# EDGAR Filing Document

**Accession Number:** 0002042317
**File Stem:** 0000940400-26-007377
**Filing Date:** 2026-2
**Character Count:** 325742
**Document Hash:** eec1872e19c25152ab69781628f33c81
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-007377.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0000940400-26-007377

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**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:** 26667850

**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 Bond VCT Portfolio (Series ID: S000089720)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000256357 | Class II     |  |
| C000256358 | 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 Bond VCT Portfolio

- **b. EDGAR series identifier (if any):** S000089720

- **c. LEI of Series:** Q2YV33M9S0TBWTZRCO78

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $148587059.64

**Total Liabilities:** $21676674.57

**Net Assets:** $126910385.07

**Stand-by Commitments:** $20645433.83

**Cash Not Reported:** $380386.58

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -341.00000000 | **1-Year:** -345.00000000 | **5-Year:** -27747.00000000 | **10-Year:** -13480.00000000 | **30-Year:** -8587.00000000

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

- **3-Month:** -93.00000000 | **1-Year:** -209.00000000 | **5-Year:** -6588.00000000 | **10-Year:** 2422.00000000 | **30-Year:** -21171.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000256357 | 0.73%                | 0.51%                | -0.03%               |
| Class ID C000256358 | 0.65%                | 0.63%                | -0.12%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-330.60                 | $319001.54                                 |
| Month 2  | $-190880.36              | $510307.20                                 |
| Month 3  | $145340.51               | $-773255.53                                |

**Designated Index Information**

- **Index Name:** 20% Bloomberg Barclays US High Yield, 80% Bloomberg Barclays US Aggregate

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        52 | NC      | $-6719.62     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDI                            | Ford Motor Credit Co LLC                                                  | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183270.66    | 0.14%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -100000 | PA      | $-94449.22    | -0.07%            | 2056-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                    | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99216.61     | 0.08%             | 2031-12-22      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AV4<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29977.51     | 0.02%             | 2033-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                       | Freedom Mortgage Holdings LLC                                             | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26316.62     | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140A92K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79572 | PA      | $83594.37     | 0.07%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F052417<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1640268.35   | 1.29%             | 2041-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479264 | PA      | $416567.92    | 0.33%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trus              | Prestige Auto Receivables Trust 2025-1                                    | CUSIP: 74113UAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $108149.86    | 0.09%             | 2031-07-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-3                                                | CUSIP: 74938DBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272275 | PA      | $225243.31    | 0.18%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132J85A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20325 | PA      | $18813.02     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CQEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138634 | PA      | $144833.95    | 0.11%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570926 | PA      | $18005.91     | 0.01%             | 2058-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XER3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     85000 | PA      | $89403.45     | 0.07%             | 2031-02-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NRPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64878 | PA      | $68457.92     | 0.05%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140E6KT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16570 | PA      | $14422.40     | 0.01%             | 2045-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                       | Venture Global Plaquemines LNG LLC                                        | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81939.20     | 0.06%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36206VKT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        22 | PA      | $21.62        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -700000 | PA      | $-565684.71   | -0.45%            | 2056-01-01      | Fixed         | 2.00%                 | 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        |     32850 | PA      | $31683.30     | 0.02%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                    | Element Fleet Management Corp                                             | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $76272.13     | 0.06%             | 2027-03-13      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QKNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662607 | PA      | $575186.76    | 0.45%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                            | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    255000 | PA      | $241159.15    | 0.19%             | 2029-09-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 31427BFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99770 | PA      | $105057.76    | 0.08%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                   | CUSIP: 05578QAE3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $200177.68    | 0.16%             | 2026-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                       | Uber Technologies Inc                                                     | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34815.17     | 0.03%             | 2035-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75198 | PA      | $69987.95     | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202C4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       267 | PA      | $275.66       | 0.00%             | 2028-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing III LP                                            | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $294154.92    | 0.23%             | 2027-12-27      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                    | Hilton Domestic Operating Co Inc                                          | CUSIP: 432833AT8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45309.05     | 0.04%             | 2034-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                      | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $213400.00    | 0.17%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                           | ITC Holdings Corp                                                         | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    160000 | PA      | $166754.67    | 0.13%             | 2034-05-09      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    390000 | PA      | $413413.24    | 0.33%             | 2034-01-07      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                             | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    240000 | PA      | $244635.42    | 0.19%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2025-SL1                              | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184160 | PA      | $185750.76    | 0.15%             | 2067-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                      | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC     | CUSIP: 01309QAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    185000 | PA      | $185748.33    | 0.15%             | 2034-03-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                       | HPEFS Equipment Trust 2024-2                                              | CUSIP: 40444MAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102128.89    | 0.08%             | 2032-04-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $94582.03     | 0.07%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36184NEC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11116 | PA      | $10177.54     | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                      | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     90000 | PA      | $92250.04     | 0.07%             | 2032-03-15      | Fixed         | 7.00%                 | 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        |    195000 | PA      | $182717.11    | 0.14%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                      | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    404000 | PA      | $378693.50    | 0.30%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                   | PRMI Securitization Trust 2021-1                                          | CUSIP: 69359DBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306259 | PA      | $251330.85    | 0.20%             | 2051-04-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                      | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC     | CUSIP: 01309QAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $70738.04     | 0.06%             | 2031-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201V5M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1286 | PA      | $1309.37      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                 | Lennar Corp                                                               | CUSIP: 526057CY8<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    195000 | PA      | $200472.44    | 0.16%             | 2030-07-30      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338681 | PA      | $305584.24    | 0.24%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust              | VStrong Auto Receivables Trust 2023-A                                     | CUSIP: 92920CAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $108991.30    | 0.09%             | 2030-02-15      | Fixed         | 9.31%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                | CUSIP: 902973734<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |      1076 | NS      | $16495.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36184XM22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5193 | PA      | $4749.89      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                      | Boardwalk Pipelines LP                                                    | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     75000 | PA      | $69960.20     | 0.06%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2022-HB9 LLC                                                         | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $119472.45    | 0.09%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4356 | PA      | $3875.35      | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133C64M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62493 | PA      | $64020.92     | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg              | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                         | CUSIP: 79581RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $122932.53    | 0.10%             | 2052-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31400RU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4304 | PA      | $4415.32      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec              | American Credit Acceptance Receivables Trust 2025-2                       | CUSIP: 024938AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $172432.58    | 0.14%             | 2031-07-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2023-5                                | CUSIP: 30168DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $309808.02    | 0.24%             | 2030-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                              | S&P Global Inc                                                            | CUSIP: 78409VBR4<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49845.86     | 0.04%             | 2035-12-04      | Fixed         | 4.80%                 | 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        |     80000 | PA      | $76029.76     | 0.06%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133C7Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73344 | PA      | $76407.05     | 0.06%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IMS Ecuadorian Mortagage Trust              | IMS ECUADORIAN MORTGAGE 2021-1 TRUST                                      | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227196 | PA      | $220379.98    | 0.17%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                | CUSIP: 14040H758<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EP               | CORP              | US        |      1100 | NS      | $18414.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3622A25J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35926 | PA      | $35477.53     | 0.03%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                 | Continental Finance Credit Card ABS Master Trust                          | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101462.23    | 0.08%             | 2032-12-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137F8M83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84867 | PA      | $17813.43     | 0.01%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                            | CUSIP: 532457DF2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70462.51     | 0.06%             | 2055-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                         | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    216000 | PA      | $235075.80    | 0.19%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31288BPE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $70.69        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2024-10                                      | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45409 | PA      | $45631.44     | 0.04%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17294 | PA      | $17354.68     | 0.01%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                     | American Electric Power Co Inc                                            | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    190000 | PA      | $188624.48    | 0.15%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31374TYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       600 | PA      | $615.86       | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ERP OPERATING LP                            | ERP Operating LP                                                          | CUSIP: 26884ABQ5<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71574.70     | 0.06%             | 2032-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                         | CUSIP: 639057AP3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $209983.50    | 0.17%             | 2034-06-01      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225BVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4534 | PA      | $4700.74      | 0.00%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                            | Williams Cos Inc/The                                                      | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     89000 | PA      | $101625.46    | 0.08%             | 2031-06-15      | Fixed         | 7.75%                 | 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        |     12446 | PA      | $11934.35     | 0.01%             | 2032-12-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                            | Ventas Realty LP                                                          | CUSIP: 92277GBB2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118208.55    | 0.09%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201AY51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       825 | PA      | $833.34       | 0.00%             | 2032-10-15      | 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        |    198000 | PA      | $203874.78    | 0.16%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2018-C8                        | CUSIP: 46591ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249838.98    | 0.20%             | 2051-06-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NSA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50072 | PA      | $52280.81     | 0.04%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd.                         | ACREC 2021-FL1 Ltd                                                        | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     54989 | PA      | $54988.71     | 0.04%             | 2036-10-16      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                 | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    765000 | PA      | $706339.39    | 0.56%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                             | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    480000 | PA      | $357519.32    | 0.28%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38384AEX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205573 | PA      | $42102.51     | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva              | Amur Equipment Finance Receivables XIV LLC                                | CUSIP: 03238BAE3<br>LEI: 254900VBZK8DVZNJFJ70 | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $214943.59    | 0.17%             | 2031-10-20      | Fixed         | 5.97%                 | 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        |    135000 | PA      | $138373.25    | 0.11%             | 2032-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                           | Entergy Texas Inc                                                         | CUSIP: 29365TAQ7<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     55000 | PA      | $56408.69     | 0.04%             | 2035-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                     | Hyundai Capital America                                                   | CUSIP: 44891ADM6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    160000 | PA      | $164868.96    | 0.13%             | 2030-01-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                       | Huntington Bancshares Inc/OH                                              | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    105000 | PA      | $108039.96    | 0.09%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    595000 | PA      | $519298.71    | 0.41%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                     | American Electric Power Co Inc                                            | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     85000 | PA      | $83515.05     | 0.07%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -3100000 | PA      | $-2620226.58  | -2.06%            | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QQEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193647 | PA      | $197345.64    | 0.16%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                               | CoreWeave Inc                                                             | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    210000 | PA      | $192469.20    | 0.15%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| DANAOS CORP                                 | Danaos Corp                                                               | CUSIP: 23585WAC8<br>LEI: 734IM3DNDNT36T7YTD24 | Long             | DBT              | CORP              | MH        |    130000 | PA      | $134311.06    | 0.11%             | 2032-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    285000 | PA      | $249477.79    | 0.20%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2024-5                                | CUSIP: 30165BAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $170764.69    | 0.13%             | 2031-02-18      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                              | MVW 2020-1 LLC                                                            | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19153 | PA      | $19041.69     | 0.02%             | 2037-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust                                       | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $377048.83    | 0.30%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2020-R2                                                         | CUSIP: 12558WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $139684.10    | 0.11%             | 2059-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                      | American Honda Finance Corp                                               | CUSIP: 02665WFL0<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    310000 | PA      | $318352.66    | 0.25%             | 2031-07-10      | Fixed         | 5.05%                 | 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        |    225000 | PA      | $224840.25    | 0.18%             | 2036-11-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140AFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74234 | PA      | $77288.77     | 0.06%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                       | CUSIP: 036752AZ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     65000 | PA      | $67171.95     | 0.05%             | 2034-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DNP56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135193 | PA      | $139366.00    | 0.11%             | 2049-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262445 | PA      | $236121.62    | 0.19%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36178NB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23043 | PA      | $21504.16     | 0.02%             | 2042-08-15      | Fixed         | 3.50%                 | 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        |        95 | NC      | $-39014.96    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31384V4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       852 | PA      | $890.32       | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                 | CUSIP: 31424UPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579438 | PA      | $102532.51    | 0.08%             | 2052-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31419AVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8179 | PA      | $8018.52      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62791 | PA      | $57612.65     | 0.05%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRIMERICA INC                               | Primerica Inc                                                             | CUSIP: 74164MAB4<br>LEI: 254900621R686KJR7022 | Long             | DBT              | CORP              | US        |     86000 | PA      | $78055.26     | 0.06%             | 2031-11-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202CPA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16 | PA      | $16.73        | 0.00%             | 2026-05-20      | 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        |     60000 | PA      | $59665.55     | 0.05%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3128MMSR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6655 | PA      | $6566.24      | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137FV4S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65434 | PA      | $12786.00     | 0.01%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2025-HE1                                                      | CUSIP: 30191LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257599 | PA      | $261753.15    | 0.21%             | 2055-01-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36184QTQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19900 | PA      | $19252.59     | 0.02%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NM6K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56090 | PA      | $58587.60     | 0.05%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73858 | PA      | $76515.12     | 0.06%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    190000 | PA      | $196573.93    | 0.15%             | 2035-06-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31402RRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6448 | PA      | $6710.11      | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                      | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    250000 | PA      | $283768.98    | 0.22%             | 2031-01-15      | Fixed         | 7.50%                 | 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        |    400000 | PA      | $356508.24    | 0.28%             | 2029-04-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2025-HE8                                                      | CUSIP: 30191WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146496 | PA      | $146538.33    | 0.12%             | 2055-11-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24947 | PA      | $24853.91     | 0.02%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2022-C                                           | CUSIP: 08860DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $150635.59    | 0.12%             | 2035-10-17      | Fixed         | 9.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QR3C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153149 | PA      | $160709.76    | 0.13%             | 2053-05-01      | Fixed         | 6.00%                 | 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        |    215000 | PA      | $156591.44    | 0.12%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $737031.25    | 0.58%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36176WYC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66704 | PA      | $62499.43     | 0.05%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec              | American Credit Acceptance Receivables Trust 2025-4                       | CUSIP: 024948AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100548.99    | 0.08%             | 2031-09-12      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13216 | PA      | $13168.69     | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165381 | PA      | $172384.08    | 0.14%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140FXFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187544 | PA      | $161315.55    | 0.13%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                            | Westgate Resorts 2022-1 LLC                                               | CUSIP: 96034JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47217 | PA      | $46825.06     | 0.04%             | 2036-08-20      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                      | Venture Global LNG Inc                                                    | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46641.47     | 0.04%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                             | Dollar Tree Inc                                                           | CUSIP: 256746AJ7<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |    375000 | PA      | $338404.15    | 0.27%             | 2031-12-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269019 | PA      | $222866.76    | 0.18%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Achieve Mortgage                            | ACHM Trust 2024-HE2                                                       | CUSIP: 00112DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119735 | PA      | $120237.77    | 0.09%             | 2039-10-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AT9<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     47000 | PA      | $42151.17     | 0.03%             | 2031-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                             | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82725.28     | 0.07%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84964 | PA      | $78577.30     | 0.06%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2023-1 Ltd                                                       | CUSIP: 26982EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    200000 | PA      | $205381.64    | 0.16%             | 2033-09-26      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| LC AHAB US BIDCO LLC                        | LC AHAB US BIDCO LLC                                                      | CUSIP: 50180PAB7<br>LEI: 254900949U9K2Q5C5A85 | Long             | LON              | CORP              | US        |     29700 | PA      | $29802.11     | 0.02%             | 2031-05-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133BULG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36270 | PA      | $38227.63     | 0.03%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CRTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82201 | PA      | $86085.76     | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $181976.44    | 0.14%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $2393250.00   | 1.89%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20918 | PA      | $19239.10     | 0.02%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                              | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    105000 | PA      | $108105.62    | 0.09%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                          | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52735.36     | 0.04%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                            | CUSIP: 05602XQQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    295000 | PA      | $308663.81    | 0.24%             | N/A             | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                       | Kentucky Utilities Co                                                     | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70540.04     | 0.06%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36210UXJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       597 | PA      | $606.33       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1467395 | PA      | $1262154.95   | 0.99%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132WMM50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13939 | PA      | $13455.06     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $413982.39    | 0.33%             | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                          | CNO Global Funding                                                        | CUSIP: 18977W2C3<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    470000 | PA      | $446798.97    | 0.35%             | 2029-01-06      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253782 | PA      | $209776.38    | 0.17%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213URJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3254 | PA      | $3332.84      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                            | CUSIP: 05602XQR2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $200858.40    | 0.16%             | N/A             | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CQEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141069 | PA      | $147265.53    | 0.12%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV3                                         | CUSIP: 44555QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376006 | PA      | $314924.94    | 0.25%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                    | Columbia Pipelines Holding Co LLC                                         | CUSIP: 19828AAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $149986.64    | 0.12%             | 2032-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                            | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1258208 | PA      | $1254839.62   | 0.99%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                    | Avolon Holdings Funding Ltd                                               | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     41000 | PA      | $42395.27     | 0.03%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW CAN INFRA HOLD                    | South Bow Canadian Infrastructure Holdings Ltd                            | CUSIP: 836720AG7<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |    117000 | PA      | $121957.52    | 0.10%             | 2055-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                  | Zoetis Inc                                                                | CUSIP: 98978VAX1<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    165000 | PA      | $166807.95    | 0.13%             | 2035-08-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                     | Hyundai Capital America                                                   | CUSIP: 44891ACP0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    115000 | PA      | $122599.29    | 0.10%             | 2030-09-21      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| VFI ABS LLC                                 | VFI ABS 2023-1 LLC                                                        | CUSIP: 92555QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101966.41    | 0.08%             | 2029-12-24      | Fixed         | 9.26%                 | No            |                  2 | On Loan: No      |
| MATIV HOLDINGS INC                          | Mativ Holdings Inc                                                        | CUSIP: 80854EAH1<br>LEI: 549300Z1FU4IDULG1R21 | Long             | LON              | CORP              | US        |     45396 | PA      | $45169.40     | 0.04%             | 2028-04-20      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2024-6                             | CUSIP: 92261BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141212 | PA      | $142251.67    | 0.11%             | 2054-12-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $739531.25    | 0.58%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703774 | PA      | $608647.48    | 0.48%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VIV5                                    | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $464239.70    | 0.37%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XLDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68768 | PA      | $72340.81     | 0.06%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2299 | PA      | $2397.36      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225A3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       501 | PA      | $511.85       | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                           | State Street Corp                                                         | CUSIP: 857477855<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EP               | CORP              | US        |       731 | NS      | $16410.95     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70540 | PA      | $60930.71     | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31415BE54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       365 | PA      | $379.39       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138WBB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2307 | PA      | $2276.64      | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140M9KX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177934 | PA      | $153114.94    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor RE 2023-1 Ltd                                                      | CUSIP: 75050KAA4<br>LEI: 254900P3K895250PCC81 | Long             | ABS-MBS          | CORP              | BM        |     41492 | PA      | $41635.56     | 0.03%             | 2033-07-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -600000 | PA      | $-616036.48   | -0.49%            | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6721 | PA      | $7024.03      | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                         | DENTSPLY SIRONA Inc                                                       | CUSIP: 24906PAB5<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |    234000 | PA      | $219054.51    | 0.17%             | 2055-09-12      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31389W2V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1697 | PA      | $1825.82      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31406ELQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2181 | PA      | $2269.69      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2021-J1                                  | CUSIP: 74387MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173506 | PA      | $149327.46    | 0.12%             | 2051-10-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                      | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    375000 | PA      | $338213.69    | 0.27%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $2011640.62   | 1.59%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                    | Avolon Holdings Funding Ltd                                               | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    330000 | PA      | $343850.64    | 0.27%             | 2028-05-04      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57801 | PA      | $55119.85     | 0.04%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31292HUQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2261 | PA      | $2344.80      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31371KHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       538 | PA      | $564.54       | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36198VMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8593 | PA      | $8313.15      | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                    | Healthcare Realty Holdings LP                                             | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    255000 | PA      | $242227.47    | 0.19%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 31427AVE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98882 | PA      | $103781.84    | 0.08%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Maste              | Mission Lane Credit Card Master Trust                                     | CUSIP: 60510MBF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141068.06    | 0.11%             | 2030-01-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31292HSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1154 | PA      | $1195.83      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36210AZK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       834 | PA      | $850.99       | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | 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        |    195890 | PA      | $188883.37    | 0.15%             | 2052-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1400000 | PA      | $-1436707.52  | -1.13%            | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPIRE INC                                   | Spire Inc                                                                 | CUSIP: 84857LAE1<br>LEI: 549300NXSY15DRY2R511 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49806.83     | 0.04%             | 2056-06-01      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2024-HE3                                                      | CUSIP: 31684GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291305 | PA      | $296492.38    | 0.23%             | 2054-07-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213E3Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       757 | PA      | $784.43       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Maste              | Mission Lane Credit Card Master Trust                                     | CUSIP: 60510MBE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220000 | PA      | $221525.22    | 0.17%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DQN36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61395 | PA      | $55464.07     | 0.04%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW CAN INFRA HOLD                    | South Bow Canadian Infrastructure Holdings Ltd                            | CUSIP: 836720AJ1<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $74820.83     | 0.06%             | 2055-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101571 | PA      | $96491.93     | 0.08%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2022-B34 Mortgage Trust                                         | CUSIP: 08161YBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90673.37     | 0.07%             | 2055-04-15      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179Y7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364296 | PA      | $314971.36    | 0.25%             | 2054-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2019-1 Trust                                     | CUSIP: 43731QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76218 | PA      | $74777.44     | 0.06%             | 2039-09-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8845 | PA      | $9095.19      | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QPTA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96764 | PA      | $98500.44     | 0.08%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.HY.45.V1                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-263139.22   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201JEQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       323 | PA      | $334.55       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | 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        |    189644 | PA      | $191949.24    | 0.15%             | 2054-05-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200NZT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2439 | PA      | $2541.08      | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                          | Valero Energy Corp                                                        | CUSIP: 91913YBF6<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36019.51     | 0.03%             | 2030-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                       | CUSIP: 48128B523<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EP               | CORP              | US        |      7750 | NS      | $141592.50    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                      | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20875.33     | 0.02%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                      | Westinghouse Air Brake Technologies Corp                                  | CUSIP: 960386AT7<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    205000 | PA      | $213798.63    | 0.17%             | 2035-05-29      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Collateralized Loan Obligation Ltd                           | CUSIP: 03881UAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    230000 | PA      | $231624.24    | 0.18%             | 2041-01-20      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397G31<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    410000 | PA      | $419971.54    | 0.33%             | 2031-11-05      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2258 | PA      | $2321.94      | 0.00%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XFC5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    220000 | PA      | $229041.13    | 0.18%             | 2035-01-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                              | CUSIP: 174610BH7<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    118000 | PA      | $123712.22    | 0.10%             | 2032-07-23      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31391GYP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1367 | PA      | $1402.69      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MINERVA LUXEMBOURG SA                       | Minerva Luxembourg SA                                                     | CUSIP: 603374AF6<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |    455000 | PA      | $422942.11    | 0.33%             | 2031-03-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ESC GABS144A HOA FDG 4.723 20AUG51          | ESC GABS144A HOA FDG 4.723 20AUG51                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $0.00         | 0.00%             | 2051-08-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                    | Trans-Allegheny Interstate Line Co                                        | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $35954.23     | 0.03%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                    | Banque Ouest Africaine de Developpement                                   | CUSIP: 06675QAC7<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | N/A       |    230000 | PA      | $211680.52    | 0.17%             | 2031-10-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 3617A4H92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4601 | PA      | $4421.80      | 0.00%             | 2045-08-15      | 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        |     12215 | PA      | $11274.65     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     35000 | PA      | $30141.51     | 0.02%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                          | BMW US Capital LLC                                                        | CUSIP: 05565ECZ6<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    360000 | PA      | $372719.62    | 0.29%             | 2035-03-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31401D3H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1849 | PA      | $1896.78      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2024-WCL1 MORTGAGE TRUST                                             | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $320395.55    | 0.25%             | 2041-06-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                    | Farmers Exchange Capital III                                              | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $225090.38    | 0.18%             | 2054-10-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                           | CUSIP: 718172EA3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     95000 | PA      | $92936.70     | 0.07%             | 2035-10-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                           | CBRE Services Inc                                                         | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40192.18     | 0.03%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                 | Textron Inc                                                               | CUSIP: 883203CE9<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    205000 | PA      | $212351.72    | 0.17%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                              | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $218169.70    | 0.17%             | 2034-09-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                  | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89963.53     | 0.07%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NMLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147963 | PA      | $153975.18    | 0.12%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                              | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    475000 | PA      | $402843.93    | 0.32%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP                       | Lincoln National Corp                                                     | CUSIP: 534187BZ1<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55486.52     | 0.04%             | 2035-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust              | RMF Proprietary Issuance Trust 2019-1                                     | CUSIP: 74968RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54450 | PA      | $52415.31     | 0.04%             | 2063-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XMUT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323883 | PA      | $293692.63    | 0.23%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    700000 | PA      | $706787.47    | 0.56%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2019-2                                            | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56492 | PA      | $50261.77     | 0.04%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                      | CUSIP: 832248BB3<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |     21000 | PA      | $21267.91     | 0.02%             | 2029-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                             | NGPL PipeCo LLC                                                           | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    230000 | PA      | $211590.73    | 0.17%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132HNC56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15030 | PA      | $14431.16     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                      | Mizuho Financial Group Inc                                                | CUSIP: 60687YDJ5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    460000 | PA      | $476641.70    | 0.38%             | 2036-05-13      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140AMHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71396 | PA      | $73814.57     | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K88 Mortgage Trust                                             | CUSIP: 302971AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98211.98     | 0.08%             | 2052-02-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2023-4                                  | CUSIP: 362929AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $144818.65    | 0.11%             | 2029-08-15      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $359359.38    | 0.28%             | 2056-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JOHNSONVILLE AERO COMBST                    | Johnsonville Aeroderivative Combustion Turbine Generation LLC             | CUSIP: 479281AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    162958 | PA      | $156520.74    | 0.12%             | 2054-10-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| AFRICAN DEVELOPMENT BANK                    | African Development Bank                                                  | CUSIP: 008281BK2<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | NUSS              | N/A       |    400000 | PA      | $399110.18    | 0.31%             | N/A             | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $608389.55    | 0.48%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133751 | PA      | $125438.43    | 0.10%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                      | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    200000 | PA      | $184016.45    | 0.14%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $431210.94    | 0.34%             | 2056-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48280 | PA      | $44930.19     | 0.04%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                       | Northrop Grumman Corp                                                     | CUSIP: 666807CP5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    110000 | PA      | $113876.38    | 0.09%             | 2035-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                            | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                   | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200248.44    | 0.16%             | 2037-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                          | Visio 2019-2 Trust                                                        | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9708 | PA      | $9654.22      | 0.01%             | 2054-11-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-A                                           | CUSIP: 00971AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93884 | PA      | $85531.24     | 0.07%             | 2065-09-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36210F7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       309 | PA      | $313.60       | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2024-HB14 LLC                                                        | CUSIP: 12530XAB7<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97048.75     | 0.08%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                            | DT Midstream Inc                                                          | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $98590.52     | 0.08%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $176867.19    | 0.14%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F050411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1012728.11   | 0.80%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CQE50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113760 | PA      | $118969.28    | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                              | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127119.69    | 0.10%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356313 | PA      | $309304.19    | 0.24%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382WZF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70075 | PA      | $11353.28     | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $292171.88    | 0.23%             | 2055-01-20      | Fixed         | 4.50%                 | 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        |    226936 | PA      | $228669.96    | 0.18%             | 2055-05-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36194REE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17852 | PA      | $16592.93     | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                          | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $179616.84    | 0.14%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                      | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    220000 | PA      | $194704.64    | 0.15%             | 2031-09-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140FXKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98771 | PA      | $90619.38     | 0.07%             | 2058-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136BCLK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57433 | PA      | $12107.58     | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                      | Sempra                                                                    | CUSIP: 816851BV0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    290000 | PA      | $295608.04    | 0.23%             | 2055-04-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CQE43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110243 | PA      | $115235.61    | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CRCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65887 | PA      | $68840.79     | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                          | CNO Global Funding                                                        | CUSIP: 18977W2G4<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25321.14     | 0.02%             | 2027-12-10      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NRG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61024 | PA      | $64317.42     | 0.05%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202C7A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       504 | PA      | $520.57       | 0.00%             | 2028-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36290TC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4232 | PA      | $4356.36      | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                | Novelis Corp                                                              | CUSIP: 670001AN6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152065.67    | 0.12%             | 2033-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31405ES89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5109 | PA      | $5318.23      | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO                       | Transurban Finance Co Pty Ltd                                             | CUSIP: 89400PAL7<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    200000 | PA      | $198202.02    | 0.16%             | 2036-03-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                            | ABN AMRO Bank NV                                                          | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $182898.41    | 0.14%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                        | Verisk Analytics Inc                                                      | CUSIP: 92345YAL0<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71235.22     | 0.06%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NDGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77653 | PA      | $78311.42     | 0.06%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       861 | PA      | $879.13       | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2024-HB13 LLC                                                        | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $96688.44     | 0.08%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management          | Dreyfus Government Cash Management                                        | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |   2290559 | NS      | $2290558.90   | 1.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -600000 | PA      | $-623544.35   | -0.49%            | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133C84A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78256 | PA      | $82574.26     | 0.07%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                       | CUSIP: 036752BK8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    180000 | PA      | $178912.67    | 0.14%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213VMD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1612 | PA      | $1645.85      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31335AWT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64871 | PA      | $61704.39     | 0.05%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132HPR22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58715 | PA      | $54372.51     | 0.04%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253508 | PA      | $219883.27    | 0.17%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137ATFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134849 | PA      | $21122.53     | 0.02%             | 2042-08-15      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2025-2                                  | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101244.58    | 0.08%             | 2031-01-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140J9KV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125916 | PA      | $127003.80    | 0.10%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225BWG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1664 | PA      | $1739.75      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179NX78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51279 | PA      | $51190.35     | 0.04%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2018-C8                        | CUSIP: 46591ABD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $5202.08      | 0.00%             | 2051-06-15      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382BHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335366 | PA      | $54872.78     | 0.04%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $853582.10    | 0.67%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XHZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209249 | PA      | $211390.76    | 0.17%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F062622<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1400000 | PA      | $-1455210.25  | -1.15%            | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                    | Columbia Pipelines Holding Co LLC                                         | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $111856.38    | 0.09%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296439 | PA      | $267784.80    | 0.21%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NRJW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67306 | PA      | $70938.37     | 0.06%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 B PTT                     | United Airlines 2020-1 Class B Pass Through Trust                         | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22225 | PA      | $22225.44     | 0.02%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133B9MF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68022 | PA      | $63352.30     | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138YBWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7758 | PA      | $6752.38      | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        14 | NC      | $-18922.26    | -0.01%            |  |  |  | No            |                  1 | 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        |    165000 | PA      | $119891.44    | 0.09%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                      | Sempra                                                                    | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66353.66     | 0.05%             | 2056-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1297400 | PA      | $787156.91    | 0.62%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KF64 Mortgage Trust                                            | CUSIP: 35709DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134133 | PA      | $133189.27    | 0.10%             | 2026-06-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                    | Baxter International Inc                                                  | CUSIP: 071813DD8<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35268.00     | 0.03%             | 2030-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4             | CUSIP: 35563PHQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $340511.12    | 0.27%             | 2058-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                          | CUSIP: 95002Y400<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |      2556 | NS      | $45420.12     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                        | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95977.10     | 0.08%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36182NJK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55902 | PA      | $53919.78     | 0.04%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTA WIND HOLDINGS LLC                      | Alta Wind Holdings LLC                                                    | CUSIP: 021345AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34748 | PA      | $33161.20     | 0.03%             | 2035-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CRW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86730 | PA      | $90763.49     | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31371KKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       332 | PA      | $349.66       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                 | Onity Loan Investment Trust 2024-HB2                                      | CUSIP: 68278DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $128789.88    | 0.10%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                         | DataBank Issuer                                                           | CUSIP: 23802WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99479.69     | 0.08%             | 2051-02-27      | Fixed         | 2.65%                 | 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        |    122716 | PA      | $124147.14    | 0.10%             | 2055-02-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                 | Merchants Fleet Funding LLC                                               | CUSIP: 588926AH8<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    220000 | PA      | $222861.39    | 0.18%             | 2037-04-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                         | CUSIP: 404280FB0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $205877.87    | 0.16%             | 2036-09-10      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36184CDG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1893 | PA      | $1714.50      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                    | CUSIP: 03880XAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    265000 | PA      | $265331.14    | 0.21%             | 2037-01-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                              | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    136000 | PA      | $138180.23    | 0.11%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136BDU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287234 | PA      | $47962.60     | 0.04%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2016-CR28 Mortgage Trust                                             | CUSIP: 12593YBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84731 | PA      | $84519.52     | 0.07%             | 2049-02-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                       | Freedom Mortgage Holdings LLC                                             | CUSIP: 35641AAB4<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    165000 | PA      | $177219.41    | 0.14%             | 2031-05-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31296R6G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1996 | PA      | $2050.20      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                        | CUSIP: 02005NBV1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114003.93    | 0.09%             | 2035-07-26      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                      | Extra Space Storage LP                                                    | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106136.17    | 0.08%             | 2033-01-15      | Fixed         | 4.95%                 | 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        |    250000 | PA      | $232322.23    | 0.18%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                     | Air Canada 2017-1 Class AA Pass Through Trust                             | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    170024 | PA      | $162486.43    | 0.13%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                     | KeyCorp                                                                   | CUSIP: 493267868<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EP               | CORP              | US        |      1894 | NS      | $40266.44     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICOLD REALTY OPER PA                    | Americold Realty Operating Partnership LP                                 | CUSIP: 03063UAB7<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55372.00     | 0.04%             | 2032-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CSFT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91946 | PA      | $96161.46     | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DPTT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187606 | PA      | $199181.48    | 0.16%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $214645.28    | 0.17%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138WMHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4645 | PA      | $4162.47      | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200MQY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2930 | PA      | $3016.87      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       743 | PA      | $773.35       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec              | American Credit Acceptance Receivables Trust 2024-3                       | CUSIP: 02490BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101986.31    | 0.08%             | 2030-07-12      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NDHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88074 | PA      | $89678.71     | 0.07%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 31395PCL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9691 | PA      | $10150.44     | 0.01%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-throu              | ILPT Trust 2019-SURF                                                      | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323000 | PA      | $318716.15    | 0.25%             | 2041-02-11      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                    | Baxter International Inc                                                  | CUSIP: 071813DE6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35420.64     | 0.03%             | 2035-12-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2020-SFR2 Trust                                     | CUSIP: 89613JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $171142.40    | 0.13%             | 2039-11-17      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL INSURANCE                    | Liberty Mutual Insurance Co                                               | CUSIP: 53079QAD9<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |    456000 | PA      | $508961.43    | 0.40%             | 2097-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QQK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365684 | PA      | $348605.24    | 0.27%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31371JWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        98 | PA      | $102.09       | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROU                    | Affiliated Managers Group Inc                                             | CUSIP: 008252AS7<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |    450000 | PA      | $449966.98    | 0.35%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179NDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15496 | PA      | $15605.01     | 0.01%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2842 | PA      | $2860.88      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       493 | PA      | $512.26       | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                     | Public Service Co of Colorado                                             | CUSIP: 744448DC2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    300000 | PA      | $303979.33    | 0.24%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140AMHX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142539 | PA      | $148913.79    | 0.12%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva              | Amur Equipment Finance Receivables XII LLC                                | CUSIP: 03236YAD7<br>LEI: 5493000K1GV1VHEHGY40 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102738.82    | 0.08%             | 2029-12-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| ENERFLEX INC                                | Enerflex Inc                                                              | CUSIP: 29281WAA6<br>LEI: 549300SQCOV1LC1GBK07 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40897.68     | 0.03%             | 2031-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3617AVXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23208 | PA      | $22048.84     | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DQMA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167070 | PA      | $173779.14    | 0.14%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable              | Westlake Automobile Receivables Trust 2024-2                              | CUSIP: 96042YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $255274.18    | 0.20%             | 2030-04-15      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7539 | PA      | $7753.94      | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                    | Hess Midstream Operations LP                                              | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $40750.96     | 0.03%             | 2028-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9571 | PA      | $9255.46      | 0.01%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213RSA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4026 | PA      | $4107.04      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                        | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $549077.73    | 0.43%             | 2032-11-22      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                        | LXP Industrial Trust                                                      | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    285000 | PA      | $249135.92    | 0.20%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                     | Imperial Brands Finance PLC                                               | CUSIP: 45262BAG8<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    455000 | PA      | $471334.87    | 0.37%             | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                    | Volkswagen Group of America Finance LLC                                   | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207142.11    | 0.16%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2024-HB14 LLC                                                        | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96568.52     | 0.08%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136AESM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $467762.35    | 0.37%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VELOCITY VEHICLE GROUP                      | Velocity Vehicle Group LLC                                                | CUSIP: 92262TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $28501.35     | 0.02%             | 2029-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                          | BSPRT 2022-FL8 Issuer Ltd                                                 | CUSIP: 055983AG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    170000 | PA      | $169998.96    | 0.13%             | 2037-02-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBA                    | Citadel Securities Global Holdings LLC                                    | CUSIP: 17289RAB2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |    295000 | PA      | $310529.37    | 0.24%             | 2035-06-18      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| AECOM                                       | AECOM                                                                     | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |    205000 | PA      | $210096.30    | 0.17%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137F5A74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189800 | PA      | $31593.67     | 0.02%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                    | Avolon Holdings Funding Ltd                                               | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     40000 | PA      | $39742.52     | 0.03%             | 2031-01-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                  | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102697.73    | 0.08%             | 2029-12-20      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R02                              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $86532.30     | 0.07%             | 2042-01-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2021-J3                                               | CUSIP: 75409TDD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133549 | PA      | $112481.17    | 0.09%             | 2051-10-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NDHF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69732 | PA      | $71308.23     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                          | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     95000 | PA      | $98374.39     | 0.08%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CRFW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55159 | PA      | $58140.21     | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                | CUSIP: 309601AG7<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133382.60    | 0.11%             | 2064-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                  | Mattel Inc                                                                | CUSIP: 577081BG6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35242.70     | 0.03%             | 2030-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APA CORP                                    | APA Corp                                                                  | CUSIP: 03743QAT5<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |    450000 | PA      | $448180.29    | 0.35%             | 2055-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Dwight 2025-FL1 Issuer LLC                  | Dwight 2025-FL1 Issuer LLC                                                | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $300749.91    | 0.24%             | 2042-06-18      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31405HSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8858 | PA      | $9190.73      | 0.01%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XLUY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80126 | PA      | $72212.97     | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                       | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    375000 | PA      | $396232.20    | 0.31%             | 2033-04-13      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                    | Public Service Enterprise Group Inc                                       | CUSIP: 744573BB1<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71923.61     | 0.06%             | 2035-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133D0QX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183373 | PA      | $191766.30    | 0.15%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317523 | PA      | $296012.47    | 0.23%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31417YZQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13476 | PA      | $13711.63     | 0.01%             | 2031-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                            | SpringCastle America Funding LLC                                          | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61292 | PA      | $57904.32     | 0.05%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3618N5KX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $918754.46    | 0.72%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140LW6A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129943 | PA      | $137111.51    | 0.11%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                               | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    235000 | PA      | $212116.74    | 0.17%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42585 | PA      | $41662.03     | 0.03%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2022-1                                             | CUSIP: 81749CAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $101712.44    | 0.08%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HOA ROYALTYCO LLC                           | HOA RoyaltyCo LLC                                                         | CUSIP: 403962AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    194919 | PA      | $41000.00     | 0.03%             | 2055-11-22      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |    340000 | PA      | $290193.60    | 0.23%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     60000 | PA      | $63139.10     | 0.05%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                   | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    225000 | PA      | $229542.99    | 0.18%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                    | Element Fleet Management Corp                                             | CUSIP: 286181AR3<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $90250.96     | 0.07%             | 2030-11-24      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| MEIJI YASUDA LIFE INSURA                    | Meiji Yasuda Life Insurance Co                                            | CUSIP: 585270AE1<br>LEI: 549300SLU4LP6YMRLK07 | Long             | DBT              | CORP              | JP        |    450000 | PA      | $466857.45    | 0.37%             | 2055-06-11      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                               | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    235000 | PA      | $208213.34    | 0.16%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                         | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    355000 | PA      | $337631.28    | 0.27%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                               | ZF North America Capital Inc                                              | CUSIP: 98877DAD7<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153060.82    | 0.12%             | 2028-04-14      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                     | Hyundai Capital America                                                   | CUSIP: 44891ACE5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    295000 | PA      | $309109.81    | 0.24%             | 2030-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T              | STWD 2022-FL3 Ltd                                                         | CUSIP: 78485KAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $350026.25    | 0.28%             | 2038-11-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL2Trust                                                       | CUSIP: 12656TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $152445.76    | 0.12%             | 2060-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| CUMMINS INC                                 | Cummins Inc                                                               | CUSIP: 231021BA3<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | DBT              | CORP              | US        |    420000 | PA      | $435527.22    | 0.34%             | 2035-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201CJX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       583 | PA      | $602.82       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                         | Invitation Homes Operating Partnership LP                                 | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106524.68    | 0.08%             | 2033-01-15      | Fixed         | 4.95%                 | 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        |       -24 | NC      | $18063.12     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36176MYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       518 | PA      | $514.89       | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140MJF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16907 | PA      | $15712.81     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63138 | PA      | $62775.80     | 0.05%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138WE3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3673 | PA      | $3576.24      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397G98<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209151.41    | 0.16%             | 2032-03-19      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36186PNV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3054 | PA      | $2930.39      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                     | Starwood Property Trust Inc                                               | CUSIP: 85571BBG9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55591.19     | 0.04%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMERICA BANK                               | Comerica Bank                                                             | CUSIP: 200339EX3<br>LEI: 70WY0ID1N53Q4254VH70 | Long             | DBT              | CORP              | US        |    365000 | PA      | $367330.35    | 0.29%             | 2033-08-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31387WK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $231.00       | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2022-CRE6 Trust                                                     | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $147005.60    | 0.12%             | 2037-01-20      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| KENNAMETAL INC                              | Kennametal Inc                                                            | CUSIP: 489170AF7<br>LEI: 549300GZDSG25XUV0Y08 | Long             | DBT              | CORP              | US        |    125000 | PA      | $114333.10    | 0.09%             | 2031-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                              | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    110000 | PA      | $103453.16    | 0.08%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213TFP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5719 | PA      | $5832.20      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QQ3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196492 | PA      | $200118.77    | 0.16%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                       | Qnity Electronics Inc                                                     | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71571.22     | 0.06%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                    | First Quantum Minerals Ltd                                                | CUSIP: 335934AU9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    265000 | PA      | $278871.16    | 0.22%             | 2031-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL2Trust                                                       | CUSIP: 12656TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $111351.89    | 0.09%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2007-2                                     | CUSIP: 07325XAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90941 | PA      | $0.00         | 0.00%             | 2037-07-25      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| COPT DEFENSE PROP LP                        | COPT Defense Properties LP                                                | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49757.20     | 0.04%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60557 | PA      | $59224.91     | 0.05%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                            | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $51879.59     | 0.04%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2994 | PA      | $3124.21      | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                         | Northern Trust Corp                                                       | CUSIP: 665859AZ7<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84883.15     | 0.07%             | 2040-11-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94688 | PA      | $89605.59     | 0.07%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                            | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $48616.66     | 0.04%             | 2031-08-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                    | Flex Ltd                                                                  | CUSIP: 33938XAG0<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     85000 | PA      | $84800.14     | 0.07%             | 2035-11-13      | Fixed         | 5.38%                 | 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        |     41042 | PA      | $39071.19     | 0.03%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                       | Qnity Electronics Inc                                                     | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72558.61     | 0.06%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364872 | PA      | $301845.99    | 0.24%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                            | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $230301.44    | 0.18%             | 2032-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138WE3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4582 | PA      | $4463.55      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NDYR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77396 | PA      | $79145.50     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133KN6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98799 | PA      | $83722.49     | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | 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        |    230000 | PA      | $229856.27    | 0.18%             | 2042-08-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36210STC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5317 | PA      | $5665.94      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                      | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    140000 | PA      | $146302.94    | 0.12%             | 2034-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36205VU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2040 | PA      | $2071.82      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133C92G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25705 | PA      | $26921.41     | 0.02%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Victory Pioneer CAT Bond Fund               | Victory Pioneer CAT Bond Fund                                             | CUSIP: 92648C819<br>LEI: N/A                  | Long             | EC               | RF                | US        |     57939 | NS      | $637331.74    | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36205TPV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1729 | PA      | $1735.06      | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMAZON HOLDCO INC                           | AMAZON HOLDCO INC                                                         | CUSIP: 02351XAB4<br>LEI: 2549009FJIBLW40CU216 | Long             | LON              | CORP              | US        |     40981 | PA      | $41151.27     | 0.03%             | 2031-09-29      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31417FMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25401 | PA      | $22785.19     | 0.02%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Tru              | COOPR Residential Mortgage Trust 2025-CES1                                | CUSIP: 12596SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90909 | PA      | $91837.43     | 0.07%             | 2060-05-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                            | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $126182.97    | 0.10%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NCG8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    105000 | PA      | $111146.18    | 0.09%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru              | THPT 2023-THL Mortgage Trust                                              | CUSIP: 87252LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176732 | PA      | $178938.76    | 0.14%             | 2034-12-10      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| MANULIFE FINANCIAL CORP                     | Manulife Financial Corp                                                   | CUSIP: 56501RAX4<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |    120000 | PA      | $119704.26    | 0.09%             | 2035-12-11      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R05                              | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100344.00    | 0.08%             | 2044-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust               | HTL Commercial Mortgage Trust 2024-T53                                    | CUSIP: 404300AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101478.26    | 0.08%             | 2039-05-10      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                              | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    435000 | PA      | $390435.82    | 0.31%             | N/A             | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                        | Mercedes-Benz Finance North America LLC                                   | CUSIP: 58769JAR8<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    290000 | PA      | $295453.22    | 0.23%             | 2029-01-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132D9QY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121054 | PA      | $944983.64    | 0.74%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31389QN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       986 | PA      | $1023.30      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31283HRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       444 | PA      | $466.41       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                        | Commercial Metals Co                                                      | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71577.24     | 0.06%             | 2033-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200XHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1411 | PA      | $1455.24      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                              | Rocket Cos Inc                                                            | CUSIP: 77311WAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $128923.47    | 0.10%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                         | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    375000 | PA      | $340630.83    | 0.27%             | 2032-11-22      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                         | DataBank Issuer                                                           | CUSIP: 23802WAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $159537.26    | 0.13%             | 2054-01-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5601 | PA      | $4983.15      | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                    | Celanese US Holdings LLC                                                  | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    225000 | PA      | $237693.62    | 0.19%             | 2033-11-15      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                        | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    170000 | PA      | $162095.63    | 0.13%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138WFAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6910 | PA      | $6737.78      | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                             | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128795.65    | 0.10%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                    | Avolon Holdings Funding Ltd                                               | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     25000 | PA      | $25665.16     | 0.02%             | 2030-05-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36212VWA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       334 | PA      | $343.24       | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213X3V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1496 | PA      | $1516.88      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KOMATSU FINANCE AMERICA                     | Komatsu Finance America Inc                                               | CUSIP: 50048WAB4<br>LEI: 549300SRAAFEEQ8Z4D68 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198944.73    | 0.16%             | 2030-09-18      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CSMN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150656 | PA      | $155821.99    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    743833 | PA      | $637552.79    | 0.50%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31416WYP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67862 | PA      | $66491.61     | 0.05%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203252.31    | 0.16%             | 2034-03-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138WFPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21806 | PA      | $20682.10     | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                     | Algonquin Power & Utilities Corp                                          | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $40188.68     | 0.03%             | 2026-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE                       | Nippon Life Insurance Co                                                  | CUSIP: 654579AK7<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |    355000 | PA      | $318186.52    | 0.25%             | 2051-09-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     90000 | PA      | $93949.46     | 0.07%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                        | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110711.79    | 0.09%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36184JAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2793 | PA      | $2555.74      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36184BZL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27091 | PA      | $25281.59     | 0.02%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-IG3 Mortgage Trust                                         | CUSIP: 08162QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $142039.20    | 0.11%             | 2048-09-15      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KSW4 Mortgage Trust                                            | CUSIP: 302960AG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109062 | PA      | $104731.19    | 0.08%             | 2028-10-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132HMRK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12588 | PA      | $11658.75     | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2018-CH3                                           | CUSIP: 81746WAA6<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |      1264 | PA      | $1258.71      | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36209UAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       165 | PA      | $169.85       | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                          | Valero Energy Corp                                                        | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    312000 | PA      | $343552.74    | 0.27%             | 2037-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CSML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405375 | PA      | $416981.53    | 0.33%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC               | JG Wentworth XXII LLC                                                     | CUSIP: 46616MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2739 | PA      | $2723.94      | 0.00%             | 2048-12-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XJE74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210920 | PA      | $217344.38    | 0.17%             | 2050-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                              | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41101.89     | 0.03%             | 2031-03-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                    | Teachers Insurance & Annuity Association of America                       | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     26000 | PA      | $29813.84     | 0.02%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLIII LLC                    | JG Wentworth XLIII LLC                                                    | CUSIP: 46650XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155279 | PA      | $139421.06    | 0.11%             | 2071-08-17      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-C5                               | CUSIP: 17291DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230524 | PA      | $229172.55    | 0.18%             | 2051-06-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                    | MSCI Inc                                                                  | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70461.84     | 0.06%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BASIN ELECTRIC PWR COOP                     | Basin Electric Power Cooperative                                          | CUSIP: 070101AJ9<br>LEI: 5493002CLOJ5KYT5GB16 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107736.39    | 0.08%             | 2055-10-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382DL31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303322 | PA      | $58602.66     | 0.05%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                        | Commercial Metals Co                                                      | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71760.91     | 0.06%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    160000 | PA      | $183466.94    | 0.14%             | 2084-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31384FMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       189 | PA      | $198.30       | 0.00%             | 2029-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NM5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68232 | PA      | $69691.91     | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $185125.00    | 0.15%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2020-NQM1 Trust                                                       | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29670 | PA      | $28746.79     | 0.02%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36203NBW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       145 | PA      | $145.83       | 0.00%             | 2027-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140MGL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72950 | PA      | $65697.74     | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179XFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69595 | PA      | $70831.50     | 0.06%             | 2052-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-2 Trust                       | CUSIP: 949930AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $72304.68     | 0.06%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50137 | PA      | $48105.26     | 0.04%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                  | CUSIP: 05377RFX7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     83333 | PA      | $83563.17     | 0.07%             | 2027-04-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133W7X42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73553 | PA      | $76720.85     | 0.06%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 3622A2Q70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28972 | PA      | $28021.43     | 0.02%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORP                       | KeySpan Gas East Corp                                                     | CUSIP: 49338CAD5<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    380000 | PA      | $400926.39    | 0.32%             | 2033-03-06      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       106 | NC      | $-224757.55   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                              | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    415000 | PA      | $372143.19    | 0.29%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW03 Mortgage Trust                                            | CUSIP: 30302YAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $146171.13    | 0.12%             | 2027-07-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138YMN21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5872 | PA      | $5130.40      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185788 | PA      | $178122.74    | 0.14%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO XXVIII Ltd                                                | CUSIP: 83615CAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247917.00    | 0.20%             | 2032-01-25      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                        | Shell Finance US Inc                                                      | CUSIP: 822905AQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $299556.35    | 0.24%             | 2036-01-06      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                      | Santander Holdings USA Inc                                                | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    210000 | PA      | $206406.51    | 0.16%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122989 | PA      | $120284.18    | 0.09%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                            | Kuwait International Government Bond                                      | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    300000 | PA      | $299585.70    | 0.24%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138XZSU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17375 | PA      | $15152.62     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO LIFE INSUR                         | Sumitomo Life Insurance Co                                                | CUSIP: 86564CAF7<br>LEI: 549300I5OQCDADQSPI57 | Long             | DBT              | CORP              | JP        |    420000 | PA      | $424207.14    | 0.33%             | 2055-09-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225BEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       528 | PA      | $540.58       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NEGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81079 | PA      | $83425.65     | 0.07%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CADU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77516 | PA      | $81121.03     | 0.06%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                           | Imperial Fund Mortgage Trust 2021-NQM2                                    | CUSIP: 452761AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $75566.47     | 0.06%             | 2056-09-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                     | Talen Energy Supply LLC                                                   | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112190.53    | 0.09%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                 | Continental Finance Credit Card ABS Master Trust                          | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246562 | PA      | $247537.88    | 0.20%             | 2030-10-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                     | Procter & Gamble Co/The                                                   | CUSIP: 742718GP8<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    350000 | PA      | $347933.47    | 0.27%             | 2032-11-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138YTJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17229 | PA      | $16928.88     | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31418BQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15816 | PA      | $13943.30     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133KQQA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99250 | PA      | $101120.64    | 0.08%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                | Dell Equipment Finance Trust 2024-1                                       | CUSIP: 24702GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101636.87    | 0.08%             | 2030-09-23      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NM6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61887 | PA      | $64031.06     | 0.05%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QRCW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22233 | PA      | $23131.71     | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                           | Imperial Fund Mortgage Trust 2021-NQM2                                    | CUSIP: 452761AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $73739.75     | 0.06%             | 2056-09-25      | Variable      | 2.49%                 | 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        |     25000 | PA      | $25814.91     | 0.02%             | 2032-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138YGW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13645 | PA      | $11978.33     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31382VXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43 | PA      | $44.51        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98119 | PA      | $100238.55    | 0.08%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B8 Mortgage Trust                                          | CUSIP: 08162UAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $248233.15    | 0.20%             | 2052-01-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DP6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50857 | PA      | $46220.78     | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200RDA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        44 | PA      | $44.37        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                     | Talen Energy Supply LLC                                                   | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    110000 | PA      | $113749.86    | 0.09%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    105000 | PA      | $111183.98    | 0.09%             | 2054-06-27      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31385JK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       705 | PA      | $731.83       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd               | CoreVest American Finance 2020-3 Trust                                    | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12631 | PA      | $12510.40     | 0.01%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP                    | Health Care Service Corp A Mutual Legal Reserve Co                        | CUSIP: 42218SAK4<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76875.40     | 0.06%             | 2029-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CQ4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29531 | PA      | $31203.41     | 0.02%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140J5SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65511 | PA      | $60050.73     | 0.05%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGLOGOLD HOLDINGS PLC                      | AngloGold Ashanti Holdings PLC                                            | CUSIP: 03512TAE1<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |    335000 | PA      | $320783.20    | 0.25%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CSMW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158599 | PA      | $164074.78    | 0.13%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    285000 | PA      | $307693.77    | 0.24%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2341 | PA      | $2407.45      | 0.00%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136BHF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108986 | PA      | $20833.27     | 0.02%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AS1<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13966.83     | 0.01%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137FUPG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86148 | PA      | $15816.63     | 0.01%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F012411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $180921.88    | 0.14%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25853 | PA      | $24085.94     | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2025-HE2                                                      | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124338 | PA      | $125819.34    | 0.10%             | 2055-03-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31292HQ49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1005 | PA      | $1049.87      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                      | American Honda Finance Corp                                               | CUSIP: 02665WFU0<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    255000 | PA      | $259706.87    | 0.20%             | 2031-10-23      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QQBZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269057 | PA      | $264122.64    | 0.21%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2024-2                             | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $154792.91    | 0.12%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                       | Waste Connections Inc                                                     | CUSIP: 94106BAJ0<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    145000 | PA      | $150076.65    | 0.12%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Tr              | GLS Auto Select Receivables Trust 2024-4                                  | CUSIP: 36271BAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101041.87    | 0.08%             | 2031-10-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61762V861<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |      4452 | NS      | $78533.28     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                             | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     95000 | PA      | $107943.79    | 0.09%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2018-RP3                                    | CUSIP: 17327DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $350393.48    | 0.28%             | 2061-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QRB69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187476 | PA      | $190859.40    | 0.15%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133BXW72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85259 | PA      | $87321.41     | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                    | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    120000 | PA      | $115541.60    | 0.09%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NSAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39179 | PA      | $40976.16     | 0.03%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132E0LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41200 | PA      | $35585.25     | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70814 | PA      | $71393.21     | 0.06%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                 | Corp Nacional del Cobre de Chile                                          | CUSIP: 21987BBM9<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $215312.00    | 0.17%             | 2055-01-13      | Fixed         | 6.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382CAZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297271 | PA      | $2924.49      | 0.00%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $598581.86    | 0.47%             | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-HYB1                                        | CUSIP: 46651FAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212031 | PA      | $213672.01    | 0.17%             | 2049-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136BJVT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63172 | PA      | $14435.31     | 0.01%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                  | Allianz SE                                                                | CUSIP: 018820AE0<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    400000 | PA      | $415216.80    | 0.33%             | N/A             | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31390Y6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       358 | PA      | $366.77       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                     | SCF Equipment Leasing 2025-2 LLC                                          | CUSIP: 78439XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100551.22    | 0.08%             | 2036-06-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                     | Nationwide Building Society                                               | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    320000 | PA      | $328721.17    | 0.26%             | 2029-07-29      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| AUTODESK INC                                | Autodesk Inc                                                              | CUSIP: 052769AJ5<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66652.31     | 0.05%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36176H6S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40636 | PA      | $39781.47     | 0.03%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CRH SMW FINANCE DAC                         | CRH SMW Finance DAC                                                       | CUSIP: 12704PAB4<br>LEI: 54930044475SH442C864 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $206175.10    | 0.16%             | 2030-01-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140X86H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79267 | PA      | $71764.43     | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-MTG2                               | CUSIP: 585494CB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264941 | PA      | $220675.98    | 0.17%             | 2051-06-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                    | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     57000 | PA      | $51166.21     | 0.04%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31292HJD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       323 | PA      | $336.65       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | 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        |    345000 | PA      | $230824.18    | 0.18%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                             | Chevron USA Inc                                                           | CUSIP: 166756BL9<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    255000 | PA      | $257960.20    | 0.20%             | 2035-10-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                      | Daimler Truck Finance North America LLC                                   | CUSIP: 233853BH2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151061.12    | 0.12%             | 2030-10-12      | Fixed         | 4.65%                 | 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        |    110000 | PA      | $112902.43    | 0.09%             | 2030-02-20      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NM6C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52299 | PA      | $54034.41     | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                      | Santander Holdings USA Inc                                                | CUSIP: 80282KBK1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55372.97     | 0.04%             | 2027-05-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                      | GE HealthCare Technologies Inc                                            | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103893.78    | 0.08%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     75000 | PA      | $77541.35     | 0.06%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QNT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91707 | PA      | $77722.49     | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                      | Roper Technologies Inc                                                    | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111195.19    | 0.09%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2024-1 AA PTT                    | United Airlines 2024-1 Class AA Pass Through Trust                        | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96552 | PA      | $99260.99     | 0.08%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KF66 Mortgage Trust                                            | CUSIP: 30314CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106683 | PA      | $100656.41    | 0.08%             | 2029-07-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                      | Skyworks Solutions Inc                                                    | CUSIP: 83088MAL6<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    313000 | PA      | $283682.22    | 0.22%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QRCL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83674 | PA      | $87502.97     | 0.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83501 | PA      | $72525.23     | 0.06%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133A6DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10140 | PA      | $9731.20      | 0.01%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138YPWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5043 | PA      | $4476.66      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3128KH6Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       341 | PA      | $357.67       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                           | CUSIP: 14731QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $158319.78    | 0.12%             | 2046-02-25      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                      | CUSIP: 06055H202<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |      2018 | NS      | $41893.68     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Bunker Hill Loan Depositary Tr              | Bunker Hill Loan Depositary Trust 2020-1                                  | CUSIP: 12062RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97462.72     | 0.08%             | 2055-02-25      | Variable      | 3.25%                 | 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        |    328419 | PA      | $298281.14    | 0.24%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                          | BX Trust 2019-OC11                                                        | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $379744.56    | 0.30%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7607 | PA      | $7394.50      | 0.01%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1533 | PA      | $1577.97      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31292HLW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       285 | PA      | $291.86       | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VRTX Trust                                  | VRTX Trust 2025-HQ                                                        | CUSIP: 91835XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $142002.48    | 0.11%             | 2042-08-05      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                      | Darden Restaurants Inc                                                    | CUSIP: 237194AN5<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |    325000 | PA      | $352733.00    | 0.28%             | 2033-10-10      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                      | Mutual of Omaha Cos Global Funding                                        | CUSIP: 62829D2F6<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    145000 | PA      | $148203.79    | 0.12%             | 2030-04-01      | Fixed         | 5.00%                 | 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        |    275000 | PA      | $181419.32    | 0.14%             | 2052-07-25      | Variable      | 3.51%                 | 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        |       -34 | NC      | $22045.48     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819304 | PA      | $690886.39    | 0.54%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2024-HE6                                                      | CUSIP: 31684DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492858 | PA      | $497085.68    | 0.39%             | 2054-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133KQDQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99863 | PA      | $101655.02    | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                     | Teva Pharmaceutical Finance Netherlands III BV                            | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $202260.26    | 0.16%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DPXT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79778 | PA      | $68975.28     | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                      | Roper Technologies Inc                                                    | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179606.97    | 0.14%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201YBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2490 | PA      | $2507.13      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                        | Monongahela Power Co                                                      | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $137386.24    | 0.11%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                  | BINOM Securitization Trust 2022-RPL1                                      | CUSIP: 05552CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $352398.74    | 0.28%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                       | Micron Technology Inc                                                     | CUSIP: 595112CE1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    245000 | PA      | $258189.47    | 0.20%             | 2035-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2022-3                                                | CUSIP: 74938XAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $289426.32    | 0.23%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                      | Canadian Imperial Bank of Commerce                                        | CUSIP: 13607PHS6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $233148.14    | 0.18%             | 2030-09-11      | Fixed         | 4.63%                 | 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        |    140000 | PA      | $142684.22    | 0.11%             | 2048-10-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSDC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323329 | PA      | $306755.29    | 0.24%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202DPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       445 | PA      | $467.30       | 0.00%             | 2031-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31292HHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       226 | PA      | $237.61       | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XM4Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319947 | PA      | $276677.99    | 0.22%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140A0A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197484 | PA      | $208380.36    | 0.16%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                        | WEC Energy Group Inc                                                      | CUSIP: 92939UAU0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35220.44     | 0.03%             | 2056-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464269 | PA      | $420242.44    | 0.33%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                           | CUSIP: 14731QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $80017.04     | 0.06%             | 2046-02-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                          | Regal Rexnord Corp                                                        | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    125000 | PA      | $132482.79    | 0.10%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140AJSX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63575 | PA      | $66348.06     | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                             | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    320000 | PA      | $317850.92    | 0.25%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                           | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36166.86     | 0.03%             | 2031-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VRTX Trust                                  | VRTX Trust 2025-HQ                                                        | CUSIP: 91835XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $131633.33    | 0.10%             | 2042-08-05      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DTEC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86721 | PA      | $78526.08     | 0.06%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7387 | PA      | $6978.32      | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ReadyCap lending                            | ReadyCap Lending Small Business Loan Trust 2023-3                         | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122700 | PA      | $124371.99    | 0.10%             | 2048-04-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10131 | PA      | $9787.39      | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31298WUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1484 | PA      | $1551.56      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XHXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143657 | PA      | $148652.08    | 0.12%             | 2050-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                           | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    260000 | PA      | $267691.03    | 0.21%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2024-DNA3                                   | CUSIP: 35564NEY5<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |    121200 | PA      | $121314.99    | 0.10%             | 2044-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                     | CNO Financial Group Inc                                                   | CUSIP: 12621EAM5<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |     35000 | PA      | $37027.95     | 0.03%             | 2034-06-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2024-4                             | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $344135.83    | 0.27%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96786 | PA      | $93659.26     | 0.07%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                         | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    205000 | PA      | $211514.81    | 0.17%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31402TNW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1961 | PA      | $1987.94      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co              | Triangle Re 2023-1 Ltd                                                    | CUSIP: 89589AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99259 | PA      | $100019.78    | 0.08%             | 2033-11-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68072 | PA      | $62134.70     | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138YD4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11836 | PA      | $10350.83     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2022-PJ1                              | CUSIP: 36263NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281852 | PA      | $233536.05    | 0.18%             | 2052-05-28      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| RAYMOND JAMES FINANCIAL                     | Raymond James Financial Inc                                               | CUSIP: 754730AJ8<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |    215000 | PA      | $213748.20    | 0.17%             | 2035-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137H22E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162717 | PA      | $18688.67     | 0.01%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                             | Nordea Bank Abp                                                           | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    445000 | PA      | $421915.14    | 0.33%             | N/A             | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202DAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       765 | PA      | $786.08       | 0.00%             | 2029-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                 | Merchants Fleet Funding LLC                                               | CUSIP: 588926AL9<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $110357.47    | 0.09%             | 2039-01-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179SNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30321 | PA      | $29253.27     | 0.02%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2024-3                                  | CUSIP: 37989AAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $475297.51    | 0.37%             | 2031-02-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                        | CUSIP: 46592PBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97273 | PA      | $82182.47     | 0.06%             | 2051-10-25      | Variable      | 2.97%                 | 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        |     90000 | PA      | $90439.94     | 0.07%             | 2044-03-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213EYK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       208 | PA      | $213.62       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     41000 | PA      | $40636.10     | 0.03%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                           | Brown & Brown Inc                                                         | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    185000 | PA      | $179012.74    | 0.14%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                    | Element Fleet Management Corp                                             | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    275000 | PA      | $281054.09    | 0.22%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                              | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98641.91     | 0.08%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                      | ConocoPhillips Co                                                         | CUSIP: 20826FBN5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    180000 | PA      | $172830.89    | 0.14%             | 2065-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                  | Blackbird Capital II Aircraft Lease Ltd                                   | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157697 | PA      | $149734.60    | 0.12%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CSKZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132674 | PA      | $140073.30    | 0.11%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31401YDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2730 | PA      | $2801.16      | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NQDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544937 | PA      | $560829.53    | 0.44%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202DLF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       248 | PA      | $259.40       | 0.00%             | 2031-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                     | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     85000 | PA      | $85516.20     | 0.07%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                 | Aker BP ASA                                                               | CUSIP: 00973RAQ6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $195388.06    | 0.15%             | 2035-10-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202CXA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        37 | PA      | $37.07        | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31283HQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       412 | PA      | $429.31       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61747YFM2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    165000 | PA      | $173409.96    | 0.14%             | 2039-02-07      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Pioneer ILS Interval Fund                   | Pioneer ILS Interval Fund                                                 | CUSIP: 72369L107<br>LEI: 549300LH2MO2SJZYNC86 | Long             | EC               | RF                | US        |    473646 | NS      | $4575420.05   | 3.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Inc                                  | Affirm Asset Securitization Trust 2024-X2                                 | CUSIP: 00833QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5489 | PA      | $5490.78      | 0.00%             | 2029-12-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                     | KeyCorp                                                                   | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128376.73    | 0.10%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2025-HE5                                                      | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403952 | PA      | $405515.74    | 0.32%             | 2055-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36211SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       610 | PA      | $619.39       | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UDR INC                                     | UDR Inc                                                                   | CUSIP: 90265EAP5<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    180000 | PA      | $180814.45    | 0.14%             | 2029-01-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                | Drive Auto Receivables Trust 2025-1                                       | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390000 | PA      | $394681.99    | 0.31%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                              | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125160.41    | 0.10%             | 2030-01-23      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                 | Merchants Fleet Funding LLC                                               | CUSIP: 588926AJ4<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $111836.51    | 0.09%             | 2037-04-20      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42199 | PA      | $36580.83     | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140MNNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193227 | PA      | $179968.43    | 0.14%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3617GSGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29382 | PA      | $27914.38     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                    | CUSIP: 715638FC1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    320000 | PA      | $326272.00    | 0.26%             | 2036-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                              | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $149489.24    | 0.12%             | 2031-12-10      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2024-A LLC                                                   | CUSIP: 62919UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $204892.94    | 0.16%             | 2031-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                             | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    250000 | PA      | $223974.38    | 0.18%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                        | LXP Industrial Trust                                                      | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    165000 | PA      | $151305.84    | 0.12%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CAQZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140424 | PA      | $147697.26    | 0.12%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | CARLYLE US CLO 2019-4 LTD                                                 | CUSIP: 14317VAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248302.25    | 0.20%             | 2035-04-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NM6G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74483 | PA      | $76849.40     | 0.06%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36177Q7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8705 | PA      | $8123.73      | 0.01%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                              | ACM Auto Trust 2024-2                                                     | CUSIP: 00461WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14279 | PA      | $14289.09     | 0.01%             | 2029-02-20      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                   | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    165000 | PA      | $171941.25    | 0.14%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3128MMSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7197 | PA      | $7149.10      | 0.01%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Mscr Trust Mn3                                                | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $233124.19    | 0.18%             | 2051-11-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                          | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    220000 | PA      | $215439.67    | 0.17%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31417ACQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4018 | PA      | $3864.63      | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $620203.13    | 0.49%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202FAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5978 | PA      | $5800.62      | 0.00%             | 2039-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                 | Nakilat Inc                                                               | CUSIP: 62983PAB1<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |    135859 | PA      | $144282.42    | 0.11%             | 2033-12-31      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                       | Entergy Louisiana LLC                                                     | CUSIP: 29364WBM9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    325000 | PA      | $337762.38    | 0.27%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                              | CUSIP: 456837BT9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $208627.40    | 0.16%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT             | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $237500.00    | 0.19%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1400000 | PA      | $1366599.04   | 1.08%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31405JKS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       327 | PA      | $339.09       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                     | Australia & New Zealand Banking Group Ltd                                 | CUSIP: 052528AR7<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    270000 | PA      | $278924.49    | 0.22%             | 2034-09-18      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2024-DNA3                                   | CUSIP: 35564NEZ2<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |       778 | PA      | $777.74       | 0.00%             | 2044-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                              | Phillips 66 Co                                                            | CUSIP: 718547AU6<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    290000 | PA      | $301393.62    | 0.24%             | 2031-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva              | Amur Equipment Finance Receivables XI LLC                                 | CUSIP: 03236XAE7<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $303568.92    | 0.24%             | 2029-05-21      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA                     | JetBlue 2019-1 Class AA Pass Through Trust                                | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    116569 | PA      | $104573.43    | 0.08%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CTFU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77091 | PA      | $80333.20     | 0.06%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                               | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16500000 | PA      | $16490448.65  | 12.99%            | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                             | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $214446.79    | 0.17%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-21

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

**Signature:** Carol Trevino

**Name of Signer:** Carol Trevino

**Title:** Treasurer