# EDGAR Filing Document

**Accession Number:** 0002042317
**File Stem:** 0000940400-26-007382
**Filing Date:** 2026-2
**Character Count:** 180045
**Document Hash:** 525d29062446d681b59120cebd8aa9d3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-007382.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0000940400-26-007382

**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:** 26667856

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** SAN ANTONIO

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 78256

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

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

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

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

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

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

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

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

**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:** $31718102.33

**Total Liabilities:** $3144778.80

**Net Assets:** $28573323.53

**Stand-by Commitments:** $2810313.22

**Cash Not Reported:** $849672.36

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -91.00000000 | **1-Year:** -38.00000000 | **5-Year:** -4410.00000000 | **10-Year:** -2083.00000000 | **30-Year:** -2530.00000000

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

- **3-Month:** -16.00000000 | **1-Year:** -97.00000000 | **5-Year:** -2340.00000000 | **10-Year:** -196.00000000 | **30-Year:** -4069.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000256345 | 0.69%                | 0.69%                | 0.23%                |
| Class ID C000256346 | 0.71%                | 0.71%                | 0.25%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $9747.55                 | $60029.03                                  |
| Month 2  | $18418.91                | $59761.71                                  |
| Month 3  | $13961.41                | $-113036.74                                |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                        | Title                                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIBANK, NATIONAL ASSOCIATION              | EUR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3309.77      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | EUR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $273.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136B1Z98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13431 | PA      | $1659.19      | 0.01%             | 2048-06-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA5                                   | CUSIP: 35565TBE8<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $97672.09     | 0.34%             | 2050-11-25      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LL              | Cologix Canadian Issuer LP                                                | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    100000 | PA      | $72264.03     | 0.25%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NDHF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69732 | PA      | $71308.23     | 0.25%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                             | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $214446.79    | 0.75%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                | CUSIP: 309601AG7<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61561.20     | 0.22%             | 2064-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                  | Mattel Inc                                                                | CUSIP: 577081BG6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10069.34     | 0.04%             | 2030-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201RX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1805 | PA      | $1795.31      | 0.01%             | 2035-04-15      | Fixed         | 4.50%                 | 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    | -0.33%            | 2056-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APA CORP                                    | APA Corp                                                                  | CUSIP: 03743QAT5<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |    155000 | PA      | $154373.21    | 0.54%             | 2055-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | TRY/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7251.37      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AV4<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9992.50      | 0.03%             | 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        |      5000 | PA      | $5263.32      | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | 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        |    200000 | PA      | $205033.54    | 0.72%             | 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        |     95995 | PA      | $83437.20     | 0.29%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                    | Liberty Mutual Group Inc                                                  | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     85000 | PA      | $79372.59     | 0.28%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                              | 1261229 BC LTD                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     39900 | PA      | $39042.15     | 0.14%             | 2030-10-08      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                       | Venture Global Plaquemines LNG LLC                                        | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46090.80     | 0.16%             | 2034-01-15      | 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        |   -100000 | PA      | $-80812.10    | -0.28%            | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36290RUG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       219 | PA      | $221.79       | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136B47J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14913 | PA      | $1716.61      | 0.01%             | 2049-07-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | USD/KRW FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2259.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW02 Mortgage Trust                                            | CUSIP: 30301RAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49000 | PA      | $48002.38     | 0.17%             | 2026-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                      | American Airlines 2021-1 Class B Pass Through Trust                       | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10950 | PA      | $10561.10     | 0.04%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63505 | PA      | $59202.49     | 0.21%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                    | Uruguay Government International Bond                                     | CUSIP: 760942BF8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   1790000 | PA      | $51241.07     | 0.18%             | 2033-07-20      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                    | Element Fleet Management Corp                                             | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $61017.70     | 0.21%             | 2027-03-13      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200MQ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       320 | PA      | $327.31       | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QKNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198782 | PA      | $172556.03    | 0.60%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3618N5KX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $102084.25    | 0.36%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69628 | PA      | $64803.65     | 0.23%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2022-1                                             | CUSIP: 81749CAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $67808.29     | 0.24%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | EUR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $163.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |    120000 | PA      | $102421.27    | 0.36%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $21046.37     | 0.07%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                    | Hilton Domestic Operating Co Inc                                          | CUSIP: 432833AT8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20137.36     | 0.07%             | 2034-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       444 | PA      | $459.26       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru              | THPT 2023-THL Mortgage Trust                                              | CUSIP: 87252LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101131.60    | 0.35%             | 2034-12-10      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| MEIJI YASUDA LIFE INSURA                    | Meiji Yasuda Life Insurance Co                                            | CUSIP: 585270AE1<br>LEI: 549300SLU4LP6YMRLK07 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $207492.20    | 0.73%             | 2055-06-11      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                               | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     58000 | PA      | $51388.82     | 0.18%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Trust 2019-5                                       | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91563.05     | 0.32%             | 2052-02-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    125000 | PA      | $132504.24    | 0.46%             | 2034-01-07      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Desarrolladora Homex SAB de CV              | Desarrolladora Homex SAB de CV                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     15463 | NS      | $0.86         | 0.00%             |  |  |  | No            |                  3 | 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        |        20 | NC      | $-44742.00    | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136B5SU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13476 | PA      | $1898.97      | 0.01%             | 2049-08-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36211RFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       484 | PA      | $505.79       | 0.00%             | 2030-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36202XTP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2992 | PA      | $3089.25      | 0.01%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                       | Foundry JV Holdco LLC                                                     | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209174.93    | 0.73%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     90000 | PA      | $88481.25     | 0.31%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD                     | Global Aircraft Leasing Co Ltd                                            | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    150000 | PA      | $155557.35    | 0.54%             | 2027-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                     | Starwood Property Trust Inc                                               | CUSIP: 85571BBG9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45483.70     | 0.16%             | 2031-01-15      | Fixed         | 5.75%                 | 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        |     60000 | PA      | $60242.70     | 0.21%             | 2034-03-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36184NEC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5558 | PA      | $5088.76      | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2021-J1                                               | CUSIP: 75409JDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87392 | PA      | $74625.92     | 0.26%             | 2051-07-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | TRY/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9455.90      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                      | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30750.01     | 0.11%             | 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        |     75000 | PA      | $70275.81     | 0.25%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R02                              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $72337.73     | 0.25%             | 2042-01-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2022-CRE6 Trust                                                     | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $98003.73     | 0.34%             | 2037-01-20      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                      | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    130000 | PA      | $121856.82    | 0.43%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225BY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       307 | PA      | $321.54       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Emerald Plantation Holdings Lt              | Emerald Plantation Holdings Ltd                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | HK        |      1032 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36176MW74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5720 | PA      | $5674.64      | 0.02%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                            | UWM Holdings LLC                                                          | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $24960.14     | 0.09%             | 2031-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                              | Hertz Corp/The                                                            | CUSIP: 42804VBC4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | LON              | CORP              | US        |     39531 | PA      | $33057.58     | 0.12%             | 2028-06-30      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | KZT/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9855.57     | -0.03%            |  |  |  | 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        |     25000 | PA      | $25263.59     | 0.09%             | 2031-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38376CAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8513 | PA      | $8594.00      | 0.03%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101398 | PA      | $91488.56     | 0.32%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                       | Qnity Electronics Inc                                                     | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25561.15     | 0.09%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                | CUSIP: 902973734<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |       364 | NS      | $5580.12      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $67988.93     | 0.24%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                     | International Bank for Reconstruction & Development                       | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |   5500000 | PA      | $61024.91     | 0.21%             | 2028-04-24      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 3620AMK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4539 | PA      | $4554.61      | 0.02%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABRA GLOBAL FINANCE                         | ABRA Global Finance                                                       | CUSIP: 000852AC7<br>LEI: 2549007QS3P0D4KT9G26 | Long             | DBT              | CORP              | KY        |     54967 | PA      | $54934.20     | 0.19%             | 2029-10-22      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31418CHJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       341 | PA      | $312.22       | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | 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        |         2 | NC      | $-2703.18     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Pear LLC                                    | PEAR 2021-1 LLC                                                           | CUSIP: 70472TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $92214.00     | 0.32%             | 2034-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2024-3                                | CUSIP: 30165AAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $51102.97     | 0.18%             | 2030-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KJ24 Mortgage Trust                                            | CUSIP: 30312FAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28209 | PA      | $27165.35     | 0.10%             | 2027-10-25      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                    | Hilcorp Energy I LP / Hilcorp Finance Co                                  | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    222000 | PA      | $210982.60    | 0.74%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                     | International Bank for Reconstruction & Development                       | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |   4000000 | PA      | $43634.39     | 0.15%             | 2030-04-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36290YUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       798 | PA      | $794.28       | 0.00%             | 2033-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                     | Starwood Property Trust Inc                                               | CUSIP: 85571BBF1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30218.16     | 0.11%             | 2028-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1377 | PA      | $1436.97      | 0.01%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO                    | Wildfire Intermediate Holdings LLC                                        | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |    160000 | PA      | $161507.68    | 0.57%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                        | Fiesta Purchaser Inc                                                      | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11000 | PA      | $11528.18     | 0.04%             | 2032-09-15      | Fixed         | 9.62%                 | 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      | $-8513.33     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FLEX LTD                                    | Flex Ltd                                                                  | CUSIP: 33938XAG0<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     30000 | PA      | $29929.46     | 0.10%             | 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        |     14129 | PA      | $13450.74     | 0.05%             | 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        |     25000 | PA      | $25913.79     | 0.09%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3622A25J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9190 | PA      | $9075.65      | 0.03%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                | CUSIP: 14040H758<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EP               | CORP              | US        |       246 | NS      | $4118.04      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31371KLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $38.10        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EGYPT TREASURY BILL                         | Egypt Treasury Bills                                                      | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   3400000 | PA      | $57554.19     | 0.20%             | 2026-12-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137F8M83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42433 | PA      | $8906.71      | 0.03%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                      | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10450.21     | 0.04%             | 2034-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                           | Herc Holdings Inc                                                         | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $21207.68     | 0.07%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS ORACLE CORP                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2520.09     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                     | Energean Israel Finance Ltd                                               | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |     72000 | PA      | $69638.67     | 0.24%             | 2031-03-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP2                                                     | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $61106.42     | 0.21%             | 2047-02-25      | Floating      | 14.49%                | No            |                  2 | On Loan: No      |
| COREWEAVE INC                               | CoreWeave Inc                                                             | CUSIP: 21873SAD0<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4731.25      | 0.02%             | 2031-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                     | American Electric Power Co Inc                                            | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59565.63     | 0.21%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MANULIFE FINANCIAL CORP                     | Manulife Financial Corp                                                   | CUSIP: 56501RAX4<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $39901.42     | 0.14%             | 2035-12-11      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31416BTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7029 | PA      | $7197.23      | 0.03%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS                      | Methanex US Operations Inc                                                | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     93000 | PA      | $95759.37     | 0.34%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                    | Transocean International Ltd                                              | CUSIP: 893830BZ1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |     10000 | PA      | $9905.26      | 0.03%             | 2031-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132D9QY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150615 | PA      | $126959.64    | 0.44%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137AS5J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58266 | PA      | $7467.17      | 0.03%             | 2042-07-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/TRY FORWARD                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1314.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | USD/CAD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1157.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                           | Herc Holdings Inc                                                         | CUSIP: 42704LAH7<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10148.44     | 0.04%             | 2031-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                        | Commercial Metals Co                                                      | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40901.28     | 0.14%             | 2033-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                     | American Electric Power Co Inc                                            | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49126.50     | 0.17%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                 | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $86321.67     | 0.30%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                         | DataBank Issuer                                                           | CUSIP: 23802WAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $59826.47     | 0.21%             | 2054-01-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                    | Celanese US Holdings LLC                                                  | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    115000 | PA      | $121487.85    | 0.43%             | 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        |     60000 | PA      | $57210.22     | 0.20%             | 2065-11-15      | Fixed         | 5.75%                 | 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        |   -700000 | PA      | $-591664.07   | -2.07%            | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                             | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41214.61     | 0.14%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QQEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96823 | PA      | $98672.81     | 0.35%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | MXN/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-50.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                 | Continental Finance Credit Card ABS Master Trust                          | CUSIP: 66981PAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $103065.12    | 0.36%             | 2030-10-15      | Fixed         | 9.33%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                               | CoreWeave Inc                                                             | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    110000 | PA      | $100817.20    | 0.35%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| DANAOS CORP                                 | Danaos Corp                                                               | CUSIP: 23585WAC8<br>LEI: 734IM3DNDNT36T7YTD24 | Long             | DBT              | CORP              | MH        |    100000 | PA      | $103316.20    | 0.36%             | 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        |     60000 | PA      | $52521.64     | 0.18%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                    | Transocean International Ltd                                              | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |     50000 | PA      | $50392.70     | 0.18%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221833 | PA      | $190137.42    | 0.67%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2021-FL7 LLC                             | CUSIP: 75575WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50000 | PA      | $49964.50     | 0.17%             | 2036-11-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31416WYP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19793 | PA      | $19393.39     | 0.07%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FDG/PFG FIN                       | Provident Funding Associates LP / PFG Finance Corp                        | CUSIP: 74387UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $79104.30     | 0.28%             | 2029-09-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DNP56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67902 | PA      | $69998.31     | 0.24%             | 2049-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | USD/BRL FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-815.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    205000 | PA      | $208333.62    | 0.73%             | 2034-03-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                     | Algonquin Power & Utilities Corp                                          | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |     15000 | PA      | $15070.75     | 0.05%             | 2026-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2014-150E                                  | CUSIP: 61764BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $86466.31     | 0.30%             | 2032-09-09      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                 | Ivory Coast Government International Bond                                 | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    100000 | PA      | $118320.97    | 0.41%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20877.66     | 0.07%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31419AVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2726 | PA      | $2672.84      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                      | Venture Global LNG Inc                                                    | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     29000 | PA      | $28838.35     | 0.10%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137FV4S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32717 | PA      | $6393.00      | 0.02%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                        | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50323.54     | 0.18%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3128MMSR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3993 | PA      | $3939.74      | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | INR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1591.01     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Westgate Resorts                            | Westgate Resorts 2022-1 LLC                                               | CUSIP: 96034JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23609 | PA      | $23382.60     | 0.08%             | 2036-08-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-IG3 Mortgage Trust                                         | CUSIP: 08162QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $71019.60     | 0.25%             | 2048-09-15      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36184QTQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5632 | PA      | $5448.85      | 0.02%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                      | Resorts World Las Vegas LLC / RWLV Capital Inc                            | CUSIP: 76120HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $178254.12    | 0.62%             | 2029-04-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management               | JPMorgan Chase Bank NA - JPMWM                                            | CUSIP: 46591HBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51738 | PA      | $51608.85     | 0.18%             | 2051-03-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7676 | PA      | $7647.35      | 0.03%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36213MYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       356 | PA      | $364.56       | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | 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        |    100000 | PA      | $107596.85    | 0.38%             | 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        |     76574 | PA      | $80354.88     | 0.28%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA6                                   | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $57564.07     | 0.20%             | 2050-12-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | NGN/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5234.81      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-4                                         | CUSIP: 46655GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $72833.23     | 0.25%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA3                                   | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $39582.87     | 0.14%             | 2050-07-25      | Floating      | 13.99%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133BAFP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41962 | PA      | $39268.29     | 0.14%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3868 | PA      | $3854.26      | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                 | CUSIP: 78449RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $81921.29     | 0.29%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133CSML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81075 | PA      | $83396.31     | 0.29%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XJE74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70307 | PA      | $72448.12     | 0.25%             | 2050-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                      | Venture Global LNG Inc                                                    | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15547.16     | 0.05%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $1022226.56   | 3.58%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BASIN ELECTRIC PWR COOP                     | Basin Electric Power Cooperative                                          | CUSIP: 070101AJ9<br>LEI: 5493002CLOJ5KYT5GB16 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34279.76     | 0.12%             | 2055-10-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS AMERICAN AIRLINES GROUP INC                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3530.66      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                        | Commercial Metals Co                                                      | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41006.23     | 0.14%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     58000 | PA      | $66506.76     | 0.23%             | 2084-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2023-1 Ltd                                                       | CUSIP: 26982EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    150000 | PA      | $154036.23    | 0.54%             | 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        |     19800 | PA      | $19868.07     | 0.07%             | 2031-05-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Grupo Aeromexico SAB de CV                  | Grupo Aeromexico SAB de CV                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     15290 | NS      | $33963.63     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140MNNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24132 | PA      | $22582.90     | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    215700 | PA      | $206035.63    | 0.72%             | 2043-08-15      | Fixed         | 4.38%                 | 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        |    400000 | PA      | $398875.00    | 1.40%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $90988.22     | 0.32%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KW07 Mortgage Trust                                            | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $22848.18     | 0.08%             | 2031-10-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | USD/JPY FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3112.87     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8087 | PA      | $7758.91      | 0.03%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                            | CUSIP: 05602XQQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $209263.60    | 0.73%             | N/A             | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201VAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       224 | PA      | $227.89       | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146824 | PA      | $126288.08    | 0.44%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 3622A2Q70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9657 | PA      | $9340.48      | 0.03%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW03 Mortgage Trust                                            | CUSIP: 30302YAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $48723.71     | 0.17%             | 2027-07-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master              | Bayview MSR Opportunity Master Fund Trust 2021-INV2                       | CUSIP: 07336LAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $68892.52     | 0.24%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31489 | PA      | $30190.29     | 0.11%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132WMM50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4100 | PA      | $3957.37      | 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        |    100000 | PA      | $82796.48     | 0.29%             | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -6 | NC      | $7990.28      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50464 | PA      | $41713.46     | 0.15%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RIVER ROCK ENTERTAINMENT                    | RIVER ROCK ENTERTAINMENT AUTHORITY                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     65000 | PA      | $63375.00     | 0.22%             | 2031-11-24      | Floating      | 12.73%                | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                    | Columbia Pipelines Holding Co LLC                                         | CUSIP: 19828AAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $44995.99     | 0.16%             | 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        |    290925 | PA      | $290146.27    | 1.02%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES                           | Amsted Industries Inc                                                     | CUSIP: 032177AK3<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |     27000 | PA      | $27809.62     | 0.10%             | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KW04 Trust                                                     | CUSIP: 30296MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $46523.82     | 0.16%             | 2028-09-25      | Variable      | 3.94%                 | 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        |     88000 | PA      | $91728.74     | 0.32%             | 2055-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                             | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    110000 | PA      | $123545.25    | 0.43%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2022-B LLC                                                   | CUSIP: 62890MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102004.15    | 0.36%             | 2029-06-15      | Fixed         | 8.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382AFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171736 | PA      | $28119.97     | 0.10%             | 2049-10-20      | Fixed         | 3.50%                 | 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        |         7 | NC      | $-4275.78     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3129362R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5858 | PA      | $6030.71      | 0.02%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138X8YD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15036 | PA      | $14639.54     | 0.05%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                     | Talen Energy Supply LLC                                                   | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40796.56     | 0.14%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                     | Turkiye Government Bond                                                   | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   2426800 | PA      | $55017.51     | 0.19%             | 2029-09-12      | Fixed         | 30.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3138YTJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7048 | PA      | $6925.45      | 0.02%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133259 | PA      | $115246.86    | 0.40%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136A4WQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11744 | PA      | $1066.00      | 0.00%             | 2041-08-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11158 | PA      | $10758.74     | 0.04%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                     | Avis Budget Car Rental LLC / Avis Budget Finance Inc                      | CUSIP: 053773BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $5162.98      | 0.02%             | 2032-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                     | European Bank for Reconstruction & Development                            | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |   8250000 | PA      | $13999.97     | 0.05%             | 2036-07-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        13 | NC      | $-1961.15     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                           | State Street Corp                                                         | CUSIP: 857477855<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EP               | CORP              | US        |       247 | NS      | $5545.15      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HERC HOLDINGS INC                           | Herc Holdings Inc                                                         | CUSIP: 42704LAK0<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10133.27     | 0.04%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                         | CUSIP: 3136B5TL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14257 | PA      | $2040.58      | 0.01%             | 2049-08-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70540 | PA      | $60930.71     | 0.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                     | Talen Energy Supply LLC                                                   | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41363.59     | 0.14%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                              | Crockett Partners Equipment Co IIA LLC                                    | CUSIP: 22689LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73928 | PA      | $75228.22     | 0.26%             | 2031-01-20      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205303.13    | 0.72%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                      | CUSIP: 682691AL4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5097.94      | 0.02%             | 2030-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                              | Hertz Corp/The                                                            | CUSIP: 42804VBB6<br>LEI: 549300PD0C69OJ0NLB27 | Long             | LON              | CORP              | US        |    202141 | PA      | $172072.81    | 0.60%             | 2028-06-30      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                     | European Bank for Reconstruction & Development                            | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |    975000 | PA      | $89291.93     | 0.31%             | 2032-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company         | USD/BRL FORWARD                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3415.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-1                                          | CUSIP: 89173FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $85390.43     | 0.30%             | 2056-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                         | DENTSPLY SIRONA Inc                                                       | CUSIP: 24906PAB5<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |    109000 | PA      | $102038.21    | 0.36%             | 2055-09-12      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2987 | PA      | $3121.79      | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382AFH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170703 | PA      | $27819.30     | 0.10%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                    | Live Nation Entertainment Inc                                             | CUSIP: 538034BC2<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5252.50      | 0.02%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NQK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82597 | PA      | $84988.55     | 0.30%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                             | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     76000 | PA      | $77362.60     | 0.27%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NRSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30230 | PA      | $30735.14     | 0.11%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36177Q3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25858 | PA      | $25091.31     | 0.09%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                           | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    165000 | PA      | $178138.50    | 0.62%             | 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        |      1561 | PA      | $1604.97      | 0.01%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP            | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $12890.06     | 0.05%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36198VMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5729 | PA      | $5542.10      | 0.02%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                  | CUSIP: 345397G56<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207191.76    | 0.73%             | 2035-02-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       817 | PA      | $846.08       | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31418CDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       579 | PA      | $529.66       | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-3                                           | CUSIP: 46654UCV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91367 | PA      | $75465.61     | 0.26%             | 2052-08-25      | Variable      | 3.10%                 | 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        |     43531 | PA      | $41974.08     | 0.15%             | 2052-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                             | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     35000 | PA      | $39768.76     | 0.14%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| TRICIDA INC                                 | TRICIDA INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $0.00         | 0.00%             | 2027-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                 | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -200000 | PA      | $-205243.93   | -0.72%            | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPIRE INC                                   | Spire Inc                                                                 | CUSIP: 84857LAE1<br>LEI: 549300NXSY15DRY2R511 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14942.05     | 0.05%             | 2056-06-01      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    324200 | PA      | $196698.22    | 0.69%             | 2052-02-15      | Fixed         | 2.25%                 | 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        |     35000 | PA      | $37410.41     | 0.13%             | 2055-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    260000 | PA      | $269882.03    | 0.94%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                       | PennyMac Financial Services Inc                                           | CUSIP: 70932MAH0<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36180.45     | 0.13%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FITNESS & SPORTS CLUBS LLC                  | FITNESS & SPORTS CLUBS LLC                                                | CUSIP: 33818XAM2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     15288 | PA      | $15354.84     | 0.05%             | 2029-02-12      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NSAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39179 | PA      | $40976.16     | 0.14%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23605 | PA      | $23797.73     | 0.08%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENDO FINANCE HOLDINGS                       | ENDO FINANCE HOLDINGS                                                     | CUSIP: 29280UAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9900 | PA      | $9838.13      | 0.03%             | 2031-04-23      | Floating      | 7.47%                 | 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        |     52679 | PA      | $53319.23     | 0.19%             | 2054-05-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382CAZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95487 | PA      | $939.38       | 0.00%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                       | CUSIP: 48128B523<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EP               | CORP              | US        |      2321 | NS      | $42404.67     | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| BAXTER INTERNATIONAL INC                    | Baxter International Inc                                                  | CUSIP: 071813DD8<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10076.57     | 0.04%             | 2030-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                  | Allianz SE                                                                | CUSIP: 018820AE0<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $207608.40    | 0.73%             | N/A             | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                    | Live Nation Entertainment Inc                                             | CUSIP: 538034BD0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49125.00     | 0.17%             | 2031-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                      | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     85000 | PA      | $88402.78     | 0.31%             | 2033-05-01      | Fixed         | 7.38%                 | 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     | 0.14%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3132DSC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1505 | PA      | $1547.97      | 0.01%             | 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        |    195000 | PA      | $203013.73    | 0.71%             | 2035-01-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-2 Trust                       | CUSIP: 949930AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $66905.56     | 0.23%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200QLP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        53 | PA      | $54.88        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36192S4A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6108 | PA      | $5637.32      | 0.02%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                  | CUSIP: 05377RJY1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102638.57    | 0.36%             | 2030-02-20      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                          | CUSIP: 95002Y400<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |       861 | NS      | $15299.97     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NM6C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52299 | PA      | $54034.41     | 0.19%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STONEBRIAR ABF LLC                          | Stonebriar ABF Issuer LLC                                                 | CUSIP: 86177CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $41168.00     | 0.14%             | 2030-12-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                    | Farmers Exchange Capital III                                              | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $93787.66     | 0.33%             | 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        |     30000 | PA      | $29348.43     | 0.10%             | 2035-10-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200Q3L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        59 | PA      | $60.61        | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                           | CBRE Services Inc                                                         | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15072.07     | 0.05%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                  | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29987.84     | 0.10%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38381YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116744 | PA      | $1132.56      | 0.00%             | 2049-09-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                        | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     29000 | PA      | $27573.75     | 0.10%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     60000 | PA      | $72157.68     | 0.25%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                        | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33591.98     | 0.12%             | 2055-11-15      | Fixed         | 5.62%                 | 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        |     82105 | PA      | $74570.28     | 0.26%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP                       | Lincoln National Corp                                                     | CUSIP: 534187BZ1<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15132.69     | 0.05%             | 2035-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2016-UBS9                                  | CUSIP: 61766CAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $11553.58     | 0.04%             | 2049-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                | ADT Security Corp/The                                                     | CUSIP: 00109LAB9<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60743.61     | 0.21%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $100969.64    | 0.35%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FNC NL II                        | Teva Pharmaceutical Finance Netherlands II BV                             | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $241174.24    | 0.84%             | 2030-05-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-LTV1                                        | CUSIP: 465976AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $65970.66     | 0.23%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2024-HE6                                                      | CUSIP: 31684DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119240 | PA      | $120262.67    | 0.42%             | 2054-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $607640.63    | 2.13%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200NBP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1037 | PA      | $1068.12      | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                             | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $203862.85    | 0.71%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KHG1 Mortgage Trust                                            | CUSIP: 30309FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $72058.42     | 0.25%             | 2027-12-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV1                                         | CUSIP: 44590HCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86930 | PA      | $75899.54     | 0.27%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA4                                   | CUSIP: 35564KPN3<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $45965.44     | 0.16%             | 2041-12-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-HY1                                        | CUSIP: 89177EAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101917.30    | 0.36%             | 2048-10-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                  | BINOM Securitization Trust 2022-RPL1                                      | CUSIP: 05552CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $74798.57     | 0.26%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36212WUQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28626 | PA      | $28493.70     | 0.10%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                           | CUSIP: 14731QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $84574.98     | 0.30%             | 2046-02-25      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $89839.84     | 0.31%             | 2056-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AFRICAN DEVELOPMENT BANK                    | African Development Bank                                                  | CUSIP: 008281BK2<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | NUSS              | N/A       |    200000 | PA      | $199555.09    | 0.70%             | 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        |    100000 | PA      | $101398.26    | 0.35%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36201L2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       274 | PA      | $276.75       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                        | WEC Energy Group Inc                                                      | CUSIP: 92939UAU0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10062.98     | 0.04%             | 2056-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140A0A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65828 | PA      | $69460.12     | 0.24%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XGFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138994 | PA      | $125813.33    | 0.44%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 3132XUZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1067 | PA      | $978.08       | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                        | Garda World Security Corp                                                 | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |     64000 | PA      | $62764.29     | 0.22%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $86242.19     | 0.30%             | 2056-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2020-DUNE                               | CUSIP: 36258BAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82942 | PA      | $79279.53     | 0.28%             | 2036-12-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 31417YNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4206 | PA      | $4263.56      | 0.01%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                     | Jane Street Group / JSG Finance Inc                                       | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $15656.95     | 0.05%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                            | DT Midstream Inc                                                          | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $31133.85     | 0.11%             | 2034-12-15      | Fixed         | 5.80%                 | 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     | 0.12%             | 2035-06-30      | Fixed         | 7.00%                 | 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    | 0.62%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust               | Alen 2021-ACEN Mortgage Trust                                             | CUSIP: 01449NAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $43931.50     | 0.15%             | 2034-04-15      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| CHAMPIONS FINANCING INC                     | Champions Financing Inc                                                   | CUSIP: 15870LAA6<br>LEI: 391200ZDD75EGEUJ7625 | Long             | DBT              | CORP              | US        |     68000 | PA      | $66881.74     | 0.23%             | 2029-02-15      | Fixed         | 8.75%                 | 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        |    200000 | PA      | $202545.62    | 0.71%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56571 | PA      | $49107.53     | 0.17%             | 2051-05-01      | Fixed         | 2.50%                 | 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        |     75645 | PA      | $76223.32     | 0.27%             | 2055-05-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICE                    | Prime Healthcare Services Inc                                             | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $105000.06    | 0.37%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                     | CNO Financial Group Inc                                                   | CUSIP: 12621EAM5<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |    105000 | PA      | $111083.84    | 0.39%             | 2034-06-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                      | Sempra                                                                    | CUSIP: 816851BV0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101933.81    | 0.36%             | 2055-04-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue              | Multifamily Connecticut Avenue Securities Trust 2019-01                   | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |     73164 | PA      | $74341.81     | 0.26%             | 2049-10-25      | Floating      | 7.24%                 | 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     | 0.04%             | 2032-12-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                          | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    145500 | PA      | $108252.00    | 0.38%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                     | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC           | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $62420.59     | 0.22%             | 2029-02-15      | Fixed         | 6.50%                 | 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        |     59556 | PA      | $60011.87     | 0.21%             | 2033-11-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| US ACUTE CARE SOLUTIONS                     | US Acute Care Solutions LLC                                               | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $55407.82     | 0.19%             | 2029-05-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                     | International Bank for Reconstruction & Development                       | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |  11000000 | PA      | $20553.79     | 0.07%             | 2026-09-16      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2020-5 Trust                       | CUSIP: 95003BBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85453 | PA      | $75241.10     | 0.26%             | 2050-09-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                        | CUSIP: 29273VBG4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     79000 | PA      | $78738.60     | 0.28%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                             | Nordea Bank Abp                                                           | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    235000 | PA      | $222809.12    | 0.78%             | N/A             | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                 | Merchants Fleet Funding LLC                                               | CUSIP: 588926AL9<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100324.97    | 0.35%             | 2039-01-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                        | YPF SA                                                                    | CUSIP: 984245AQ3<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |     45000 | PA      | $45357.03     | 0.16%             | 2027-07-21      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | EUR/USD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9620.45     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC LLC/INC                    | Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc | CUSIP: 43283QAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30749.61     | 0.11%             | 2032-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36179SNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12427 | PA      | $11989.04     | 0.04%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 3620A93H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6242 | PA      | $6212.83      | 0.02%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                          | Serbia International Bond                                                 | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $91664.32     | 0.32%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R03                              | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $50244.41     | 0.18%             | 2044-03-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                | Novelis Corp                                                              | CUSIP: 670001AN6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60826.27     | 0.21%             | 2033-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2018-C9                                     | CUSIP: 90291JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $7769.50      | 0.03%             | 2051-03-15      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140NQDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69949 | PA      | $71988.81     | 0.25%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management          | Dreyfus Government Cash Management                                        | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |   3103300 | NS      | $3103299.97   | 10.86%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36291R3A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1243 | PA      | $1266.52      | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                       | CUSIP: 036752BK8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69577.15     | 0.24%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                          | Kennedy-Wilson Inc                                                        | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47126.05     | 0.16%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                        | CUSIP: 46592PBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88430 | PA      | $73150.13     | 0.26%             | 2051-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                      | CUSIP: 91087BBN9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    126000 | PA      | $147683.20    | 0.52%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61747YFM2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     75000 | PA      | $78822.71     | 0.28%             | 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        |    143074 | NS      | $1382098.60   | 4.84%             |  |  |  | No            |                  1 | On Loan: No      |
| TRICIDA INC                                 | TRICIDA INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $0.00         | 0.00%             | 2027-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                     | CUSIP: 31335AWT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19221 | PA      | $18282.79     | 0.06%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36290RP49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       369 | PA      | $377.27       | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                 | FIGRE Trust 2025-HE5                                                      | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137711 | PA      | $138244.00    | 0.48%             | 2055-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                        | CUSIP: 3137ATFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33545 | PA      | $5254.36      | 0.02%             | 2042-08-15      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140J9KV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25183 | PA      | $25400.76     | 0.09%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     40000 | PA      | $45807.55     | 0.16%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                              | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     41000 | PA      | $42763.14     | 0.15%             | 2030-01-23      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140MNNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64409 | PA      | $59989.48     | 0.21%             | 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        |      9794 | PA      | $9304.79      | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                  | CUSIP: 38382BHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83842 | PA      | $13718.19     | 0.05%             | 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        |    200000 | PA      | $189684.91    | 0.66%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                    | Columbia Pipelines Holding Co LLC                                         | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $40675.05     | 0.14%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                          | CUSIP: 3133B9MF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57161 | PA      | $53237.22     | 0.19%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIDRON AIDA FINCO SARL                      | Cidron Aida Finco Sarl                                                    | CUSIP: 000000000<br>LEI: 98450036A07991DEBF10 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $121403.08    | 0.42%             | 2031-10-27      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                             | CUSIP: 345370CR9<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134847.34    | 0.47%             | 2026-12-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                      | Sempra                                                                    | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20416.51     | 0.07%             | 2056-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva              | Amur Equipment Finance Receivables XII LLC                                | CUSIP: 03236YAE5<br>LEI: 5493000K1GV1VHEHGY40 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $104033.96    | 0.36%             | 2030-07-22      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                          | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      5200 | PA      | $4617.60      | 0.02%             | 2029-07-09      | Fixed         | 1.00%                 | 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        |    100000 | PA      | $92128.91     | 0.32%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TAP SA                                      | Transportes Aereos Portugueses SA                                         | CUSIP: 000000000<br>LEI: 213800XBTDYWRYHKH878 | Long             | DBT              | CORP              | PT        |    100000 | PA      | $122005.66    | 0.43%             | 2029-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AT9<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5381.00      | 0.02%             | 2031-02-01      | Fixed         | 2.60%                 | 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        |     87654 | PA      | $88676.53     | 0.31%             | 2055-02-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                              | CUSIP: 174610BH7<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     39000 | PA      | $40887.94     | 0.14%             | 2032-07-23      | Fixed         | 5.72%                 | 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        |        -8 | NC      | $3209.76      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOSTON PROPERTIES LP                        | Boston Properties LP                                                      | CUSIP: 10112RBM5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9655.00      | 0.03%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-7                                           | CUSIP: 46592NCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88819 | PA      | $72400.03     | 0.25%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                        | CUSIP: 02005NBV1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     75000 | PA      | $77729.95     | 0.27%             | 2035-07-26      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                    | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92928.89     | 0.33%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                          | Voyager Parent LLC                                                        | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |     46000 | PA      | $48811.57     | 0.17%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                       | Venture Global Plaquemines LNG LLC                                        | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30550.33     | 0.11%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                     | KeyCorp                                                                   | CUSIP: 493267868<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EP               | CORP              | US        |       637 | NS      | $13542.62     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36225BZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       136 | PA      | $142.02       | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2022-PJ4                         | CUSIP: 36264RBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $72661.48     | 0.25%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                       | Freedom Mortgage Holdings LLC                                             | CUSIP: 35641AAB4<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     45000 | PA      | $48332.57     | 0.17%             | 2031-05-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | USD/CLP FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2654.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VELOCITY VEHICLE GROUP                      | Velocity Vehicle Group LLC                                                | CUSIP: 92262TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31000 | PA      | $29451.40     | 0.10%             | 2029-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                    | Element Fleet Management Corp                                             | CUSIP: 286181AR3<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     30000 | PA      | $30083.65     | 0.11%             | 2030-11-24      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                         | Northern Trust Corp                                                       | CUSIP: 665859AZ7<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24965.63     | 0.09%             | 2040-11-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS Rialto 2025-FL10 Issuer LLC                                            | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99937.51     | 0.35%             | 2042-08-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                     | European Bank for Reconstruction & Development                            | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |   4700000 | PA      | $51772.77     | 0.18%             | 2028-04-11      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NCG8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $52926.75     | 0.19%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                    | Baxter International Inc                                                  | CUSIP: 071813DE6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10120.18     | 0.04%             | 2035-12-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF KAZA                    | Development Bank of Kazakhstan JSC                                        | CUSIP: 000000000<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        | 100000000 | PA      | $193352.95    | 0.68%             | 2026-05-06      | Fixed         | 10.95%                | 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      | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                              | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $52944.75     | 0.19%             | 2054-06-27      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company         | USD/ZAR FORWARD                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5111.55     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C1 Commercial Mortgage Trust                                   | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90802.20     | 0.32%             | 2050-04-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                       | CUSIP: 431282AS1<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5586.73      | 0.02%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3316 | PA      | $3337.69      | 0.01%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61762V861<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |      1497 | NS      | $26407.08     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $99763.64     | 0.35%             | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140ANQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23068 | PA      | $24109.70     | 0.08%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                     | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     55000 | PA      | $56280.29     | 0.20%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SUMMIT MIDSTREAM HOLDING                    | Summit Midstream Holdings LLC                                             | CUSIP: 86614JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $57032.14     | 0.20%             | 2029-10-31      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| ENERFLEX INC                                | Enerflex Inc                                                              | CUSIP: 29281WAA6<br>LEI: 549300SQCOV1LC1GBK07 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15336.63     | 0.05%             | 2031-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LONG RIDGE ENERGY LLC                       | Long Ridge Energy LLC                                                     | CUSIP: 54288CAA1<br>LEI: 984500764EC9AZ2FC764 | Long             | DBT              | CORP              | US        |     75000 | PA      | $79833.08     | 0.28%             | 2032-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | USD/AUD FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8975.20      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                        | CUSIP: 3617AVXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7736 | PA      | $7349.62      | 0.03%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                    | Hess Midstream Operations LP                                              | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $15281.61     | 0.05%             | 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      | 0.03%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                      | CUSIP: 06055H202<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |       679 | NS      | $14096.04     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                            | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94688.13     | 0.33%             | 2031-10-22      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                           | CUSIP: 3140XNNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248015 | PA      | $209140.97    | 0.73%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                        | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $183025.91    | 0.64%             | 2032-11-22      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36177Q7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2678 | PA      | $2499.61      | 0.01%             | 2042-10-15      | 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        |     75000 | PA      | $77708.06     | 0.27%             | 2051-11-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                             | CUSIP: 17327CAV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     81000 | PA      | $83508.98     | 0.29%             | N/A             | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | USD/ZAR FORWARD                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7591.88      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-SBT1                             | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20000 | PA      | $20611.80     | 0.07%             | 2040-02-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200WJL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1791 | PA      | $1825.74      | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $103367.19    | 0.36%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AECOM                                       | AECOM                                                                     | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     90000 | PA      | $92237.40     | 0.32%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36200K7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       189 | PA      | $195.08       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                    | Vista Energy Argentina SAU                                                | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |     45000 | PA      | $44967.60     | 0.16%             | 2035-12-10      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                     | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC           | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9850.41      | 0.03%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                         | CUSIP: 36178GJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2825 | PA      | $2734.46      | 0.01%             | 2044-03-15      | Fixed         | 4.00%                 | 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        |    200000 | PA      | $195228.43    | 0.68%             | 2056-01-01      | Fixed         | 4.50%                 | 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     | 0.14%             | 2031-01-30      | Fixed         | 4.70%                 | 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