# EDGAR Filing Document

**Accession Number:** 0002042317
**File Stem:** 0001752724-25-209151
**Filing Date:** 2025-8
**Character Count:** 171938
**Document Hash:** 3db910778e3df892bce2dd75b6437e98
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-209151.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-209151

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Victory Variable Insurance Funds II
- **CENTRAL INDEX KEY:** 0002042317

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-24018
- **FILM NUMBER:** 251264052

**BUSINESS ADDRESS:**
- **STREET 1:** 15935 LA CANTERA PARKWAY
- **CITY:** SAN ANTONIO
- **STATE:** TX
- **ZIP:** 78256
- **BUSINESS PHONE:** (210) 697-3624

**MAIL ADDRESS:**
- **STREET 1:** 15935 LA CANTERA PARKWAY
- **CITY:** SAN ANTONIO
- **STATE:** TX
- **ZIP:** 78256

## Series and Classes Contracts Data

### Victory Pioneer Strategic Income VCT Portfolio (Series ID: S000089714)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000256345 | Class II     |  |
| C000256346 | Class I      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Victory Variable insurance Funds II

- **b. Investment Company Act file number:** 811-24018

- **c. CIK number of Registrant:** 0002042317

- **d. LEI of Registrant:** 2549008Q8LHE6TN5VU40

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

  - **Street Address 1:** 15935 LA CANTERA PARKWAY

  - **City:** SAN ANTONIO

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 78256

  - **Telephone number:** 210-697-3624

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

- **a. Name of Series:** Victory Pioneer Strategic Income VCT Portfolio

- **b. EDGAR series identifier (if any):** S000089714

- **c. LEI of Series:** KIE2348SOBWF0QF72O51

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $32802030.45

**Total Liabilities:** $3113534.21

**Net Assets:** $29688496.24

**Stand-by Commitments:** $2855036.91

**Cash Not Reported:** $613045.43

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7.00000000 | **1-Year:** -37.00000000 | **5-Year:** -4139.00000000 | **10-Year:** -3286.00000000 | **30-Year:** -3113.00000000

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

- **3-Month:** -11.00000000 | **1-Year:** -91.00000000 | **5-Year:** -5846.00000000 | **10-Year:** -691.00000000 | **30-Year:** -926.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000256345 | 0.37%                | 0.04%                | 2.36%                |
| Class ID C000256346 | 0.28%                | 0.17%                | 2.38%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-46189.15               | $-64457.46                                 |
| Month 2  | $17935.43                | $45981.56                                  |
| Month 3  | $-16106.54               | $415031.08                                 |

**Designated Index Information**

- **Index Name:** Portfolio ex-derivatives

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36290RUG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       230 | PA      | $231.34       | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R03                              | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $50404.76     | 0.17%             | 2044-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-HY1                                        | CUSIP: 89177EAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101370.61    | 0.34%             | 2048-10-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31335AWT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20320 | PA      | $18805.65     | 0.06%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    260000 | PA      | $268246.88    | 0.90%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA3                                   | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $39581.46     | 0.13%             | 2050-07-25      | Floating      | 14.42%                | No            |                  2 | On Loan: No      |
| CIDRON AIDA FINCO SARL                      | Cidron Aida Finco Sarl                                                    | CUSIP: 000000000<br>LEI: 98450036A07991DEBF10 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $120241.21    | 0.41%             | 2031-10-27      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36211RFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       540 | PA      | $547.40       | 0.00%             | 2030-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                     | Avis Budget Car Rental LLC / Avis Budget Finance Inc                      | CUSIP: 053773BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $5231.10      | 0.02%             | 2032-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/EUR FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5277.48     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Trust 2019-5                                       | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $88824.89     | 0.30%             | 2052-02-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC LLC/INC                    | Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $28855.40     | 0.10%             | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABRA GLOBAL FINANCE                         | ABRA Global Finance                                                       | CUSIP: 000852AC7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     52797 | PA      | $40072.65     | 0.13%             | 2029-10-22      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                        | Mercedes-Benz Finance North America LLC                                   | CUSIP: 58769JBH9<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152175.89    | 0.51%             | 2035-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                             | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $198843.58    | 0.67%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/IDR FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1046.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     58000 | PA      | $64575.34     | 0.22%             | 2084-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VELOCITY VEHICLE GROUP                      | Velocity Vehicle Group LLC                                                | CUSIP: 92262TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9991.92      | 0.03%             | 2029-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corpo              | Triangle Re 2023-1 Ltd                                                    | CUSIP: 89589AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97484 | PA      | $98560.56     | 0.33%             | 2033-11-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                       | Freedom Mortgage Holdings LLC                                             | CUSIP: 35641AAB4<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46385.20     | 0.16%             | 2031-05-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382AFH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180472 | PA      | $29718.39     | 0.10%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3265 | PA      | $3362.65      | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -700000 | PA      | $-636323.46   | -2.14%            | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                      | BP Capital Markets PLC                                                    | CUSIP: 05565QDX3<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    290000 | PA      | $289522.63    | 0.98%             | N/A             | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-SBT1                             | CUSIP: 20753VCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $51928.43     | 0.17%             | 2040-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS AMERICAN AIRLINES GROUP INC                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1877.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KEY COMMERCIAL MORTGAGE TRUST               | Key Commercial Mortgage Securities Trust 2019-S2                          | CUSIP: 49307XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49621 | PA      | $47538.67     | 0.16%             | 2052-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78506 | PA      | $71173.79     | 0.24%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-2 Trust                       | CUSIP: 949930AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $65072.91     | 0.22%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA4                                   | CUSIP: 35564KPN3<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $46315.18     | 0.16%             | 2041-12-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 3620AMK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4765 | PA      | $4682.75      | 0.02%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                              | Hertz Corp/The                                                            | CUSIP: 42804VBB6<br>LEI: 549300PD0C69OJ0NLB27 | Long             | LON              | CORP              | US        |    203200 | PA      | $169671.72    | 0.57%             | 2028-06-30      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                            | DT Midstream Inc                                                          | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30552.36     | 0.10%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                        | Saudi Arabian Oil Co                                                      | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    210000 | PA      | $209921.47    | 0.71%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36212WUQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29431 | PA      | $28733.01     | 0.10%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    165000 | PA      | $173606.34    | 0.58%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                     | Energean Israel Finance Ltd                                               | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |     72000 | PA      | $66240.00     | 0.22%             | 2031-03-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                         | DataBank Issuer                                                           | CUSIP: 23802WAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $59743.84     | 0.20%             | 2054-01-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3514 | PA      | $3487.16      | 0.01%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XJE74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74041 | PA      | $75289.89     | 0.25%             | 2050-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                      | Choice Hotels International Inc                                           | CUSIP: 169905AH9<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15117.01     | 0.05%             | 2034-08-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                     | Algonquin Power & Utilities Corp                                          | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |     15000 | PA      | $15079.87     | 0.05%             | 2026-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132XUZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1204 | PA      | $1082.43      | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                 | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $84153.86     | 0.28%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31371KLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43 | PA      | $44.11        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                       | Freedom Mortgage Holdings LLC                                             | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5053.89      | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                    | Columbia Pipelines Holding Co LLC                                         | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $40173.46     | 0.14%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                  | BINOM Securitization Trust 2022-RPL1                                      | CUSIP: 05552CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $72679.68     | 0.24%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2021-FL7 LLC                             | CUSIP: 75575WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50000 | PA      | $49709.66     | 0.17%             | 2036-11-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DNP56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72672 | PA      | $73927.94     | 0.25%             | 2049-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $259542.16    | 0.87%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                  | DaVita Inc                                                                | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30977.91     | 0.10%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AS1<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5478.87      | 0.02%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136B1Z98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14142 | PA      | $1799.13      | 0.01%             | 2048-06-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                                    | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $195290.00    | 0.66%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FITNESS & SPORTS CLUBS LLC                  | FITNESS & SPORTS CLUBS LLC                                                | CUSIP: 33818XAM2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     15366 | PA      | $15442.59     | 0.05%             | 2029-02-12      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NCG8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $51949.40     | 0.17%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382AFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180295 | PA      | $30186.82     | 0.10%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                             | CUSIP: 17327CAV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     81000 | PA      | $82726.85     | 0.28%             | N/A             | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                     | International Bank for Reconstruction & Development                       | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |   4000000 | PA      | $46394.52     | 0.16%             | 2030-04-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361222 | PA      | $297271.81    | 1.00%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136B5SU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14485 | PA      | $1898.28      | 0.01%             | 2049-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38376CAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9034 | PA      | $9105.76      | 0.03%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                            | CUSIP: 05602XQQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $201200.00    | 0.68%             | N/A             | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| SOTERA HEALTH HLDGS LLC                     | Sotera Health Holdings LLC                                                | CUSIP: 83600WAE9<br>LEI: 549300OVT7MBXFLOFU20 | Long             | DBT              | CORP              | US        |     24000 | PA      | $24970.63     | 0.08%             | 2031-06-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201L2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       289 | PA      | $289.40       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140MNNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67026 | PA      | $60815.82     | 0.20%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                        | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $39962.50     | 0.13%             | 2036-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                           | Herc Holdings Inc                                                         | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20956.03     | 0.07%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    324200 | PA      | $198027.94    | 0.67%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                    | Liberty Mutual Group Inc                                                  | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     85000 | PA      | $78708.60     | 0.27%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | TRY/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1108.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F050478<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $100718.38    | 0.34%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                            | Westgate Resorts 2022-1 LLC                                               | CUSIP: 96034JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44643 | PA      | $44311.93     | 0.15%             | 2036-08-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $65803.10     | 0.22%             | 2051-08-25      | Variable      | 2.50%                 | 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        |        53 | NC      | $54426.53     | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayview MSR Opportunity Master              | Bayview MSR Opportunity Master Fund Trust 2021-INV2                       | CUSIP: 07336LAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $66848.15     | 0.23%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ONESKY FLIGHT LLC                           | OneSky Flight LLC                                                         | CUSIP: 68278CAA3<br>LEI: 549300PM6NEPXGG5B882 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10412.41     | 0.04%             | 2029-12-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva              | Amur Equipment Finance Receivables XII LLC                                | CUSIP: 03236YAE5<br>LEI: 5493000K1GV1VHEHGY40 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $104753.50    | 0.35%             | 2030-07-22      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $88435.93     | 0.30%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                    | Farmers Exchange Capital III                                              | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $90408.61     | 0.30%             | 2054-10-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AT9<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5183.62      | 0.02%             | 2031-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179SNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13089 | PA      | $12390.46     | 0.04%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36176MW74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6102 | PA      | $5950.97      | 0.02%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2024-HE6                                                      | CUSIP: 31684DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133942 | PA      | $135196.22    | 0.46%             | 2054-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ALTA WIND HOLDINGS LLC                      | Alta Wind Holdings LLC                                                    | CUSIP: 021345AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34986 | PA      | $33521.32     | 0.11%             | 2035-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                              | Hertz Corp/The                                                            | CUSIP: 42804VBC4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | LON              | CORP              | US        |     39531 | PA      | $33008.17     | 0.11%             | 2028-06-30      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225BZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       156 | PA      | $161.24       | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201RX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2088 | PA      | $2067.19      | 0.01%             | 2035-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                         | DENTSPLY SIRONA Inc                                                       | CUSIP: 24906PAB5<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |    117000 | PA      | $117645.50    | 0.40%             | 2055-09-12      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                           | Hyatt Hotels Corp                                                         | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     21000 | PA      | $21558.95     | 0.07%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STAR LEASING CO LLC                         | Star Leasing Co LLC                                                       | CUSIP: 854938AA5<br>LEI: 549300WXKNX4PT3HSN71 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19832.45     | 0.07%             | 2030-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137ATFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35887 | PA      | $5292.34      | 0.02%             | 2042-08-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20360.94     | 0.07%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                        | Garda World Security Corp                                                 | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |     64000 | PA      | $62467.46     | 0.21%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $101460.73    | 0.34%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/INR FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1143.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KW04 Trust                                                     | CUSIP: 30296MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $45754.97     | 0.15%             | 2028-09-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140MNNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24975 | PA      | $22774.45     | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397G56<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199723.33    | 0.67%             | 2035-02-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                              | 1261229 BC LTD                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     40000 | PA      | $38850.00     | 0.13%             | 2030-10-08      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| MEIJI YASUDA LIFE INSURA                    | Meiji Yasuda Life Insurance Co                                            | CUSIP: 585270AE1<br>LEI: 549300SLU4LP6YMRLK07 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $199612.40    | 0.67%             | 2055-06-11      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QKNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206488 | PA      | $174489.60    | 0.59%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                       | Foundry JV Holdco LLC                                                     | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $208996.11    | 0.70%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Pear LLC                                    | PEAR 2021-1 LLC                                                           | CUSIP: 70472TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $87535.00     | 0.29%             | 2034-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RIVER ROCK ENTERTAINMENT                    | RIVER ROCK ENTERTAINMENT AUTHORITY                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     65000 | PA      | $63375.00     | 0.21%             | 2031-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2021-J1                                               | CUSIP: 75409JDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88886 | PA      | $74070.55     | 0.25%             | 2051-07-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                               | CUSIP: 912797PE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1497240.00   | 5.04%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                        | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $179457.53    | 0.60%             | 2032-11-22      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F062671<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $722733.63    | 2.43%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36184NEC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5860 | PA      | $5359.76      | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     40000 | PA      | $37163.11     | 0.13%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| TRICIDA INC                                 | TRICIDA INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $0.00         | 0.00%             | 2027-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200MQ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       342 | PA      | $358.48       | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140A0A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73363 | PA      | $76571.31     | 0.26%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF KAZA                    | Development Bank of Kazakhstan JSC                                        | CUSIP: 000000000<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        | 100000000 | PA      | $184550.22    | 0.62%             | 2026-05-06      | Fixed         | 10.95%                | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C1 Commercial Mortgage Trust                                   | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90795.00     | 0.31%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                       | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $259872.39    | 0.88%             | 2033-04-13      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management               | JPMorgan Chase Bank NA - JPMWM                                            | CUSIP: 46591HBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54170 | PA      | $53487.19     | 0.18%             | 2051-03-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                     | International Bank for Reconstruction & Development                       | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |  11000000 | PA      | $19450.11     | 0.07%             | 2026-09-16      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CHAMPIONS FINANCING INC                     | Champions Financing Inc                                                   | CUSIP: 15870LAA6<br>LEI: 391200ZDD75EGEUJ7625 | Long             | DBT              | CORP              | US        |     68000 | PA      | $65652.98     | 0.22%             | 2029-02-15      | Fixed         | 8.75%                 | 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      | $-2687.71     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97990.02     | 0.33%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36184JAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3160 | PA      | $2902.14      | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERMILION ENERGY INC                        | Vermilion Energy Inc                                                      | CUSIP: 923725AD7<br>LEI: WT03B8BB1IX8WI9ZGV02 | Long             | DBT              | CORP              | CA        |     11000 | PA      | $10574.86     | 0.04%             | 2030-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                 | CUSIP: 682680CW1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     34000 | PA      | $31013.90     | 0.10%             | 2044-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2020-DUNE                               | CUSIP: 36258BAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92363 | PA      | $88976.70     | 0.30%             | 2036-12-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Palisades Center Trust                      | Palisades Center Trust 2016-PLSD                                          | CUSIP: 69640GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $29160.00     | 0.10%             | 2033-04-13      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                       | Freedom Mortgage Corp                                                     | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5544.34      | 0.02%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS Rialto 2025-FL10 Issuer LLC                                            | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99749.93     | 0.34%             | 2042-08-19      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                     | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55963.77     | 0.19%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                    | United Wholesale Mortgage LLC                                             | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |     32000 | PA      | $31060.96     | 0.10%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru              | THPT 2023-THL Mortgage Trust                                              | CUSIP: 87252LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101029.79    | 0.34%             | 2034-12-10      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA6                                   | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $57027.34     | 0.19%             | 2050-12-25      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140ANQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28401 | PA      | $29461.98     | 0.10%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUMMIT MIDSTREAM HOLDING                    | Summit Midstream Holdings LLC                                             | CUSIP: 86614JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $56266.98     | 0.19%             | 2029-10-31      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $162840.02    | 0.55%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2021-R1                                         | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83787 | PA      | $72951.86     | 0.25%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                        | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $49875.00     | 0.17%             | 2036-10-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2023-1 Ltd                                                       | CUSIP: 26982EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    150000 | PA      | $153831.84    | 0.52%             | 2033-09-26      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-4                                         | CUSIP: 46655GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $70840.39     | 0.24%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31418CHJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       349 | PA      | $310.89       | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue              | Multifamily Connecticut Avenue Securities Trust 2019-01                   | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |     83695 | PA      | $84950.65     | 0.29%             | 2049-10-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Lorenz Re 2019, 6/30/22                     | Lorenz Re 2019, 6/30/22                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     20578 | PA      | $148.16       | 0.00%             | 2026-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3617AVXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7844 | PA      | $7335.39      | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36176H6S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41537 | PA      | $40044.77     | 0.13%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $508061.42    | 1.71%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200NBP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1159 | PA      | $1194.05      | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                    | Celanese US Holdings LLC                                                  | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    115000 | PA      | $122079.40    | 0.41%             | 2033-11-15      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KW07 Mortgage Trust                                            | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $22404.37     | 0.08%             | 2031-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                             | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     76000 | PA      | $76559.66     | 0.26%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                 | CUSIP: 682680DA8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    105000 | PA      | $93178.94     | 0.31%             | 2047-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200QLP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        59 | PA      | $60.50        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                 | Aker BP ASA                                                               | CUSIP: 00973RAM5<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $154644.84    | 0.52%             | 2033-06-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management          | Dreyfus Government Cash Management                                        | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |   2132546 | NS      | $2132545.63   | 7.18%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20574.95     | 0.07%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36291R3A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1410 | PA      | $1414.65      | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                    | Live Nation Entertainment Inc                                             | CUSIP: 538034BB4<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5437.50      | 0.02%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2022-CRE6 Trust                                                     | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $99174.12     | 0.33%             | 2037-01-20      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NDHF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73052 | PA      | $73589.66     | 0.25%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2018-C9                                     | CUSIP: 90291JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $9481.60      | 0.03%             | 2051-03-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50881.58     | 0.17%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                          | Kennedy-Wilson Inc                                                        | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45791.00     | 0.15%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                      | American Airlines 2021-1 Class B Pass Through Trust                       | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11625 | PA      | $10958.50     | 0.04%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                     | CNO Financial Group Inc                                                   | CUSIP: 12621EAM5<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |    105000 | PA      | $110117.28    | 0.37%             | 2034-06-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137F8M83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45076 | PA      | $9394.73      | 0.03%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                              | Transocean Inc                                                            | CUSIP: 893830BZ1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |     10000 | PA      | $8926.48      | 0.03%             | 2031-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ENERFLEX LTD                                | Enerflex Ltd                                                              | CUSIP: 29269RAA3<br>LEI: 54930014N7872VUS3F89 | Long             | DBT              | CORP              | CA        |     44000 | PA      | $45371.04     | 0.15%             | 2027-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                     | European Bank for Reconstruction & Development                            | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |   8250000 | PA      | $14648.94     | 0.05%             | 2036-07-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                        | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     29000 | PA      | $26008.59     | 0.09%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                        | CUSIP: 02005NBV1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76498.37     | 0.26%             | 2035-07-26      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| OWENS & MINOR INC                           | Owens & Minor Inc                                                         | CUSIP: 69073LAD2<br>LEI: 549300LMT5KQQXCEZ733 | Long             | LON              | CORP              | US        |     29808 | PA      | $29826.96     | 0.10%             | 2029-03-29      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52897 | PA      | $42740.10     | 0.14%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31417YNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5060 | PA      | $5117.43      | 0.02%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHOENIX AVIATION CAPITAL                    | Phoenix Aviation Capital Ltd                                              | CUSIP: 71910DAA9<br>LEI: 8945008YQAKXZQ3VYJ15 | Long             | DBT              | CORP              | IE        |     45000 | PA      | $46608.19     | 0.16%             | 2030-07-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3129362R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6394 | PA      | $6481.91      | 0.02%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD                        | Woodside Finance Ltd                                                      | CUSIP: 980236AV5<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |     55000 | PA      | $56140.66     | 0.19%             | 2035-05-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146233 | PA      | $129103.46    | 0.43%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                    | Uruguay Government International Bond                                     | CUSIP: 760942BF8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   1790000 | PA      | $47125.46     | 0.16%             | 2033-07-20      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                      | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    130000 | PA      | $119955.37    | 0.40%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36192S4A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6231 | PA      | $5745.36      | 0.02%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LC AHAB US BIDCO LLC                        | LC AHAB US BIDCO LLC                                                      | CUSIP: 50180PAB7<br>LEI: 254900949U9K2Q5C5A85 | Long             | LON              | CORP              | US        |     19850 | PA      | $19825.19     | 0.07%             | 2031-05-01      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140MMR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155450 | PA      | $133086.43    | 0.45%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31416BTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7537 | PA      | $7613.97      | 0.03%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company         | BRL/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11664.94     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $98214.72     | 0.33%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                      | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     85000 | PA      | $79811.33     | 0.27%             | 2033-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200WJL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1925 | PA      | $1987.36      | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                              | Crockett Partners Equipment Co IIA LLC                                    | CUSIP: 22689LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83333 | PA      | $84184.85     | 0.28%             | 2031-01-20      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NRSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31877 | PA      | $31907.65     | 0.11%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213MYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       388 | PA      | $405.81       | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8577 | PA      | $8054.99      | 0.03%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust               | Equifirst Mortgage Loan Trust 2003-1                                      | CUSIP: 29445FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13109 | PA      | $12489.73     | 0.04%             | 2032-12-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | CLP/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $396.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $92972.68     | 0.31%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES                           | Amsted Industries Inc                                                     | CUSIP: 032177AK3<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45741.02     | 0.15%             | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-IG3 Mortgage Trust                                         | CUSIP: 08162QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $68528.63     | 0.23%             | 2048-09-15      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-1                                          | CUSIP: 89173FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $83716.24     | 0.28%             | 2056-10-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                    | USA Compression Partners LP / USA Compression Finance Corp                | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30747.96     | 0.10%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201VAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       278 | PA      | $280.61       | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PLANET FINANCIAL GROUP                      | Planet Financial Group LLC                                                | CUSIP: 72702AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $6005.70      | 0.02%             | 2029-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                             | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39943.82     | 0.13%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                        | Fiesta Purchaser Inc                                                      | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $26379.20     | 0.09%             | 2032-09-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICE                    | Prime Healthcare Services Inc                                             | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $99250.00     | 0.33%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36202XTP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3107 | PA      | $3198.43      | 0.01%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC LLC/INC                    | Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc | CUSIP: 43283QAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30465.84     | 0.10%             | 2032-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                              | CUSIP: 174610BH7<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     65000 | PA      | $67244.83     | 0.23%             | 2032-07-23      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2020-5 Trust                       | CUSIP: 95003BBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87029 | PA      | $75084.02     | 0.25%             | 2050-09-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| US ACUTE CARE SOLUTIONS                     | US Acute Care Solutions LLC                                               | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $56729.09     | 0.19%             | 2029-05-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                    | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94401.09     | 0.32%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2022-1                                             | CUSIP: 81749CAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $65521.43     | 0.22%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | TRY/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $161.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140468 | PA      | $118775.33    | 0.40%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW03 Mortgage Trust                                            | CUSIP: 30302YAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $48117.05     | 0.16%             | 2027-07-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140ANQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30971 | PA      | $32072.02     | 0.11%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    215700 | PA      | $205597.49    | 0.69%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74236 | PA      | $62596.91     | 0.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10096 | PA      | $9595.84      | 0.03%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $100131.23    | 0.34%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW CAN INFRA HOLD                    | South Bow Canadian Infrastructure Holdings Ltd                            | CUSIP: 836720AF9<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |     88000 | PA      | $91357.82     | 0.31%             | 2055-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Multifamily Structured Credit Risk                            | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $77301.58     | 0.26%             | 2051-11-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NM6C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58893 | PA      | $60109.35     | 0.20%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     40000 | PA      | $44300.03     | 0.15%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LONG RIDGE ENERGY LLC                       | Long Ridge Energy LLC                                                     | CUSIP: 54288CAA1<br>LEI: 984500764EC9AZ2FC764 | Long             | DBT              | CORP              | US        |     75000 | PA      | $77906.50     | 0.26%             | 2032-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.HY.44.V1                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-8429.06     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                        | YPF SA                                                                    | CUSIP: 984245AQ3<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |     45000 | PA      | $44639.03     | 0.15%             | 2027-07-21      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                          | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      5850 | PA      | $4896.45      | 0.02%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31416WYP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21289 | PA      | $20572.75     | 0.07%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | EUR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7157.63      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107511 | PA      | $94679.62     | 0.32%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                     | Turkiye Government Bond                                                   | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   2426800 | PA      | $56953.52     | 0.19%             | 2029-09-12      | Fixed         | 30.00%                | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                            | ABN AMRO Bank NV                                                          | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $175868.12    | 0.59%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                  | CUSIP: 05377RJY1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101006.51    | 0.34%             | 2030-02-20      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                     | Algonquin Power & Utilities Corp                                          | CUSIP: 015857AH8<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $73149.29     | 0.25%             | 2082-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $51367.16     | 0.17%             | 2054-06-27      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                              | Rocket Cos Inc                                                            | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $25475.75     | 0.09%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59237 | PA      | $50165.84     | 0.17%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38381YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123660 | PA      | $1612.10      | 0.01%             | 2049-09-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133B9MF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68993 | PA      | $62598.48     | 0.21%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW02 Mortgage Trust                                            | CUSIP: 30301RAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49000 | PA      | $47347.47     | 0.16%             | 2026-12-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA5                                   | CUSIP: 35565TBE8<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $96088.39     | 0.32%             | 2050-11-25      | Floating      | 11.71%                | No            |                  2 | On Loan: No      |
| Continental Finance Credit Cre              | Continental Finance Credit Card ABS Master Trust                          | CUSIP: 66981PAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $103341.56    | 0.35%             | 2030-10-15      | Fixed         | 9.33%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV1                                         | CUSIP: 44590HCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88466 | PA      | $76209.65     | 0.26%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36177Q3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26551 | PA      | $25304.06     | 0.09%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                      | Resorts World Las Vegas LLC / RWLV Capital Inc                            | CUSIP: 76120HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $177166.64    | 0.60%             | 2029-04-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       912 | PA      | $933.28       | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8252 | PA      | $8069.27      | 0.03%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW CAN INFRA HOLD                    | South Bow Canadian Infrastructure Holdings Ltd                            | CUSIP: 836720AH5<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |     35000 | PA      | $36111.15     | 0.12%             | 2055-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137FV4S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34723 | PA      | $6913.58      | 0.02%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $102652.96    | 0.35%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |    120000 | PA      | $97976.80     | 0.33%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-SBT1                             | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20000 | PA      | $20778.35     | 0.07%             | 2040-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                      | Venture Global LNG Inc                                                    | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16340.67     | 0.06%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                              | Gray Media Inc                                                            | CUSIP: 389375AM8<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |     35000 | PA      | $37599.63     | 0.13%             | 2029-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                    | Archrock Partners LP / Archrock Partners Finance Corp                     | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9000 | PA      | $9169.54      | 0.03%             | 2032-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2022-PJ4                         | CUSIP: 36264RBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $70752.22     | 0.24%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                      | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91452.43     | 0.31%             | 2036-02-12      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61747YFM2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76980.56     | 0.26%             | 2039-02-07      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                              | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     41000 | PA      | $42465.42     | 0.14%             | 2030-01-23      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| PAR PHARMACEUTICAL INC                      | PAR PHARMACEUTICAL INC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31000 | PA      | $0.00         | 0.00%             | 2027-04-01      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| PAMPA ENERGIA SA                            | Pampa Energia SA                                                          | CUSIP: 697660AF5<br>LEI: 254900QNIK0CVURGML24 | Long             | DBT              | CORP              | AR        |     30000 | PA      | $29928.30     | 0.10%             | 2034-12-16      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| EGYPT TREASURY BILL                         | Egypt Treasury Bills                                                      | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   3875000 | PA      | $73542.40     | 0.25%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru              | Vista Point Securitization Trust 2024-CES1                                | CUSIP: 92839HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69717 | PA      | $70596.51     | 0.24%             | 2054-05-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2024-3                                | CUSIP: 30165AAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $51120.00     | 0.17%             | 2030-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2022-B LLC                                                   | CUSIP: 62890MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102169.07    | 0.34%             | 2029-06-15      | Fixed         | 8.54%                 | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                     | European Bank for Reconstruction & Development                            | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |   4700000 | PA      | $54489.67     | 0.18%             | 2028-04-11      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                             | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     35000 | PA      | $38442.15     | 0.13%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                             | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    180000 | PA      | $197048.86    | 0.66%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $605835.94    | 2.04%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Emerald Plantation Holdings Lt              | Emerald Plantation Holdings Ltd                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | HK        |      1032 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233137 | PA      | $195023.80    | 0.66%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25424 | PA      | $25358.75     | 0.09%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DAI-ICHI LIFE INSURANCE                     | Dai-ichi Life Insurance Co Ltd/The                                        | CUSIP: 23381LAA2<br>LEI: 3538001235ACEIORUV72 | Long             | DBT              | CORP              | JP        |    290000 | PA      | $292631.46    | 0.99%             | N/A             | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140J9KV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26776 | PA      | $26714.61     | 0.09%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LL              | Cologix Canadian Issuer LP                                                | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    100000 | PA      | $71981.64     | 0.24%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                      | Sempra                                                                    | CUSIP: 816851BV0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94825.48     | 0.32%             | 2055-04-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31418CDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       637 | PA      | $567.46       | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -100000 | PA      | $-92962.03    | -0.31%            | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                  | Affirm Asset Securitization Trust 2024-X1                                 | CUSIP: 00834XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6795 | PA      | $6800.40      | 0.02%             | 2029-05-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KJ24 Mortgage Trust                                            | CUSIP: 30312FAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31052 | PA      | $29480.73     | 0.10%             | 2027-10-25      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/CAD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2488.04     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11742 | PA      | $11082.87     | 0.04%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                          | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    145500 | PA      | $97880.54     | 0.33%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD                     | Global Aircraft Leasing Co Ltd                                            | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    150000 | PA      | $153766.65    | 0.52%             | 2027-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CSML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94174 | PA      | $95837.67     | 0.32%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       518 | PA      | $527.58       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                | CUSIP: 14040HDA0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $106460.34    | 0.36%             | 2034-06-08      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36184QTQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5953 | PA      | $5670.69      | 0.02%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REALTY OPER PA                    | Americold Realty Operating Partnership LP                                 | CUSIP: 03063UAA9<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24469.35     | 0.08%             | 2034-09-12      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3128MMSR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4822 | PA      | $4727.56      | 0.02%             | 2029-10-01      | Fixed         | 3.00%                 | 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        |        11 | NC      | $21862.40     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140ANP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30658 | PA      | $31683.85     | 0.11%             | 2054-09-01      | Fixed         | 6.50%                 | 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        |     90391 | PA      | $90783.84     | 0.31%             | 2055-05-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136B5TL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14967 | PA      | $2044.90      | 0.01%             | 2049-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | IDR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1754.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200Q3L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        72 | PA      | $74.64        | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FNC NL II                        | Teva Pharmaceutical Finance Netherlands II BV                             | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $239659.61    | 0.81%             | 2030-05-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                     | International Bank for Reconstruction & Development                       | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |   5500000 | PA      | $64749.59     | 0.22%             | 2028-04-24      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                 | CUSIP: 78449RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $79747.94     | 0.27%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133BAFP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44010 | PA      | $40137.60     | 0.14%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33283 | PA      | $31258.63     | 0.11%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                     | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC           | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $62824.38     | 0.21%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                      | Nationstar Mortgage Holdings Inc                                          | CUSIP: 63861CAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $51072.70     | 0.17%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | AUD/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $10039.43     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $90020.54     | 0.30%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                | CUSIP: 309601AG7<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59555.90     | 0.20%             | 2064-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Grupo Aeromexico SAB de CV                  | Grupo Aeromexico SAB de CV                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |      1529 | NS      | $26142.69     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225BY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       337 | PA      | $352.06       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP2                                                     | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $62323.75     | 0.21%             | 2047-02-25      | Floating      | 14.92%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1515 | PA      | $1563.79      | 0.01%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS                      | Methanex US Operations Inc                                                | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     93000 | PA      | $92729.65     | 0.31%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                    | Hilcorp Energy I LP / Hilcorp Finance Co                                  | CUSIP: 431318BE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $71837.37     | 0.24%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69782 | PA      | $63372.09     | 0.21%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                     | Jane Street Group / JSG Finance Inc                                       | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $15423.09     | 0.05%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $1019726.56   | 3.43%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                        | JetBlue 2020-1 Class A Pass Through Trust                                 | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14816 | PA      | $13871.25     | 0.05%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                        | CUSIP: 05608RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $34956.25     | 0.12%             | 2036-10-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F052474<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $101812.24    | 0.34%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Desarrolladora Homex SAB de CV              | Desarrolladora Homex SAB de CV                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     15463 | NS      | $0.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                       | Freedom Mortgage Holdings LLC                                             | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41547.20     | 0.14%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138X8YD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15334 | PA      | $14687.79     | 0.05%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36177Q7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2737 | PA      | $2551.37      | 0.01%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    205000 | PA      | $199557.90    | 0.67%             | 2034-03-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                              | Rocket Cos Inc                                                            | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30696.02     | 0.10%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-7                                           | CUSIP: 46592NCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90121 | PA      | $71503.93     | 0.24%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QR3C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79069 | PA      | $81786.68     | 0.28%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132WMM50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4171 | PA      | $3946.56      | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36290RP49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       419 | PA      | $440.71       | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2025-1                             | CUSIP: 922955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96304 | PA      | $97238.04     | 0.33%             | 2055-02-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                           | CUSIP: 14731QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $84758.62     | 0.29%             | 2046-02-25      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NQK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98090 | PA      | $100040.71    | 0.34%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KHG1 Mortgage Trust                                            | CUSIP: 30309FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $70997.33     | 0.24%             | 2027-12-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                      | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28279.84     | 0.10%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MAGNA INTERNATIONAL INC                     | Magna International Inc                                                   | CUSIP: 559222BD5<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |      5000 | PA      | $5131.47      | 0.02%             | 2035-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO                    | Wildfire Intermediate Holdings LLC                                        | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158939.46    | 0.54%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NQDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82610 | PA      | $84066.59     | 0.28%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R02                              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $73047.37     | 0.25%             | 2042-01-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                             | Nordea Bank Abp                                                           | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    235000 | PA      | $211046.31    | 0.71%             | N/A             | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| APA CORP                                    | APA Corp                                                                  | CUSIP: 03743QAS7<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |    155000 | PA      | $146414.84    | 0.49%             | 2055-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | EUR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $13791.84     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100825 | PA      | $86790.75     | 0.29%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                    | Vista Energy Argentina SAU                                                | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |     45000 | PA      | $43627.50     | 0.15%             | 2035-12-10      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C4 Commercial Mortgage Trust                                   | CUSIP: 12635RBE7<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |     25000 | PA      | $24299.54     | 0.08%             | 2048-11-15      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -6 | NC      | $6772.13      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $169887.88    | 0.57%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | ZAR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11834.04     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31419AVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2938 | PA      | $2839.74      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36290YUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1092 | PA      | $1082.85      | 0.00%             | 2033-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 3620A93H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6829 | PA      | $6664.73      | 0.02%             | 2040-01-15      | Fixed         | 4.50%                 | 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        |         6 | NC      | $1834.95      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                        | CUSIP: 46592PBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89790 | PA      | $72949.80     | 0.25%             | 2051-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136B47J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15886 | PA      | $1872.97      | 0.01%             | 2049-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XFC5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    195000 | PA      | $196034.50    | 0.66%             | 2035-01-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1627 | PA      | $1653.10      | 0.01%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP            | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $11988.44     | 0.04%             | 2038-12-05      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                           | Herc Holdings Inc                                                         | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15665.36     | 0.05%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                      | Venture Global LNG Inc                                                    | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     29000 | PA      | $30120.43     | 0.10%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3617GSGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10573 | PA      | $9887.69      | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                 | CUSIP: 682680CY7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      9000 | PA      | $7570.26      | 0.03%             | 2045-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3618N5C23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    791354 | PA      | $720766.61    | 2.43%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | NGN/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $385.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-3                                           | CUSIP: 46654UCV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92589 | PA      | $75265.68     | 0.25%             | 2052-08-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Pioneer ILS Interval Fund                   | Pioneer ILS Interval Fund                                                 | CUSIP: 72369L107<br>LEI: 549300LH2MO2SJZYNC86 | Long             | EC               | RF                | US        |    130385 | NS      | $1207367.90   | 4.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136A4WQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13727 | PA      | $1251.95      | 0.00%             | 2041-08-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                          | Voyager Parent LLC                                                        | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |     90000 | PA      | $93638.40     | 0.32%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200586.97    | 0.68%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                             | CUSIP: 345370CR9<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134067.62    | 0.45%             | 2026-12-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137AS5J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62305 | PA      | $7515.31      | 0.03%             | 2042-07-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3622A25J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9881 | PA      | $9601.49      | 0.03%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                        | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99190.18     | 0.33%             | 2036-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36178GJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3076 | PA      | $2930.97      | 0.01%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENDO FINANCE HOLDINGS                       | ENDO FINANCE HOLDINGS                                                     | CUSIP: 29280UAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9925 | PA      | $9929.65      | 0.03%             | 2031-04-23      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132D9QY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156822 | PA      | $129297.85    | 0.44%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-LTV1                                        | CUSIP: 465976AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $64905.43     | 0.22%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138YTJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7877 | PA      | $7691.12      | 0.03%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                     | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC           | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $10101.48     | 0.03%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | TRY/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1033.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/KZT FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2465.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRICIDA INC                                 | TRICIDA INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $0.00         | 0.00%             | 2027-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                             | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $211547.72    | 0.71%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1651 | PA      | $1671.71      | 0.01%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128653.64    | 0.43%             | 2034-01-07      | Fixed         | 6.10%                 | 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        |         2 | NC      | $5994.56      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TAP SA                                      | Transportes Aereos Portugueses SA                                         | CUSIP: 000000000<br>LEI: 213800XBTDYWRYHKH878 | Long             | DBT              | CORP              | PT        |    100000 | PA      | $118340.45    | 0.40%             | 2029-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36198VMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6065 | PA      | $5777.44      | 0.02%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                          | Serbia International Bond                                                 | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $89478.24     | 0.30%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 3622A2Q70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10060 | PA      | $9578.65      | 0.03%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                 | Ivory Coast Government International Bond                                 | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    100000 | PA      | $111272.69    | 0.37%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NSAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39408 | PA      | $41080.90     | 0.14%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                    | Element Fleet Management Corp                                             | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $60933.15     | 0.21%             | 2027-03-13      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     60000 | PA      | $69671.84     | 0.23%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                       | Freedom Mortgage Corp                                                     | CUSIP: 35640YAJ6<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25041.85     | 0.08%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FDG/PFG FIN                       | Provident Funding Associates LP / PFG Finance Corp                        | CUSIP: 74387UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $78863.78     | 0.27%             | 2029-09-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382CAZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99871 | PA      | $1431.70      | 0.00%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4085 | PA      | $3994.63      | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382BHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88630 | PA      | $14996.96     | 0.05%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2016-UBS9                                  | CUSIP: 61766CAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $11864.59     | 0.04%             | 2049-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                    | Hess Midstream Operations LP                                              | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $15223.59     | 0.05%             | 2028-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                               | Carnival Corp                                                             | CUSIP: 000000000<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    100000 | PA      | $125549.44    | 0.42%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                    | Hilcorp Energy I LP / Hilcorp Finance Co                                  | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    222000 | PA      | $217082.97    | 0.73%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200K7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       203 | PA      | $208.81       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                              | Transocean Inc                                                            | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |     50000 | PA      | $46227.11     | 0.16%             | 2029-05-15      | Fixed         | 8.25%                 | 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        |        19 | NC      | $34537.06     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $79138.76     | 0.27%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LATAM AIRLINES GROUP SA                     | Latam Airlines Group SA                                                   | CUSIP: 51817RAD8<br>LEI: 549300HX3UUDPEFTG707 | Long             | DBT              | CORP              | CL        |     40000 | PA      | $40800.00     | 0.14%             | 2030-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153429 | PA      | $128795.68    | 0.43%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2014-150E                                  | CUSIP: 61764BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $84555.10     | 0.28%             | 2032-09-09      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust               | Alen 2021-ACEN Mortgage Trust                                             | CUSIP: 01449NAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $45900.00     | 0.15%             | 2034-04-15      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-27

**Name of Applicant:** Victory Variable insurance Funds II

**Signature:** Carol Trevino

**Name of Signer:** Carol Trevino

**Title:** Treasurer