                                 | CUSIP: 22790AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5237559 | PA      | $5281170.30   | 0.22%             | 2070-06-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $336029.86    | 0.01%             | 2070-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10824 | PA      | $9578.81      | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES3                          | CUSIP: 89183EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1120914.30   | 0.05%             | 2064-05-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                    | GS Mortgage Backed Securities Trust 2025 CES1                | CUSIP: 36271RAA4<br>LEI: 254900R6PO5A0PCKSU63 | Long             | ABS-MBS          | CORP              | US        |  14832934 | PA      | $14959444.30  | 0.62%             | 2055-05-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1423229 | PA      | $1434729.58   | 0.06%             | 2070-02-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                        | Anchorage Capital Clo 11 Ltd                                 | CUSIP: 03330NAW4<br>LEI: 549300NPGT86ACOLIL14 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008460.00   | 0.08%             | 2037-07-22      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 2YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1710 | NC      | $-205551.76   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1710160.16   | 0.07%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                         | Regatta XVI Funding Ltd                                      | CUSIP: 75888TAQ8<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3006990.30   | 0.12%             | 2033-01-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2024-5C3 Mortgage Trust                                  | CUSIP: 09660QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12604000 | PA      | $1052625.58   | 0.04%             | 2057-02-15      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS 2016-ETC Mortgage Trust                                | CUSIP: 05491LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $230446.23    | 0.01%             | 2036-08-14      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                   | EFMT 2025-CES1                                               | CUSIP: 26846VAA2<br>LEI: 254900CMJGXNT3R7H775 | Long             | ABS-MBS          | CORP              | US        |   5755362 | PA      | $5824603.46   | 0.24%             | 2060-01-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                  | Oaktree CLO 2022-3 Ltd                                       | CUSIP: 67401RAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $8024961.60   | 0.33%             | 2037-10-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-                   | One New York Plaza Trust 2020-1NYP                           | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $578998.26    | 0.02%             | 2036-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2022-2                      | CUSIP: 68268VAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1180000 | PA      | $1183159.45   | 0.05%             | 2034-10-14      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                     | Hudson Yards 2025-SPRL Mortgage Trust                        | CUSIP: 44855PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1108227.78   | 0.05%             | 2040-01-13      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2024-CES8                                | CUSIP: 749421AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1911262.25   | 0.08%             | 2044-11-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2024-B                     | CUSIP: 00835AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500845.60    | 0.02%             | 2029-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-277P Mortgage Trust                                | CUSIP: 12654FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16500000 | PA      | $420002.55    | 0.02%             | 2044-08-10      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                   | Onemain Direct Auto Receivables Trust 2022-1                 | CUSIP: 68269DAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1105142.83   | 0.05%             | 2030-12-16      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                 | 3 MONTH SOFR                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       565 | NC      | $23684.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Carysfort Park CLO                               | Carysfort Park CLO DAC                                       | CUSIP: 000000000<br>LEI: 254900X3LEXBMRCA3Y50 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2332066.70   | 0.10%             | 2034-07-28      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BMTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457600 | PA      | $69.28        | 0.00%             | 2025-11-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                    | GS Mortgage-Backed Securities Trust 2024-HE1                 | CUSIP: 36270AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3968286 | PA      | $3979915.13   | 0.17%             | 2054-08-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                      | FIGRE Trust 2025-HE4                                         | CUSIP: 31684PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8673206 | PA      | $8738101.99   | 0.36%             | 2055-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92866 | PA      | $55388.70     | 0.00%             | 2064-01-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Tikehau                                          | Tikehau CLO XI DAC                                           | CUSIP: 000000000<br>LEI: 635400Y4WR1VBVIMMD77 | Long             | ABS-CBDO         | CORP              | IE        |  15000000 | PA      | $17800875.66  | 0.74%             | 2038-01-15      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| TFS_18-3                                         | TFS_18-3                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | N/A       |         1 | PA      | $1.17         | 0.00%             | 2040-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-1C                       | CUSIP: 05615EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2875000 | PA      | $2906874.55   | 0.12%             | 2044-06-15      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                | Wellfleet CLO 2022-2 Ltd                                     | CUSIP: 94949FAS2<br>LEI: 2549008BRKHJZB917M86 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5027241.00   | 0.21%             | 2037-10-18      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                             | LHOME Mortgage Trust 2024-RTL5                               | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4015489.60   | 0.17%             | 2039-09-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                        | ALA Trust 2025-OANA                                          | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7860000 | PA      | $7899300.00   | 0.33%             | 2040-06-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                | Jamestown CLO XV Ltd                                         | CUSIP: 47050EAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6250000 | PA      | $6259514.38   | 0.26%             | 2035-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO XIV DAC                         | Invesco Euro CLO XIV DAC                                     | CUSIP: 000000000<br>LEI: 635400MNIFG73L1C7S65 | Long             | ABS-CBDO         | CORP              | IE        |   5000000 | PA      | $5898397.85   | 0.24%             | 2039-01-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                         | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15500000 | PA      | $16222228.70  | 0.67%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2021-R01                 | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4150925.60   | 0.17%             | 2041-10-25      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| Sunrun Issuer                                    | Sunrun Vesta Issuer 2024-3 LLC                               | CUSIP: 86773AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2083692 | PA      | $2005468.21   | 0.08%             | 2059-10-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                     | Ares LIII CLO Ltd                                            | CUSIP: 04009GAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5012400.00   | 0.21%             | 2036-10-24      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                    | Radnor Re 2024-1 Ltd                                         | CUSIP: 75049AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421592 | PA      | $421904.50    | 0.02%             | 2034-09-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                   | Pret 2025-NPL7 LLC                                           | CUSIP: 740934AA2<br>LEI: 2549001J36X6SUZ41Q96 | Long             | ABS-O            | CORP              | US        |   3912417 | PA      | $3924034.42   | 0.16%             | 2055-07-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $743928.83    | 0.03%             | 2070-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                 | CVC Cordatus Loan Fund VII DAC                               | CUSIP: 000000000<br>LEI: 635400CLBI5JM6YQBR92 | Long             | ABS-CBDO         | CORP              | IE        |   1274468 | PA      | $1496508.12   | 0.06%             | 2031-09-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Intermediate Capital Managers                    | ICG Euro CLO 2021-1 DAC                                      | CUSIP: 000000000<br>LEI: 5493002JC8KETPN3UB70 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1768100.63   | 0.07%             | 2034-10-15      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XXXIV Ltd                               | CUSIP: 55819GAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11500000 | PA      | $11534408.00  | 0.48%             | 2037-10-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei                   | Santander Mortgage Asset Receivable Trust 2025-NQM5          | CUSIP: 80262CAA6<br>LEI: 254900FHBJ2YHHBOAU80 | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6495959.60   | 0.27%             | 2065-08-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                             | LHOME Mortgage Trust 2025-RTL1                               | CUSIP: 50205UAA9<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |   7400000 | PA      | $7451846.62   | 0.31%             | 2040-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                            | Anchor Mortgage Trust 2025-RTL1                              | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3316534.65   | 0.14%             | 2040-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                   | EFMT 2025-INV1                                               | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |   7241131 | PA      | $7292851.93   | 0.30%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XXXVIII Ltd                             | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751085.78    | 0.03%             | 2034-07-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8838129 | PA      | $883.81       | 0.00%             | 2063-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust 2024-CES2                    | CUSIP: 10570PAD5<br>LEI: 2549009UFWL9U1TS6959 | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2416482.72   | 0.10%             | 2054-09-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-BCAT                       | CUSIP: 12433HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9199534 | PA      | $9219658.41   | 0.38%             | 2042-08-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS 2016-ETC Mortgage Trust                                | CUSIP: 05491LAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95019.20     | 0.00%             | 2036-08-14      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| AlbaCore Euro CLO                                | AlbaCore Euro CLO VI DAC                                     | CUSIP: 000000000<br>LEI: 635400A6FOR8P75XZC17 | Long             | ABS-CBDO         | CORP              | IE        |  11950000 | PA      | $14029897.50  | 0.58%             | 2037-10-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES5                          | CUSIP: 89183QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4855000 | PA      | $4877233.47   | 0.20%             | 2064-09-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-CES1                          | CUSIP: 89183HAB0<br>LEI: 254900FMI2GPXLO84795 | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $9145684.80   | 0.38%             | 2055-02-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2025-CES2                                | CUSIP: 74942BAA9<br>LEI: 2549001985H26N17CK52 | Long             | ABS-MBS          | CORP              | US        |   3806492 | PA      | $3840762.56   | 0.16%             | 2055-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus                   | WHARF Commercial Mortgage Trust 2025-DC                      | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6100424.40   | 0.25%             | 2040-07-15      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Nassau Euro CLO DAC                              | Nassau Euro CLO IV DAC                                       | CUSIP: 000000000<br>LEI: 2549009H5IFGWCGJGZ84 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2357262.76   | 0.10%             | 2038-07-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                   | Golub Capital Partners CLO 62B Ltd                           | CUSIP: 38180HAA2<br>LEI: 2549009X711NFO0AZT83 | Long             | ABS-CBDO         | CORP              | JE        |   8000000 | PA      | $8023725.60   | 0.33%             | 2037-10-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES4                          | CUSIP: 89182QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2464920 | PA      | $2467205.99   | 0.10%             | 2064-09-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                   | ARES Trust 2025-IND3                                         | CUSIP: 039955AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8050000 | PA      | $8055031.25   | 0.33%             | 2042-04-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2025-INV1                         | CUSIP: 924929AC6<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |   7512976 | PA      | $7579505.92   | 0.31%             | 2070-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| IP 2025-IP Mortgage Trust                        | IP 2025-IP Mortgage Trust                                    | CUSIP: 449843AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2160000 | PA      | $2196559.30   | 0.09%             | 2042-06-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                       | Atlas Senior Loan Fund XXIV Ltd                              | CUSIP: 04943PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $8034799.20   | 0.33%             | 2038-01-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust 2025-NQM5                    | CUSIP: 10569RAE2<br>LEI: 254900HGOJX787MBR512 | Long             | ABS-MBS          | CORP              | US        |   1285405 | PA      | $1291706.03   | 0.05%             | 2065-02-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-PURE                       | CUSIP: 74625PAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   1918484 | PA      | $1380279.71   | 0.06%             | 2041-11-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING                            | Pk Alift Loan Funding 6 LP                                   | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10825401 | PA      | $10892225.30  | 0.45%             | 2042-11-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation CLO 2020-11 Ltd                                    | CUSIP: 28621YAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2510000.00   | 0.10%             | 2037-10-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receiv                   | Santander Consumer Auto Receivables Trust 2021-A             | CUSIP: 80282YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $746237.85    | 0.03%             | 2027-03-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                | Battalion CLO XXIX Ltd                                       | CUSIP: 07135TAE9<br>LEI: 254900BHK74DPDADPT35 | Long             | ABS-CBDO         | CORP              | KY        |  12500000 | PA      | $12548747.50  | 0.52%             | 2038-03-31      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2024-V6 Mortgage Trust                             | CUSIP: 081927AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8633500 | PA      | $844298.46    | 0.04%             | 2057-03-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                             | SCG Trust 2025-SNIP                                          | CUSIP: 78398JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4502811.15   | 0.19%             | 2030-09-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2025-R03                 | CUSIP: 20754VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3048750.00   | 0.13%             | 2045-03-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Hayfin Emerald CLO                               | Hayfin Emerald CLO II DAC                                    | CUSIP: 000000000<br>LEI: 549300E8ZEPKJLF1M088 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $883625.72    | 0.04%             | 2034-05-27      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                              | Affirm Master Trust                                          | CUSIP: 00833BAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5740936.83   | 0.24%             | 2033-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                               | BX Trust 2019-OC11                                           | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9700000 | PA      | $8936321.91   | 0.37%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS 2016-ETC Mortgage Trust                                | CUSIP: 05491LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96447.47     | 0.00%             | 2036-08-14      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust 2025-CES2                    | CUSIP: 10568RAA1<br>LEI: 254900H5A4PX072RRR06 | Long             | ABS-MBS          | CORP              | US        |   4948204 | PA      | $4944993.85   | 0.21%             | 2055-07-26      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-AIR2                       | CUSIP: 05613QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2973458 | PA      | $2979962.88   | 0.12%             | 2041-10-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2025-5                            | CUSIP: 92540XAD3<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4528907.55   | 0.19%             | 2070-06-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                              | Affirm Master Trust Series 2025-3                            | CUSIP: 00833BAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4983027.50   | 0.21%             | 2034-10-16      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                      | Wireless PropCo Funding LLC                                  | CUSIP: 97655EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5804277.60   | 0.24%             | 2055-06-25      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2024-NQM12 Trust                                         | CUSIP: 67448PAD5<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4004367.60   | 0.17%             | 2064-07-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Tru                   | COOPR Residential Mortgage Trust 2025-CES3                   | CUSIP: 216926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3693157.18   | 0.15%             | 2060-09-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS 2020-BID Mortgage Trust                                | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7660000 | PA      | $7657606.25   | 0.32%             | 2037-10-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2025-6                            | CUSIP: 92540YAA7<br>LEI: 213800KZO2G8SSFFDH61 | Long             | ABS-MBS          | CORP              | US        |   6014053 | PA      | $6060531.03   | 0.25%             | 2070-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R08                 | CUSIP: 20755DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3520301 | PA      | $3773340.24   | 0.16%             | 2042-07-25      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2023-1                      | CUSIP: 68269JAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7783392.00   | 0.32%             | 2038-06-14      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304204 | PA      | $247016.23    | 0.01%             | 2063-02-25      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2019-K735 Mortgage Trust                               | CUSIP: 30298FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  89449203 | PA      | $24357.02     | 0.00%             | 2026-05-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Carlyle Euro CLO                                 | Carlyle Euro CLO 2017-1 DAC                                  | CUSIP: 000000000<br>LEI: 635400PVBNAP8EJWQD44 | Long             | ABS-CBDO         | CORP              | IE        |   5125000 | PA      | $6029607.06   | 0.25%             | 2034-07-15      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin                   | Santander Bank Auto Credit-Linked Notes Series 2023-A        | CUSIP: 80290CBX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23757 | PA      | $23916.92     | 0.00%             | 2033-06-15      | Fixed         | 10.07%                | No            |                  2 | On Loan: No      |
| ALA Trust                                        | ALA Trust 2025-OANA                                          | CUSIP: 009920AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6552791.70   | 0.27%             | 2040-06-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUS                   | Stream Innovations 2025-1 Issuer Trust                       | CUSIP: 86324XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3227776 | PA      | $3269860.14   | 0.14%             | 2045-09-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                   | US Bank C&I Credit-Linked Notes Series 2025-2                | CUSIP: 90355PAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6506597.50   | 0.27%             | 2032-09-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-AIR2                       | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2877540 | PA      | $2882036.59   | 0.12%             | 2041-10-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2025-B33RP             | CUSIP: 95004RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10800000 | PA      | $10790664.48  | 0.45%             | 2042-08-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2021-FCMT              | CUSIP: 95003EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690000 | PA      | $688329.79    | 0.03%             | 2031-05-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                      | Cherry Securitization Trust 2025-1                           | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10300000 | PA      | $10467264.79  | 0.43%             | 2032-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-SPOT                       | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9983313 | PA      | $9983313.08   | 0.41%             | 2040-04-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19341394 | PA      | $150634.64    | 0.01%             | 2070-02-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation Clo 2021-15 Ltd                                    | CUSIP: 28623VAU3<br>LEI: 5493005VN5WX000OV470 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2013556.00   | 0.08%             | 2035-01-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| 20 TSQ GroundCo LLC                              | 20 Times Square Trust 2018-20TS                              | CUSIP: 90137LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $84000.00     | 0.00%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2025-CES1                                | CUSIP: 749427AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8250000 | PA      | $8361800.70   | 0.35%             | 2045-01-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Polen Capital CLO Ltd                            | Polen Capital CLO 2025-1 Ltd                                 | CUSIP: 73110MAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $7018272.10   | 0.29%             | 2038-03-06      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                   | Avis Budget Rental Car Funding AESOP LLC                     | CUSIP: 05377RGY4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3498053.96   | 0.15%             | 2029-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2024-CES3                                | CUSIP: 74942AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2039068 | PA      | $2072125.67   | 0.09%             | 2044-05-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-1C                       | CUSIP: 05615EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2775000 | PA      | $2852241.29   | 0.12%             | 2044-06-15      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust Series 2025-CES1                    | CUSIP: 46658XAC9<br>LEI: 5299003TKRYXBBT76K08 | Long             | ABS-MBS          | CORP              | US        |   5723352 | PA      | $5768360.81   | 0.24%             | 2055-05-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                    | NYC Commercial Mortgage Trust 2025-300P                      | CUSIP: 67121TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $806007.92    | 0.03%             | 2042-07-13      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                    | MHC Commercial Mortgage Trust 2021-MHC                       | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1365600 | PA      | $1366453.50   | 0.06%             | 2038-04-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                   | Bain Capital Credit CLO 2022-4 Ltd                           | CUSIP: 05685BAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   8500000 | PA      | $8523219.45   | 0.35%             | 2037-10-16      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                   | ICG US Clo 2021-3 Ltd                                        | CUSIP: 449249AU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2755885.28   | 0.11%             | 2034-10-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2024-A                     | CUSIP: 00834BAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $907286.04    | 0.04%             | 2029-02-15      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                             | Signal Peak CLO 9 Ltd                                        | CUSIP: 82670QAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10415000 | PA      | $10435830.00  | 0.43%             | 2038-01-21      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Tikehau                                          | Tikehau CLO XIII DAC                                         | CUSIP: 000000000<br>LEI: 6354006QUI9OYIL7LT78 | Long             | ABS-CBDO         | CORP              | IE        |  15000000 | PA      | $17690956.40  | 0.73%             | 2038-10-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| HERITAGE PWR LLC                                 | HERITAGE PWR LLC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2132 | NS      | $1066.00      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SILVER ROCK CLO LTD                              | Silver Rock CLO I Ltd                                        | CUSIP: 82811RAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007839.80   | 0.08%             | 2037-10-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                   | OneMain Direct Auto Receivables Trust 2025-1                 | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4074502.40   | 0.17%             | 2037-07-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK38                                              | CUSIP: 06540EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265099 | PA      | $260149.27    | 0.01%             | 2064-12-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Hayfin Emerald CLO                               | Hayfin Emerald Clo X DAC                                     | CUSIP: 000000000<br>LEI: 635400QPLMTTI1BZII42 | Long             | ABS-CBDO         | CORP              | IE        |  10000000 | PA      | $11752819.31  | 0.49%             | 2039-10-18      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2021-XL2                        | CUSIP: 05609KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4760700 | PA      | $4756236.84   | 0.20%             | 2038-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2024-CES9                                | CUSIP: 749426AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6700000 | PA      | $6775695.26   | 0.28%             | 2044-12-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R01                 | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1357648.37   | 0.06%             | 2041-12-25      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                   | PRET 2025-NPL3 LLC                                           | CUSIP: 74143HAA3<br>LEI: 254900UGRYVHG7BY6M45 | Long             | ABS-O            | CORP              | US        |  11263821 | PA      | $11365570.35  | 0.47%             | 2055-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-SPOT                       | CUSIP: 12433FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9434231 | PA      | $9434230.86   | 0.39%             | 2040-04-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                | EURO-BUND                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -5 | NC      | $-52.01       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Capital Four CLO                                 | Capital Four CLO X DAC                                       | CUSIP: 000000000<br>LEI: 254900PXJCJG50SO9P20 | Long             | ABS-CBDO         | CORP              | IE        |   7000000 | PA      | $8222403.29   | 0.34%             | 2038-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                   | EFMT 2024-CES1                                               | CUSIP: 281907AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4685000 | PA      | $4749292.26   | 0.20%             | 2060-01-26      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                           | Northwoods Capital 22 Ltd                                    | CUSIP: 66858HBG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502581.05   | 0.06%             | 2031-09-16      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                   | Avis Budget Rental Car Funding AESOP LLC                     | CUSIP: 05377RGC2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   4120000 | PA      | $4213759.66   | 0.17%             | 2029-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                       | INCREF 2025-FL1 LLC                                          | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9000000 | PA      | $9005235.30   | 0.37%             | 2042-10-19      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Atlas Static Senior Loan Fund                    | Atlas Static Senior Loan Fund I Ltd                          | CUSIP: 04942PAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500750.00    | 0.02%             | 2030-07-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Kapitus Asset Securitization L                   | Kapitus Asset Securitization V LLC                           | CUSIP: 48555NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4511012.40   | 0.19%             | 2032-04-10      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198120 | PA      | $140501.24    | 0.01%             | 2064-01-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2025-I1                                            | CUSIP: 12571DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6721432 | PA      | $6788797.78   | 0.28%             | 2069-10-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Genesis Sales Finance Master T                   | Genesis Sales Finance Master Trust                           | CUSIP: 37186XAY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5667000 | PA      | $5709926.96   | 0.24%             | 2032-12-20      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Aimco                                            | AIMCO CLO 18 Ltd                                             | CUSIP: 00889EBA2<br>LEI: 2549005IX0D6XDJNNS95 | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $5016000.00   | 0.21%             | 2037-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                    | Ballyrock CLO 14 Ltd                                         | CUSIP: 05874XAL3<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |   7100000 | PA      | $7118481.30   | 0.30%             | 2037-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd                             | Gallatin CLO XI 2024-1 Ltd                                   | CUSIP: 36362HAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   5000000 | PA      | $5016249.50   | 0.21%             | 2037-10-20      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2017-V Ltd                                      | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |   6700000 | PA      | $6724039.60   | 0.28%             | 2037-07-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                               | Wind River 2021-3 CLO Ltd                                    | CUSIP: 97316DAQ9<br>LEI: 254900AGKLJSTAXGRN27 | Long             | ABS-CBDO         | CORP              | KY        |  10350000 | PA      | $10383222.47  | 0.43%             | 2038-04-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2025-NQM2 Trust                                          | CUSIP: 67120VAA3<br>LEI: 2549006BC0G3YEF5SL09 | Long             | ABS-MBS          | CORP              | US        |   3427144 | PA      | $3457990.59   | 0.14%             | 2064-11-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                             | Lhome Mortgage Trust 2025-Rtl2                               | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2019089.40   | 0.08%             | 2040-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Tralee CDO Ltd                                   | Tralee Clo VI Ltd                                            | CUSIP: 89289EBQ6<br>LEI: 5493008UP9ZP8RMZTC21 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4506884.55   | 0.19%             | 2032-10-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 42 Ltd                               | Elmwood CLO 42 Ltd                                           | CUSIP: 29005DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10030725.00  | 0.42%             | 2038-03-31      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                       | Atlas Senior Loan Fund XI Ltd                                | CUSIP: 04941YAC3<br>LEI: 635400RPGP64VI1SZW03 | Long             | ABS-CBDO         | CORP              | KY        |     94734 | PA      | $94775.13     | 0.00%             | 2031-07-26      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2023-HE3                            | CUSIP: 465985AB5<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |    685231 | PA      | $689909.48    | 0.03%             | 2054-05-20      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2025-3 Mortgage Loan Trust                              | CUSIP: 12674LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7697840 | PA      | $7740130.15   | 0.32%             | 2070-03-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                  | Contego Clo XIV DAC                                          | CUSIP: 000000000<br>LEI: 635400NLZP2UKDTVEG95 | Long             | ABS-CBDO         | CORP              | IE        |   1200000 | PA      | $1408860.00   | 0.06%             | 2037-10-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| AlbaCore Euro CLO                                | AlbaCore Euro CLO IV DAC                                     | CUSIP: 000000000<br>LEI: 635400OMGYX1QQYCTI48 | Long             | ABS-CBDO         | CORP              | IE        |   4000000 | PA      | $4711770.25   | 0.20%             | 2035-07-15      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Monument CLO                                     | Monument Clo 1 DAC                                           | CUSIP: 000000000<br>LEI: 254900PSVC5Y0GWN0R36 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3561330.75   | 0.15%             | 2037-05-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LUNR                                           | CUSIP: 05594CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3248989 | PA      | $3257111.47   | 0.14%             | 2040-06-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-AIR2                       | CUSIP: 05613QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1246934 | PA      | $1251220.52   | 0.05%             | 2041-10-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                      | Taurus 2025-3 UK Designated Activity Co                      | CUSIP: 000000000<br>LEI: 635400XWNSMBWUUQIW58 | Long             | ABS-MBS          | CORP              | IE        |   1650000 | PA      | $2211628.87   | 0.09%             | 2035-07-20      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                | Toro European CLO 8 DAC                                      | CUSIP: 000000000<br>LEI: 635400NGHEB1GFYATU96 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2365761.70   | 0.10%             | 2035-04-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer                   | MetroNet Infrastructure Issuer LLC                           | CUSIP: 59170JBB3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7611472.50   | 0.32%             | 2055-08-20      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RPL1 LLC                                           | CUSIP: 74390WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402000 | PA      | $364233.19    | 0.02%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | EUR/USD FORWARD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $63251.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                   | PRET 2025-NPL5 LLC                                           | CUSIP: 74143LAA4<br>LEI: 2549000L41AJEKAJNL30 | Long             | ABS-O            | CORP              | US        |   7097147 | PA      | $7150849.64   | 0.30%             | 2055-05-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corportation Trust 2021-IP            | CUSIP: 36262MAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1923571.85   | 0.08%             | 2036-10-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                 | SLG Office Trust 2021-OVA                                    | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3391365.60   | 0.14%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                 | Ocean Trails CLO XV Ltd                                      | CUSIP: 67515BAC6<br>LEI: 5493000CJCL8E235WY49 | Long             | ABS-CBDO         | CORP              | JE        |   3000000 | PA      | $3010230.30   | 0.12%             | 2037-01-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO LTD                              | Silver Rock CLO I Ltd                                        | CUSIP: 82811RBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2009579.60   | 0.08%             | 2037-10-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust Series 2025-NQM9             | CUSIP: 10569WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4999604.50   | 0.21%             | 2065-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu                   | GreenSky Home Improvement Issuer Trust 2025-2                | CUSIP: 39571VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4540496.40   | 0.19%             | 2060-06-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables                    | Exeter Automobile Receivables Trust                          | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2024584.20   | 0.08%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2022-LBA6                                           | CUSIP: 12433EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10250000 | PA      | $10237187.50  | 0.43%             | 2039-01-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                           | Northwoods Capital 22 Ltd                                    | CUSIP: 66858HBC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007759.80   | 0.08%             | 2031-09-16      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation Clo 2021-13 Ltd                                    | CUSIP: 28622EAW8<br>LEI: 549300YZ3RIOTSOP0V95 | Long             | ABS-CBDO         | CORP              | KY        |  13950000 | PA      | $13973018.90  | 0.58%             | 2034-07-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                 | 3 MONTH SOFR                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -67 | NC      | $-17710.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust Series 2025-CES5                    | CUSIP: 46594DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3023000 | PA      | $3022964.03   | 0.13%             | 2056-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RPL1 LLC                                           | CUSIP: 74390WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1144000 | PA      | $1052914.72   | 0.04%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Euro CLO                                 | Carlyle Euro CLO 2021-2 DAC                                  | CUSIP: 000000000<br>LEI: 635400GXUD5SKWFXE966 | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $588631.39    | 0.02%             | 2035-10-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                               | Tricon Residential 2025-SFR1 Trust                           | CUSIP: 895974AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4259053.78   | 0.18%             | 2042-03-17      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                     | Huntington Bank Auto Credit-Linked Notes Series 2024-1       | CUSIP: 44644NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813508 | PA      | $833297.57    | 0.03%             | 2032-05-20      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2021-ACNT                       | CUSIP: 05609QAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1806853 | PA      | $1806532.82   | 0.08%             | 2038-11-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| NGC Ltd                                          | NGC 2024-I Ltd                                               | CUSIP: 652927AJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   3500000 | PA      | $3512950.00   | 0.15%             | 2037-07-20      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Rockford Tower Europe CLO                        | Rockford Tower Europe CLO 2019-1 DAC                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   5200000 | PA      | $6186843.38   | 0.26%             | 2038-01-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2024-5C8 Mortgage Trust                                  | CUSIP: 09661XAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9929000 | PA      | $763452.72    | 0.03%             | 2057-12-15      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Bastille Funding                                 | Bastille Euro CLO 2020-3 DAC                                 | CUSIP: 000000000<br>LEI: 2138006IJX5FOJF25485 | Long             | ABS-CBDO         | CORP              | IE        |   7750000 | PA      | $9143108.09   | 0.38%             | 2039-01-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| TFS_18-3-A1                                      | TFS_18-3-A1                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |    149505 | PA      | $132522.51    | 0.01%             | 2026-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2023-CES1                          | CUSIP: 89181XAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701783 | PA      | $706993.70    | 0.03%             | 2063-07-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2025-DNA1                      | CUSIP: 35564NGA5<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $5276836.35   | 0.22%             | 2045-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                        | LBA Trust 2024-BOLT                                          | CUSIP: 50177BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3120000 | PA      | $3120000.00   | 0.13%             | 2039-06-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                   | Santander Drive Auto Receivables Trust 2025-1                | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3044708.70   | 0.13%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2021-ARIA                                           | CUSIP: 05608RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2669000 | PA      | $2668165.94   | 0.11%             | 2036-10-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | USD/EUR FORWARD                                              | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-40730.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sunrun Issuer                                    | Sunrun Vesta Issuer 2024-3 LLC                               | CUSIP: 86773AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    548612 | PA      | $536527.20    | 0.02%             | 2059-10-30      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                   | Bayview Opportunity Master Fund VII 2024-EDU1 LLC            | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685329 | PA      | $698321.39    | 0.03%             | 2047-06-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust Series 2025-NQM2                    | CUSIP: 46590SAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6745723 | PA      | $6796920.74   | 0.28%             | 2065-09-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                             | Signal Peak CLO 10 Ltd                                       | CUSIP: 82671CAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $7018200.70   | 0.29%             | 2038-01-24      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Strata CLO, Ltd                                  | Strata CLO II Ltd                                            | CUSIP: 86271PAN5<br>LEI: 5299000H3NG9PMZD9W94 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004720.20   | 0.08%             | 2033-10-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Tikehau US CLO Ltd                               | Tikehau US CLO II Ltd                                        | CUSIP: 88676LAY7<br>LEI: 254900I3YTWHVZHM1B33 | Long             | ABS-CBDO         | CORP              | BM        |   4600000 | PA      | $4623506.46   | 0.19%             | 2038-01-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                   | JPMBB Commercial Mortgage Securities Trust 2015-C33          | CUSIP: 46645JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $784.40       | 0.00%             | 2048-12-15      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                              | Sound Point CLO II Ltd                                       | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |    150386 | PA      | $150476.80    | 0.01%             | 2031-01-26      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                    | BLP Commercial Mortgage Trust 2025-IND                       | CUSIP: 05625BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10759000 | PA      | $10705205.00  | 0.44%             | 2042-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $543501.56    | 0.02%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                | Battalion Clo 17 Ltd                                         | CUSIP: 07133PAL3<br>LEI: 549300QQUW46V6EB1N30 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001532.00   | 0.08%             | 2034-03-09      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO LTD                              | Silver Rock CLO I Ltd                                        | CUSIP: 82811RBE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6042668.40   | 0.25%             | 2037-10-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei                   | Santander Mortgage Asset Receivable Trust 2025-NQM1          | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8113259 | PA      | $8163693.03   | 0.34%             | 2065-01-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2024-5C5 Mortgage Trust                                  | CUSIP: 05593RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18900000 | PA      | $1508773.77   | 0.06%             | 2057-02-15      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2014-USA OA LLC                                         | CUSIP: 12649AAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2679334 | PA      | $2461637.69   | 0.10%             | 2037-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2024-R1                                            | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3274644 | PA      | $3252194.40   | 0.14%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                   | Bayview Opportunity Master Fund VII 2024-CAR1 LLC            | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    695208 | PA      | $703260.62    | 0.03%             | 2031-12-26      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-COPT                       | CUSIP: 05618XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9100000 | PA      | $9105687.50   | 0.38%             | 2042-08-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2019-1 AMR, LTD.                         | TCW CLO 2019-1 AMR Ltd                                       | CUSIP: 87241EAW5<br>LEI: 549300RWQDI4UTTLDE63 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5003650.00   | 0.21%             | 2034-08-16      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RCF1 LLC                                           | CUSIP: 74390RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1766000 | PA      | $1712286.58   | 0.07%             | 2055-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $566302.65    | 0.02%             | 2070-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| ICG Euro CLO                                     | ICG Euro CLO 2023-1 DAC                                      | CUSIP: 000000000<br>LEI: 635400IDZDV7D9IJ8J46 | Long             | ABS-CBDO         | CORP              | IE        |  10000000 | PA      | $11745724.52  | 0.49%             | 2038-10-19      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                        | CBAMR 2018-8 Ltd                                             | CUSIP: 12478CBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2029004.20   | 0.08%             | 2037-07-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                             | LHOME Mortgage Trust 2024-RTL4                               | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7733000 | PA      | $7784052.49   | 0.32%             | 2039-07-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Henley Funding Ltd.                              | Henley Clo Xi DAC                                            | CUSIP: 000000000<br>LEI: 6354004ZEQIYPXESRG76 | Long             | ABS-CBDO         | CORP              | IE        |  12250000 | PA      | $14338434.02  | 0.60%             | 2039-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                | Toro European CLO 2 DAC                                      | CUSIP: 000000000<br>LEI: 213800UUXX2DYH3TCG21 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $3530337.24   | 0.15%             | 2034-07-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                        | Auxilior Term Funding 2023-1 LLC                             | CUSIP: 05335JAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $524707.80    | 0.02%             | 2030-12-16      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan                   | Laurel Road Prime Student Loan Trust 2019-A                  | CUSIP: 51889RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    762792 | PA      | $299743.49    | 0.01%             | 2048-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WCORE Commercial Mortgage Trus                   | WCORE Commercial Mortgage Trust 2024-CORE                    | CUSIP: 951913AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8025000.00   | 0.33%             | 2041-11-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2024-1CHI              | CUSIP: 95003PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3545517.85   | 0.15%             | 2035-07-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                         | NRTH Commercial Mortgage Trust 2025-PARK                     | CUSIP: 669985AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9200000 | PA      | $9177000.00   | 0.38%             | 2040-10-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Tikehau CLO IX DAC                               | Tikehau Clo IX DAC                                           | CUSIP: 000000000<br>LEI: 635400WF4D7I3IFMCZ19 | Long             | ABS-CBDO         | CORP              | IE        |   4000000 | PA      | $4698205.28   | 0.20%             | 2037-01-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2024-R06                 | CUSIP: 20755RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2303588.00   | 0.10%             | 2044-09-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                                 | Invesco Euro CLO IV DAC                                      | CUSIP: 000000000<br>LEI: 549300LLUOZ9GWTWJV80 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2347493.96   | 0.10%             | 2033-04-15      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2025-2                            | CUSIP: 92540VAA3<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |   7606176 | PA      | $7646797.06   | 0.32%             | 2070-03-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re Ltd                                            | CUSIP: 078915AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   4600000 | PA      | $4644859.66   | 0.19%             | 2034-08-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor                   | TCO Commercial Mortgage Trust 2024-DPM                       | CUSIP: 87231EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4920000 | PA      | $4932300.00   | 0.20%             | 2039-12-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD 2024-VICT Mortgage Trust                                | CUSIP: 05555VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3890250.00   | 0.16%             | 2041-07-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                  | Contego Clo V DAC                                            | CUSIP: 000000000<br>LEI: 549300RF10WJ1D9VYK55 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1758623.58   | 0.07%             | 2037-10-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-PAT                                            | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4125000 | PA      | $4126289.06   | 0.17%             | 2041-03-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-DIME                                           | CUSIP: 05613UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10000000.00  | 0.42%             | 2035-02-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, Ltd.                       | Sixth Street CLO XVI Ltd                                     | CUSIP: 83012DAQ6<br>LEI: 549300YD05LZSDNMVF16 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002304.30   | 0.04%             | 2037-01-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2024-CES9                                | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1807150 | PA      | $1826342.31   | 0.08%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-CES1                          | CUSIP: 89183HAC8<br>LEI: 254900FMI2GPXLO84795 | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6604824.85   | 0.27%             | 2055-02-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS Mortgage Trust 2024-5C31                               | CUSIP: 07336YAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26275000 | PA      | $2275551.63   | 0.09%             | 2057-12-15      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2025-VIS2                           | CUSIP: 46659RAF4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   4943000 | PA      | $4974266.45   | 0.21%             | 2063-01-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | Rckt Mortgage Trust 2025-CES4                                | CUSIP: 74937YAA6<br>LEI: 254900VY2F6O6C6XTD40 | Long             | ABS-MBS          | CORP              | US        |   6447266 | PA      | $6546997.87   | 0.27%             | 2055-04-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| AlbaCore Euro CLO                                | AlbaCore EURO CLO II DAC                                     | CUSIP: 000000000<br>LEI: 549300WN8XXHR94EX575 | Long             | ABS-CBDO         | CORP              | IE        |   5400000 | PA      | $6353476.63   | 0.26%             | 2034-06-15      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-AIRC                       | CUSIP: 12433CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4737148 | PA      | $4748965.07   | 0.20%             | 2039-08-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                               | BX Trust 2019-OC11                                           | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5936000 | PA      | $5613952.41   | 0.23%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | USD/EUR FORWARD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $129727.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                   | PMT Credit Risk Transfer Trust 2024-2R                       | CUSIP: 69391NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5429703 | PA      | $5486246.64   | 0.23%             | 2027-03-29      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Tikehau US CLO Ltd                               | Tikehau US CLO VI Ltd                                        | CUSIP: 88676PAE2<br>LEI: 254900G2SWUGII8WH893 | Long             | ABS-CBDO         | CORP              | BM        |   4100000 | PA      | $4119598.82   | 0.17%             | 2037-07-18      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                          | PMT Issuer Trust - FMSR                                      | CUSIP: 693968AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5200000 | PA      | $5234058.44   | 0.22%             | 2027-12-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                                    | OFSI BSL XII Ltd                                             | CUSIP: 67629HAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12950000 | PA      | $12993768.41  | 0.54%             | 2038-01-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| (PIPA070) PGIM Core Government Money Market Fund | (PIPA070) PGIM Core Government Money Market Fund             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  46273679 | NS      | $46273679.22  | 1.92%             |  |  |  | No            |                  1 | On Loan: No      |
| KKR Financial CLO Ltd                            | KKR CLO 49 Ltd                                               | CUSIP: 481939AR7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5004354.00   | 0.21%             | 2037-10-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                            | Mountain View CLO IX Ltd                                     | CUSIP: 62432BAQ6<br>LEI: 549300URXZ1TS31FK720 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751455.00    | 0.03%             | 2031-07-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179547 | PA      | $140782.14    | 0.01%             | 2063-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                   | Goodleap Sustainable Home Solutions Trust 2023-4             | CUSIP: 38237YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831091 | PA      | $815160.82    | 0.03%             | 2057-03-20      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                              | MidOcean Credit CLO III                                      | CUSIP: 59802UAN9<br>LEI: 549300XSCUX0ONI5KZ96 | Long             | ABS-CBDO         | CORP              | KY        |    153933 | PA      | $153867.36    | 0.01%             | 2031-04-21      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES3                          | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2717289 | PA      | $2751466.42   | 0.11%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                 | Marathon CLO 2020-15 Ltd                                     | CUSIP: 56579UBE5<br>LEI: 549300T57AS4PEWI4U14 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5024393.00   | 0.21%             | 2037-08-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Evergreen Credit Card Trust                      | Evergreen Credit Card Trust                                  | CUSIP: 30023JCT3<br>LEI: 5493002G9KVV6J3CNU15 | Long             | ABS-O            | CORP              | CA        |   5000000 | PA      | $5043671.50   | 0.21%             | 2028-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                    | MTN Commercial Mortgage Trust 2022-LPFL                      | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7250000 | PA      | $7247734.38   | 0.30%             | 2039-03-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                   | GoodLeap Sustainable Home Solutions Trust 2024-1             | CUSIP: 38237BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2039775 | PA      | $1981813.53   | 0.08%             | 2057-06-20      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                   | VCAT 2025-NPL3 LLC                                           | CUSIP: 92243QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4435407 | PA      | $4440066.39   | 0.18%             | 2055-02-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| WCORE Commercial Mortgage Trus                   | WCORE Commercial Mortgage Trust 2024-CORE                    | CUSIP: 951913AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4011250.00   | 0.17%             | 2041-11-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                  | Oaktree CLO 2019-4 Ltd                                       | CUSIP: 67402CBG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3750000 | PA      | $3763800.75   | 0.16%             | 2037-07-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                   | ELM Trust 2024-ELM                                           | CUSIP: 26860XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2765830.93   | 0.11%             | 2039-06-10      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                   | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM2     | CUSIP: 617941AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9350386 | PA      | $9429721.67   | 0.39%             | 2070-01-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                | Battalion CLO X Ltd                                          | CUSIP: 07132JBC7<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500608.90    | 0.02%             | 2035-01-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Grosvenor Place CLO                              | Grosvenor Place Clo 2025-3 DAC                               | CUSIP: 000000000<br>LEI: 635400EREZCEXMLLMF26 | Long             | ABS-CBDO         | CORP              | IE        |  10000000 | PA      | $11762837.48  | 0.49%             | 2039-08-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Allen Media LLC                                  | Allen Media LLC                                              | CUSIP: 01771JAG8<br>LEI: 549300ERNJNM4RN5JP79 | Long             | LON              | CORP              | US        |    288944 | PA      | $203705.58    | 0.01%             | 2027-02-10      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-PURE                       | CUSIP: 74625PAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   1918484 | PA      | $1380199.89   | 0.06%             | 2041-11-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation CLO 2021-12 Ltd                                    | CUSIP: 28623MAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1504664.55   | 0.06%             | 2037-04-20      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Babson Euro CLO B.V.                             | Barings Euro CLO 2021-2 DAC                                  | CUSIP: 000000000<br>LEI: 549300WLKHU1JJG5SG04 | Long             | ABS-CBDO         | CORP              | IE        |   3950000 | PA      | $4636226.83   | 0.19%             | 2034-10-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Canyon Euro CLO DAC                              | Canyon Euro CLO 2025-1 DAC                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |  10000000 | PA      | $11731201.52  | 0.49%             | 2038-04-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-1C                       | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8209749.60   | 0.34%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2021-ARIA                                           | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3370000 | PA      | $3370000.00   | 0.14%             | 2036-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                        | Madison Park Euro Funding XIII DAC                           | CUSIP: 000000000<br>LEI: 635400DWZPBUYDTIFB95 | Long             | ABS-CBDO         | CORP              | IE        |   4390205 | PA      | $5142475.82   | 0.21%             | 2032-01-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                   | PMT Credit Risk Transfer Trust 2024-1R                       | CUSIP: 73015AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4789217 | PA      | $4846211.30   | 0.20%             | 2033-05-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Saratoga Investment Corp CLO L                   | Saratoga Investment Corp CLO 2013-1 Ltd                      | CUSIP: 80349BCD7<br>LEI: 549300471O2DE0Y4L506 | Long             | ABS-CBDO         | CORP              | KY        |   1858449 | PA      | $1861396.97   | 0.08%             | 2033-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                    | GS Mortgage-Backed Securities Trust 2024-HE2                 | CUSIP: 36271AAB9<br>LEI: 254900W4Z6DJOVCWAH28 | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3609741.24   | 0.15%             | 2055-01-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-CES1                          | CUSIP: 89183HAD6<br>LEI: 254900FMI2GPXLO84795 | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4887933.12   | 0.20%             | 2055-02-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Bayview Financing Trust                          | Bayview Financing Trust 2023-1F                              | CUSIP: 07336HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408179 | PA      | $409643.82    | 0.02%             | 2026-07-01      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Sculptor European CLO                            | Sculptor European CLO VII DAC                                | CUSIP: 000000000<br>LEI: 6354009MYVCVIBG64Q24 | Long             | ABS-CBDO         | CORP              | IE        |   8000000 | PA      | $9417627.99   | 0.39%             | 2038-01-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2025-RP1                       | CUSIP: 17332HAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58821 | PA      | $31477.12     | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164547 | PA      | $21567.80     | 0.00%             | 2063-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                              | SOUND POINT CLO VII-R Ltd                                    | CUSIP: 83610HAL4<br>LEI: 549300IYECLSB6ZQZB89 | Long             | ABS-CBDO         | CORP              | KY        |    910490 | PA      | $911432.74    | 0.04%             | 2031-10-23      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                         | NRTH Commercial Mortgage Trust 2025-PARK                     | CUSIP: 669985AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3989726.68   | 0.17%             | 2040-10-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Sunrun Issuer                                    | Sunrun Bacchus Issuer 2025-1 LLC                             | CUSIP: 86771PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6502014 | PA      | $6538035.31   | 0.27%             | 2060-04-30      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RPL1 LLC                                           | CUSIP: 74390WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1172000 | PA      | $1106220.68   | 0.05%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ondeck Asset Securitization Tr                   | OnDeck Asset Securitization IV LLC                           | CUSIP: 68237DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800000 | PA      | $4810933.92   | 0.20%             | 2032-04-19      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2023-BRK2                                          | CUSIP: 05610WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2090857.60   | 0.09%             | 2038-10-05      | Variable      | 8.63%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trus                   | Durst Commercial Mortgage Trust 2025-151                     | CUSIP: 266895AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2745000 | PA      | $2786801.41   | 0.12%             | 2042-08-10      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                | Battalion CLO XXIII Ltd                                      | CUSIP: 07135LAL0<br>LEI: 54930050XKM90CCQIQ92 | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5520675.05   | 0.23%             | 2037-10-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2025-5 Mortgage Loan Trust                              | CUSIP: 19689AAD7<br>LEI: 213800S6EGXVNRKXHN58 | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2138216.43   | 0.09%             | 2070-05-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                   | Bain Capital Credit CLO 2022-4 Ltd                           | CUSIP: 05685BAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $5022251.50   | 0.21%             | 2037-10-16      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                       | NLT 2025-INV1 Trust                                          | CUSIP: 62916TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2442568 | PA      | $2460977.42   | 0.10%             | 2070-02-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-VLT4                                           | CUSIP: 05612TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6400000 | PA      | $6404000.00   | 0.27%             | 2041-06-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| 20 TSQ GroundCo LLC                              | 20 Times Square Trust 2018-20TS                              | CUSIP: 90137LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $468000.00    | 0.02%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                        | Anchorage Capital CLO 7 Ltd                                  | CUSIP: 03328TBU8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |   3124000 | PA      | $3140681.54   | 0.13%             | 2037-04-28      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust 2025-NQM2                    | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |   3581875 | PA      | $3616292.35   | 0.15%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Commercial Mortgage Trust 2024-PARK                      | CUSIP: 05593UAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1630000 | PA      | $1670958.80   | 0.07%             | 2039-11-05      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Z Capital Credit Partners BSL                    | Z Capital Credit Partners BSL CLO 2024-1 Ltd                 | CUSIP: 98877JAG7<br>LEI: 254900DSGRS62ZX4HI79 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2016246.80   | 0.08%             | 2036-04-16      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| European Loan Conduit                            | Salus European Loan Conduit NO 33 DAC                        | CUSIP: 000000000<br>LEI: 635400BIYQM1LPPW1N05 | Long             | ABS-MBS          | CORP              | IE        |   1961437 | PA      | $2649379.50   | 0.11%             | 2032-01-23      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2025-800D                  | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3590000 | PA      | $3595086.67   | 0.15%             | 2041-11-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2024-CES4                                | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2574243 | PA      | $2608448.15   | 0.11%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                    | NYC Commercial Mortgage Trust 2025-3BP                       | CUSIP: 67120UAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9993365.00   | 0.41%             | 2042-02-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                             | Signal Peak CLO 11 Ltd                                       | CUSIP: 82666XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15067500.00  | 0.63%             | 2037-07-18      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Octagon 59 Ltd                                   | Octagon 59 Ltd                                               | CUSIP: 675930AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $600750.12    | 0.02%             | 2035-05-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY HSG DEV CORP                    | New York City Housing Development Corp                       | CUSIP: 64966TGS7<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   4800000 | PA      | $4918160.16   | 0.20%             | 2031-12-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RCF1 LLC                                           | CUSIP: 74390RAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1369996.18   | 0.06%             | 2055-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                     | Huntington Bank Auto Credit-Linked Notes Series 2024-2       | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1141874 | PA      | $1154003.29   | 0.05%             | 2032-10-20      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2015-P2                | CUSIP: 95000AAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6400000 | PA      | $2887.04      | 0.00%             | 2048-12-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-2 LLC                                              | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4878030 | PA      | $4895737.40   | 0.20%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-TY                                            | CUSIP: 05592AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355000 | PA      | $353682.91    | 0.01%             | 2038-09-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                   | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM7     | CUSIP: 61779KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9900000 | PA      | $9878360.58   | 0.41%             | 2070-09-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                      | Taurus 2021-4 UK DAC                                         | CUSIP: 000000000<br>LEI: 6354001CXJE7XMMVG324 | Long             | ABS-MBS          | CORP              | IE        |    159856 | PA      | $215540.99    | 0.01%             | 2031-08-17      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | CAD/USD FORWARD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $23723.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Euro CLO                            | Bain Capital Euro Clo 2018-2 DAC                             | CUSIP: 000000000<br>LEI: 635400CJJQJHYAMATG34 | Long             | ABS-CBDO         | CORP              | IE        |    515078 | PA      | $603832.89    | 0.03%             | 2032-01-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21  | CUSIP: 61764XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9770183 | PA      | $97.70        | 0.00%             | 2048-03-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N                   | Ally Bank Auto Credit-Linked Notes Series 2024-A             | CUSIP: 02007GZ97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    487274 | PA      | $503610.25    | 0.02%             | 2032-05-17      | Fixed         | 9.89%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2021-ARIA                                           | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8500000 | PA      | $8500000.00   | 0.35%             | 2036-10-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Aurium CLO                                       | Aurium Clo VIII DAC                                          | CUSIP: 000000000<br>LEI: 549300FEAY35HPC4RS38 | Long             | ABS-CBDO         | CORP              | IE        |  15000000 | PA      | $17610750.00  | 0.73%             | 2038-10-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2023-R02                 | CUSIP: 20755AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8660000.00   | 0.36%             | 2043-01-25      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                     | St Pauls CLO                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $831168.58    | 0.03%             | 2032-01-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                             | LHOME Mortgage Trust 2025-RTL3                               | CUSIP: 50205YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1507229.10   | 0.06%             | 2040-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GRP LLC- CS                       | DIAMOND SPORTS GRP LLC- CS                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3163 | NS      | $32420.75     | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Tru                   | COOPR Residential Mortgage Trust 2025-CES2                   | CUSIP: 12674UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3031520.40   | 0.13%             | 2060-06-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                             | SCG Commercial Mortgage Trust 2025-DLFN                      | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9825000 | PA      | $9818859.38   | 0.41%             | 2035-03-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                           | Invitation Homes 2024-SFR1 Trust                             | CUSIP: 46188DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1746301.32   | 0.07%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Heritage Power LLC                               | HERITAGE POWER LLC                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13783 | PA      | $13576.15     | 0.00%             | 2028-07-20      | Floating      | 9.50%                 | No            |                  3 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2024-RCF6 LLC                                           | CUSIP: 74390FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $667320.50    | 0.03%             | 2064-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ONE Park Mortgage Trust                          | ONE 2021-PARK Mortgage Trust                                 | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4928544.00   | 0.20%             | 2036-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2024-A                     | CUSIP: 00834BAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005926.80   | 0.04%             | 2029-02-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES5                          | CUSIP: 89183QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2289000 | PA      | $2289230.96   | 0.10%             | 2064-09-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| PENTA CLO 3 DESIGNATED ACTIVIT                   | Penta CLO 3 DAC                                              | CUSIP: 000000000<br>LEI: 6354005OXNNWWOAOCX44 | Long             | ABS-CBDO         | CORP              | IE        |  10000000 | PA      | $11741662.31  | 0.49%             | 2038-10-17      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation CLO 2021-12 Ltd                                    | CUSIP: 28623MBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1521839.40   | 0.06%             | 2037-04-20      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-BCAT                       | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4791424 | PA      | $4795916.14   | 0.20%             | 2042-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-CES1                          | CUSIP: 89183HAE4<br>LEI: 254900FMI2GPXLO84795 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4072633.60   | 0.17%             | 2055-02-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| Barings Euro CLO                                 | Barings Euro CLO 2020-1 DAC                                  | CUSIP: 000000000<br>LEI: 5493007R4SFFXIAHHB67 | Long             | ABS-CBDO         | CORP              | IE        |   4400000 | PA      | $5174629.27   | 0.21%             | 2034-10-21      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Lugo Funding DAC                                 | Lugo Funding DAC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |   3535000 | PA      | $4046402.17   | 0.17%             | 2066-05-26      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Barrow Hanley CLO LTD                            | Barrow Hanley CLO III Ltd                                    | CUSIP: 06875VAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1275821.88   | 0.05%             | 2037-04-20      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                    | Sierra Timeshare 2023-2 Receivables Funding LLC              | CUSIP: 82650BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165730 | PA      | $174057.20    | 0.01%             | 2040-04-20      | Fixed         | 9.72%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2023-5YR3                                              | CUSIP: 06211EBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $760110.30    | 0.03%             | 2056-09-15      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| MENLO CLO                                        | Menlo CLO I Ltd                                              | CUSIP: 586915AA8<br>LEI: 2549005RHPY3C68SIP61 | Long             | ABS-CBDO         | CORP              | KY        |   7250000 | PA      | $7283634.93   | 0.30%             | 2038-01-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Diamond Sports Net, LLC                          | DIAMOND SPORTS NET LLC                                       | CUSIP: 25277EAB8<br>LEI: 549300MPO5H6LGX4RJ82 | Long             | LON              | CORP              | US        |     22600 | PA      | $19661.90     | 0.00%             | 2028-01-02      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-COPT                       | CUSIP: 05618XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3001875.00   | 0.12%             | 2042-08-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO XVI DAC                         | Invesco Euro CLO XVI DAC                                     | CUSIP: 000000000<br>LEI: 635400ZPCVNRJJQNCK35 | Long             | ABS-CBDO         | CORP              | IE        |   8000000 | PA      | $9440000.68   | 0.39%             | 2038-10-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2025-X1                    | CUSIP: 00834MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10400000 | PA      | $10453061.84  | 0.43%             | 2030-04-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                      | Legacy Mortgage Asset Trust 2025-PR1                         | CUSIP: 52476AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20067800 | PA      | $20047013.86  | 0.83%             | 2061-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                           | Rockford Tower CLO 2021-3 Ltd                                | CUSIP: 77341NAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5325000 | PA      | $5351517.44   | 0.22%             | 2038-01-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R03                 | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3204390.00   | 0.13%             | 2042-03-25      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company              | USD/EUR FORWARD                                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3457.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2021-FCMT              | CUSIP: 95003EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1097338.66   | 0.05%             | 2031-05-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US ULTRA BOND CBT                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         1 | NC      | $2818.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | WFCM Commercial Mortgage Trust 2024-GRP                      | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2850000 | PA      | $2859430.37   | 0.12%             | 2041-10-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| ONE Park Mortgage Trust                          | ONE 2021-PARK Mortgage Trust                                 | CUSIP: 682413AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $372857.32    | 0.02%             | 2036-03-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Tru                   | COOPR Residential Mortgage Trust 2025-CES3                   | CUSIP: 216926AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1487644.40   | 0.06%             | 2060-09-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2021-FCMT              | CUSIP: 95003EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002171.70   | 0.04%             | 2031-05-15      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-CES2                          | CUSIP: 89183KAA5<br>LEI: 25490031FI1THTB1EH80 | Long             | ABS-MBS          | CORP              | US        |  21105023 | PA      | $21240704.64  | 0.88%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Hayfin Emerald CLO                               | Hayfin Emerald CLO XIV DAC                                   | CUSIP: 000000000<br>LEI: 635400DTCNEUJDSEHR95 | Long             | ABS-CBDO         | CORP              | IE        |  11000000 | PA      | $12932901.58  | 0.54%             | 2039-01-22      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| PPM Clo, Ltd.                                    | PPM CLO 4 Ltd                                                | CUSIP: 69356ABC5<br>LEI: 5493006KUFG82AH4TB78 | Long             | ABS-CBDO         | CORP              | KY        |   8800000 | PA      | $8828204.00   | 0.37%             | 2038-03-18      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-AIRC                       | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3838400 | PA      | $3845597.37   | 0.16%             | 2039-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                           | Canyon Capital CLO 2019-1 Ltd                                | CUSIP: 13887TAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008680.40   | 0.08%             | 2037-07-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                   | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd         | CUSIP: 000000000<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |    348449 | PA      | $408563.71    | 0.02%             | 2031-11-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                   | OneMain Direct Auto Receivables Trust 2021-1                 | CUSIP: 682687AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $893527.65    | 0.04%             | 2028-07-14      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| Penta CLO 14 DAC                                 | Penta CLO 14 DAC                                             | CUSIP: 000000000<br>LEI: 549300KV4K41MAFRA061 | Long             | ABS-CBDO         | CORP              | IE        |   3500000 | PA      | $4109553.04   | 0.17%             | 2037-10-20      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                   | OneMain Direct Auto Receivables Trust 2023-1                 | CUSIP: 682685AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1041231.20   | 0.04%             | 2033-02-14      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu                   | GreenSky Home Improvement Trust 2024-1                       | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1339096 | PA      | $1346067.73   | 0.06%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/CAD FORWARD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-20730.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corportation Trust 2021-IP            | CUSIP: 36262MAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $137973.85    | 0.01%             | 2036-10-15      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2021-XL2                        | CUSIP: 05609KAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2292500 | PA      | $2289634.38   | 0.10%             | 2038-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu                   | GoodLeap Home Improvement Solutions Trust 2025-2             | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6209284 | PA      | $6278169.42   | 0.26%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ROIC                                           | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6474748 | PA      | $6485016.45   | 0.27%             | 2030-03-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                   | Goodleap Sustainable Home Solutions Trust 2023-2             | CUSIP: 38237AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4334092 | PA      | $4023923.25   | 0.17%             | 2055-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RCF3 LLC                                           | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7220099 | PA      | $7269851.04   | 0.30%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                       | Atlas Senior Loan Fund XV Ltd                                | CUSIP: 04942MAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4004437.60   | 0.17%             | 2032-10-23      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                                   | CQS US CLO 2021-1 Ltd                                        | CUSIP: 12659UAN2<br>LEI: 549300GF7PVRIKZNMY06 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $7017080.70   | 0.29%             | 2035-01-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RPL1 LLC                                           | CUSIP: 74390WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10284814 | PA      | $10079737.81  | 0.42%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 10YR NOTE (CBT)                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -233 | NC      | $-102479.49   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank5                                            | BANK5 2024-5YR8                                              | CUSIP: 065923AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13643000 | PA      | $1221193.12   | 0.05%             | 2057-08-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                | EURO-BOBL                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -5 | NC      | $1204.45      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Carval CLO LTD                                   | CarVal CLO VII-C Ltd                                         | CUSIP: 14686BAN7<br>LEI: 254900KRTGHP264UWC15 | Long             | ABS-CBDO         | CORP              | JE        |   4000000 | PA      | $4017974.40   | 0.17%             | 2037-07-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                              | Sound Point CLO XXVI Ltd                                     | CUSIP: 83614XAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    990000 | PA      | $991831.70    | 0.04%             | 2034-07-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                   | Goodleap Sustainable Home Solutions Trust 2023-3             | CUSIP: 38237CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405639 | PA      | $395284.70    | 0.02%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu                   | GoodLeap Home Improvement Solutions Trust 2025-1             | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5333637 | PA      | $5411178.40   | 0.22%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd                             | Gallatin CLO X 2023-1 Ltd                                    | CUSIP: 36362MAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $1003260.10   | 0.04%             | 2035-10-14      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                             | Cross 2025-H2 Mortgage Trust                                 | CUSIP: 22758PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7657039 | PA      | $7700423.77   | 0.32%             | 2070-03-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| ONE Park Mortgage Trust                          | ONE 2021-PARK Mortgage Trust                                 | CUSIP: 682413AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1457590.35   | 0.06%             | 2036-03-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                  | Venture XIX CLO Ltd                                          | CUSIP: 92330EAP2<br>LEI: 549300KIDQKDB48YU144 | Long             | ABS-CBDO         | CORP              | KY        |    867367 | PA      | $868567.64    | 0.04%             | 2032-01-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                   | CSAIL 2015-C4 Commercial Mortgage Trust                      | CUSIP: 12635RBA5<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |  25076000 | PA      | $162.99       | 0.00%             | 2048-11-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS 2018-CHRS Mortgage Trust                               | CUSIP: 05491VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $930376.30    | 0.04%             | 2038-08-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| PGIM AAA CLO ETF                                 | PGIM AAA CLO ETF                                             | CUSIP: 69344A834<br>LEI: 5493000IJ4TGDWNHKI54 | Long             | EC               | RF                | US        |    725000 | NS      | $37337500.00  | 1.55%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $249482.42    | 0.01%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                     | Huntington Bank Auto Credit-Linked Notes Series 2025-1       | CUSIP: 446438SZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3112149 | PA      | $3104659.97   | 0.13%             | 2033-03-21      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                                   | CQS US CLO 2023-3 Ltd                                        | CUSIP: 223929AJ9<br>LEI: 254900OIQPM0JE7KVZ52 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1005841.00   | 0.04%             | 2037-01-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                         | NRTH Commercial Mortgage Trust 2025-PARK                     | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4900000 | PA      | $4887412.34   | 0.20%             | 2040-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Signal Harmonic CLO                              | Signal Harmonic CLO I DAC                                    | CUSIP: 000000000<br>LEI: 635400CPGNMPPUYRUY64 | Long             | ABS-CBDO         | CORP              | IE        |  11500000 | PA      | $13540297.52  | 0.56%             | 2038-07-15      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                     | Hudson Yards 2025-SPRL Mortgage Trust                        | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5400000 | PA      | $5615280.18   | 0.23%             | 2040-01-13      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus                   | WHARF Commercial Mortgage Trust 2025-DC                      | CUSIP: 92987LAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5690000 | PA      | $5841994.13   | 0.24%             | 2040-07-15      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                             | Eleven Madison Trust 2015-11MD Mortgage Trust                | CUSIP: 556227AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $347949.14    | 0.01%             | 2035-09-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                   | ARES Trust 2025-IND3                                         | CUSIP: 039955AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3640000 | PA      | $3642275.00   | 0.15%             | 2042-04-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                        | Avoca Capital CLO X Ltd                                      | CUSIP: 000000000<br>LEI: 635400SFFWCTHJHBZK84 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $877344.67    | 0.04%             | 2035-04-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2024-RP2                       | CUSIP: 173106AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298036 | PA      | $26019.54     | 0.00%             | 2063-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VNO Mortgage Trust                               | VNDO Trust 2016-350P                                         | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10475000 | PA      | $10260091.76  | 0.43%             | 2035-01-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Babson Euro CLO B.V.                             | Barings Euro CLO 2021-1 DAC                                  | CUSIP: 000000000<br>LEI: 549300D83T2O13OUPP03 | Long             | ABS-CBDO         | CORP              | IE        |   2200000 | PA      | $2568931.55   | 0.11%             | 2034-04-24      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XVIII Ltd                       | Marble Point CLO XVIII Ltd                                   | CUSIP: 566076BE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15024604.50  | 0.62%             | 2038-03-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Tenneco Inc                                      | TENNECO INC                                                  | CUSIP: 88037HAP9<br>LEI: 549300U0EXXFAQFAD785 | Long             | LON              | CORP              | US        |    350000 | PA      | $342222.30    | 0.01%             | 2028-11-17      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                     | Anchorage Capital Europe CLO 8 DAC                           | CUSIP: 000000000<br>LEI: 635400VEGED5ZD9DOU65 | Long             | ABS-CBDO         | CORP              | IE        |   5000000 | PA      | $5885037.16   | 0.24%             | 2038-10-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** Prudential Investment Portfolios 8

**Signature:** Christian J. Kelly

**Name of Signer:** Christian J. Kelly

**Title:** Chief Financial Officer